Understanding Markov Chains: Examples and Applications (Springer Undergraduate Mathematics Series)

Understanding Markov Chains: Examples and Applications (Springer Undergraduate Mathematics Series)

Nicolas Privault


This publication offers an undergraduate advent to discrete and continuous-time Markov chains and their purposes. a wide concentration is put on step one analysis technique and its purposes to general hitting instances and smash chances. Classical subject matters akin to recurrence and transience, desk bound and proscribing distributions, in addition to branching tactics, also are coated. significant examples (gambling techniques and random walks) are taken care of intimately from the start, earlier than the final idea itself is gifted within the next chapters. An advent to discrete-time martingales and their relation to smash chances and suggest go out instances can be supplied, and the booklet incorporates a bankruptcy on spatial Poisson techniques with a few fresh effects on second identities and deviation inequalities for Poisson stochastic integrals. The recommendations awarded are illustrated via examples and via seventy two routines and their whole solutions.

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