Martingales and Markov chains : solved exercises and elements of theory /
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| Author / Creator: | Baldi, Paolo, 1948- |
|---|---|
| Uniform title: | Martingales et chaînes de Markov. English |
| Imprint: | Boca Raton : Chapman & Hall/CRC, c2002. |
| Description: | vi, 192 p. : ill. ; 24 cm. |
| Language: | English |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/4699211 |
Table of Contents:
- Preface
- 1. Conditional Expectations
- Introduction
- Definition and First Properties
- Conditional Expectations and Conditional Laws
- Exercises
- Solutions
- 2. Stochastic Processes
- General Facts
- Stopping Times
- Exercises
- Solutions
- 3. Martingales
- First Definitions
- First Properties
- The Stopping Theorem
- Maximal Inequalities
- Square Integrable Martingales
- Convergence Theorems
- Regular Martingales
- Exercises
- Problems
- Solutions
- 4. Markov Chains
- Transition Matrices, Markov Chains
- Construction and Existence
- Computations on the Canonical Chain
- Potential Operators
- Passage Problems
- Recurrence, Transience
- Recurrent Irreducible Chains
- Periodicity
- Exercises
- Problems
- Solutions
- References
- Index
