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On the Distribution and covariance structure of the present value of a random income stream

Published online by Cambridge University Press:  14 July 2016

J. Keilson
J. Keilson*
Affiliation:
University of Rochester
*
∗Postal address: The Graduate School of Management, The University of Rochester, Rochester, NY 14627, U.S.A.
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Abstract

The present value is studied when I(t) is a stationary random income stream. The stationary distribution of V(t) for a family of simple streams modeled by stationary finite Markov chains is given explicitly. The process V(t) is shown to be observable in a special sense when I(t) is time-reversible.

Keywords

MARKOV CHAINSTIME-REVERSIBLE
Type
Short Communications
Information
Journal of Applied Probability , Volume 19 , Issue 1 , March 1982 , pp. 240 - 244
Copyright
Copyright © Applied Probability Trust 1982 

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Footnotes

Work supported in part by the U.S. Air Force, Office of Scientific Research under grant No. AFOSR-79–0043.

References

[1] Keilson, J. (1979) Markov Chain Models — Rarity and Exponentiality. Springer-Verlag, New York.Google Scholar
[2] Keilson, J. and Kooharian, A. (1960) Time dependent queueing processes. Ann. Math. Statist. 31, 104–112.Google Scholar
[3] Keilson, J. and Rao, S. S. (1970) A process with chain dependent growth rate. J. Appl. Prob. 7, 699–711.Google Scholar