Understanding Markov Chains
Examples and Applications
Format:Paperback
Publisher:Springer Verlag, Singapore
Published:15th Aug '18
Should be back in stock very soon

This book provides an undergraduate-level introduction to discrete and continuous-time Markov chains and their applications, with a particular focus on the first step analysis technique and its applications to average hitting times and ruin probabilities. It also discusses classical topics such as recurrence and transience, stationary and limiting distributions, as well as branching processes. It first examines in detail two important examples (gambling processes and random walks) before presenting the general theory itself in the subsequent chapters. It also provides an introduction to discrete-time martingales and their relation to ruin probabilities and mean exit times, together with a chapter on spatial Poisson processes. The concepts presented are illustrated by examples, 138 exercises and 9 problems with their solutions.
ISBN: 9789811306587
Dimensions: unknown
Weight: unknown
372 pages
Second Edition 2018