Expected Value of a recursive function
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I want to calculate an expected Value for a given random Variable.
I have
$c_0 = 0,$
$c_{i+1} = max lbrace c_i,r_{i+1} rbrace + d_{i+1},$
where $c_i,r_i,d_i$ are continuous random variables with a given distribution. I have tried an approach using markov chains but unfortunately I am not so familiar with that. Could someone give me a hint/approach or just some book where I could find a solution?
stochastic-processes markov-chains expected-value
edited yesterday
Chinnapparaj R
4,4101725
asked yesterday
Michael Von Bargen
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Michael Von Bargen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
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up vote
0
down vote
favorite
I want to calculate an expected Value for a given random Variable.
I have
$c_0 = 0,$
$c_{i+1} = max lbrace c_i,r_{i+1} rbrace + d_{i+1},$
where $c_i,r_i,d_i$ are continuous random variables with a given distribution. I have tried an approach using markov chains but unfortunately I am not so familiar with that. Could someone give me a hint/approach or just some book where I could find a solution?
stochastic-processes markov-chains expected-value
edited yesterday
Chinnapparaj R
4,4101725
asked yesterday
Michael Von Bargen
11
New contributor
Michael Von Bargen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
add a comment |
up vote
0
down vote
favorite
up vote
0
down vote
favorite
I want to calculate an expected Value for a given random Variable.
I have
$c_0 = 0,$
$c_{i+1} = max lbrace c_i,r_{i+1} rbrace + d_{i+1},$
where $c_i,r_i,d_i$ are continuous random variables with a given distribution. I have tried an approach using markov chains but unfortunately I am not so familiar with that. Could someone give me a hint/approach or just some book where I could find a solution?
stochastic-processes markov-chains expected-value
edited yesterday
Chinnapparaj R
4,4101725
asked yesterday
Michael Von Bargen
11
New contributor
Michael Von Bargen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
I want to calculate an expected Value for a given random Variable.
I have
$c_0 = 0,$
$c_{i+1} = max lbrace c_i,r_{i+1} rbrace + d_{i+1},$
where $c_i,r_i,d_i$ are continuous random variables with a given distribution. I have tried an approach using markov chains but unfortunately I am not so familiar with that. Could someone give me a hint/approach or just some book where I could find a solution?
stochastic-processes markov-chains expected-value
stochastic-processes markov-chains expected-value
edited yesterday
Chinnapparaj R
4,4101725
asked yesterday
Michael Von Bargen
11
New contributor
Michael Von Bargen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
edited yesterday
Chinnapparaj R
4,4101725
asked yesterday
Michael Von Bargen
11
New contributor
Michael Von Bargen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
edited yesterday
Chinnapparaj R
4,4101725
edited yesterday
Chinnapparaj R
4,4101725
edited yesterday
Chinnapparaj R
4,4101725
4,4101725
asked yesterday
Michael Von Bargen
11
New contributor
Michael Von Bargen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked yesterday
Michael Von Bargen
11
asked yesterday
Michael Von Bargen
11
11
New contributor
Michael Von Bargen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
New contributor
Michael Von Bargen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
Michael Von Bargen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
add a comment |
add a comment |
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Michael Von Bargen is a new contributor. Be nice, and check out our Code of Conduct.
Michael Von Bargen is a new contributor. Be nice, and check out our Code of Conduct.
Michael Von Bargen is a new contributor. Be nice, and check out our Code of Conduct.
Michael Von Bargen is a new contributor. Be nice, and check out our Code of Conduct.
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