A second-order approximation for the variance of a renewal reward process

Let {C(t), t [greater-or-equal, slanted] 0} be a renewal reward process. We obtain the approximation Var C(t) = ct + d + o(1), and explicitly identify c and d.

MoreLess

Year of publication:	1975
Authors:	Brown, Mark ; Solomon, Herbert
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 3.1975, 3, p. 301-314
Publisher:	Elsevier
Keywords:	renewal processes renewal reward processes cumulative process variance time curve

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874961