M. Telek, A. Horváth and G. Horváth
In this paper we provide forward partial differential equations describing the distribution of reward measures of inhomogeneous MRMs. Based on this descriptions, we introduce the set of ordinary differential equations that describes the behaviour of the moments of reward measures when it is possible. This description of moments allows the effective numerical analysis of rather large inhomogeneous MRMs.
A numerical example demonstrates the application of inhomogeneous MRMs in practice and the numerical behaviour of the introduced analysis technique.