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Understanding Markov Chains : Examples and Applications (2nd ed. 2018)

Part of the Springer undergraduate mathematics series series
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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.

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Product Details
Springer Verlag, Singapore
9811306583 / 9789811306587
Paperback / softback
519.233
15/08/2018
Singapore
372 pages, 44 Illustrations, black and white; XVII, 372 p. 44 illus.
155 x 235 mm