Section: New Results

Moments analysis in Markov reward models.

Participants : François Castella, Guillaume Dujardin.

In this paper [13] , we analyze the moments of the accumulated reward over the interval (0, t) in a continuous-time Markov chain. We develop a numerical procedure to compute efficiently the normalized moments using the uniformization technique. Our algorithm involves auxiliary quantities whose convergence is analyzed, and for which we provide a probabilistic interpretation.