Understanding Markov chains examples and applications Nicolas Privault

Format:

Book

Author/Creator:

Privault, Nicolas, author.

Series:

Springer undergraduate mathematics series

Springer undergraduate mathematics series 2197-4144

Language:

English

Subjects (All):

Markov processes.

Markov Chains.

Medical Subjects:

Markov Chains.

Physical Description:

1 online resource

Edition:

Third edition

Place of Publication:

Singapore Springer [2026]

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 the computation of 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 starts by examining in detail two important examples (gambling processes and random walks) before presenting the general theory 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, 150 exercises and 22 problems with their solutions.This book is a revised and expanded version of the previous edition, and includes additional exercises and problems with complete solutions. As in the previous book, all exercises and problems are solved in detail, with many graphs and explanatory figures"-- Springer Nature Link

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

Notes:

Includes bibliographical references and indexes

Online resource; title from PDF title page (Springer Nature Link, viewed May 22, 2026)

Other Format:

Print version Privault, Nicolas Understanding Markov chains

ISBN:

9789819540570

9819540577

OCLC:

1592010595

Access Restriction:

Restricted for use by site license