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Understanding Markov Chains Examples and Applications by Nicolas Privault
- Format:
- Book
- Author/Creator:
- Privault, Nicolas, Author.
- Series:
- Springer undergraduate mathematics series 2197-4144
- Springer Undergraduate Mathematics Series 2197-4144
- Language:
- English
- Subjects (All):
- Probabilities.
- Statistics.
- Probability Theory.
- Statistical Theory and Methods.
- Statistics in Engineering, Physics, Computer Science, Chemistry and Earth Sciences.
- Local Subjects:
- Probability Theory.
- Statistical Theory and Methods.
- Statistics in Engineering, Physics, Computer Science, Chemistry and Earth Sciences.
- Physical Description:
- XVII, 372 pages 44 illustrations online resource
- Edition:
- 2nd edition 2018
- Contained In:
- Springer Nature eBook
- Place of Publication:
- Singapore Springer Nature Singapore Imprint: Springer 2018
- System Details:
- text file PDF
- 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
- Contents:
- Probability Background
- Gambling Problems
- Random Walks
- Discrete-Time Markov Chains
- First Step Analysis
- Classification of States
- Long-Run Behavior of Markov Chains
- Branching Processes
- Continuous-Time Markov Chains
- Discrete-Time Martingales
- Spatial Poisson Processes
- Reliability Theory
- Other Format:
- Printed edition:
- ISBN:
- 9789811306594
- Access Restriction:
- Restricted for use by site license
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