Understanding Markov Chains - Examples and Applications (Paperback, 2nd ed. 2018)

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.

General

Imprint:	Springer Verlag, Singapore
Country of origin:	Singapore
Series:	Springer Undergraduate Mathematics Series
Release date:	August 2018
First published:	2018
Authors:	Nicolas Privault
Dimensions:	235 x 155 x 23mm (L x W x T)
Format:	Paperback
Pages:	372
Edition:	2nd ed. 2018
ISBN-13:	978-981-13-0658-7
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics Promotions
LSN:	981-13-0658-3
Barcode:	9789811306587

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