PH分布的累积报酬分布及应用
The Distribution of the Accumulated Rewards in PH and Its Application

采用构造新Markov链的方法对离散PH分布的报酬过程进行研究,证明了在单位时间收益率确定及随机2种情况下带报酬Markov链在被吸收之前的“累积报酬”是PH分布,并给出了相应的表达式,最后给出了2个数值计算实例.
The rewards processes of the discrete PH distribution are anlysised by constructing a new Markov chain associated with the time until absorption in a finite,discrete time Markov chain.It is shown that the distribution of total accumulate reward obtained until absorption with constant and random reward rate in each state are respectively PH distribution.At last,the expression is given and two numerical examples are discussed