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Passage Times for Markov Chains (Hardcover)
Loot Price: R3,828
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Passage Times for Markov Chains (Hardcover)
Series: Studies in Probability, Optimization and Statistics, v. 1.
Expected to ship within 12 - 17 working days
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This book is a survey of work on passage times in stable Markov
chains with a discrete state space and a continuous time. Passage
times have been investigated since early days of probability theory
and its applications. The best known example is the first entrance
time to a set, which embraces waiting times, busy periods,
absorption problems, extinction phenomena, etc. Another example of
great interest is the last exit time from a set. The book presents
a unifying treatment of passage times, written in a systematic
manner and based on modern developments. The appropriate unifying
framework is provided by probabilistic potential theory, and the
results presented in the text are interpreted from this point of
view. In particular, the crucial role of the Dirichlet problem and
the Poisson equation is stressed. The work is addressed to applied
probalilists, and to those who are interested in applications of
probabilistic methods in their own areas of interest. The level of
presentation is that of a graduate text in applied stochastic
processes. Hence, clarity of presentation takes precedence over
secondary mathematical details whenever no serious harm may be
expected. Advanced concepts described in the text gain nowadays
growing acceptance in applied fields, and it is hoped that this
work will serve as an useful introduction. Abstracted by
Mathematical Reviews, issue 94c
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