Markov Reward Processes
In this chapter, we consider reward processes of an irreducible continuous-time block-structured Markov chain. By using the RG-factorizations, we provide a unified algorithmic framework to derive expressions for conditional distributions and conditional moments of the reward processes. As an important example, we study the reward processes for an irreducible continuous-time level-dependent QBD process with either finitely-many levels or infinitely-many levels. At the same time, we provide a simple introduction to the reward processes of an irreducible discrete-time block-structured Markov chain.
Keywordsstochastic models RG-factorization reward process accumulated reward reward rate the first accumulated time
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