Understanding Markov Chains Examples and Applications
This book provides an undergraduate introduction to discrete and continuous-time Markov chains and their applications. A large focus is placed on the first step analysis technique and its applications to average hitting times and ruin probabilities. Classical topics such as recurrence and transience...
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| Format: | eBook |
| Language: | English |
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Singapore
Springer Nature Singapore
2013, 2013
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| Edition: | 1st ed. 2013 |
| Series: | Springer Undergraduate Mathematics Series
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| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- Introduction
- 1) Probability Background
- 2) Gambling Problems
- 3) Random Walks
- 4) Discrete-Time Markov Chains
- 5) First Step Analysis
- 6) Classication of States
- 7) Long-Run Behavior of Markov Chains
- 8) Branching Processes
- 9) Continuous-Time Markov Chains
- 10) Discrete-Time Martingales
- 11) Spatial Poisson Processes
- 12) Reliability Theory
- Some Useful Identities
- Solutions to the Exercises
- References
- Index