Understanding Markov chains : examples and applications /

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Bibliographic Details
Author / Creator:Privault, Nicolas, author.
Edition:Second edition.
Imprint:Singapore : Springer, 2018.
Description:1 online resource (xvii, 372 pages) : illustrations
Series:Springer undergraduate mathematics series, 1615-2085
Springer undergraduate mathematics series,
Subject:Markov processes.
Markov processes.
Electronic books.
Electronic books.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/11690117
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Digital file characteristics:text file PDF
Notes:Includes bibliographical references and indexes.
Online resource; title from PDF title page (SpringerLink, viewed August 8, 2018).
Summary: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.--
Other form:Printed edition: 9789811306587
Printed edition: 9789811306600
Standard no.:10.1007/978-981-13-0659-4