Understanding Markov Chains.

PRIVAULT, Nicolas

ISBN 10: 9814451509 / ISBN 13: 9789814451505

Published by Springer, Singapore, 2013

About this Item

Singapore, Springer (2013). gr.8°. IX, 354 p. Pbck. Springer Undergraduate Mathematics Series.- With exercises and solutions.- In very good condition.

Seller Inventory # 89797

Bibliographic Details

• Title: Understanding Markov Chains.
• Publisher: Springer, Singapore
• Publication Date: 2013
• Language: English
• ISBN 10: 9814451509
• ISBN 13: 9789814451505
• Binding: Softcover
• Condition: Sehr gut

About this title

Synopsis

This book provides an undergraduate introduction to discrete and continuous-time Markov chains and their applications. A large focus is placed on the first step analysis technique and its applications to average hitting times and ruin probabilities. Classical topics such as recurrence and transience, stationary and limiting distributions, as well as branching processes, are also covered. Two major examples (gambling processes and random walks) are treated in detail from the beginning, before the general theory itself is presented in the subsequent chapters. 

An introduction to discrete-time martingales and their relation to ruin probabilities and mean exit times is also provided, and the book includes a chapter on spatial Poisson processes with some recent results on moment identities and deviation inequalities for Poisson stochastic integrals. The concepts presented are illustrated by examples and by 72 exercises and their complete solutions.

About the Author

Nicolas Privault is an associate professor from the Nanyang Technological University (NTU) and is well-established in the field of stochastic processes and a highly respected probabilist. He has authored the book, Stochastic Analysis in Discrete and Continuous Settings: With Normal Martingales, Lecture Notes in Mathematics, Springer, 2009 and was a co-editor for the book, Stochastic Analysis with Financial Applications, Progress in Probability, Vol. 65, Springer Basel, 2011. Aside from these two Springer titles, he has authored several others. He is currently teaching the course M27004-Probability Theory and Stochastic Processes at NTU. The manuscript has been developed over the years from his courses on Stochastic Processes.