Understanding Markov Chains: Examples and Applications by Nicolas Privault (Engl

Description: Understanding Markov Chains by Nicolas Privault 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. FORMAT Paperback LANGUAGE English CONDITION Brand New Publisher Description 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. Back Cover 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. Author Biography The author 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. Table of 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. Feature Easily accessible to both mathematics and non-mathematics majors who are taking an introductory course on Stochastic Processes Filled with numerous exercises to test students understanding of key concepts A gentle introduction to help students ease into later chapters, also suitable for self-study Accompanied with computer simulation codes in R and Python Request lecturer material: sn.pub/lecturer-material Details ISBN9811306583 Author Nicolas Privault Publisher Springer Verlag, Singapore Series Springer Undergraduate Mathematics Series Year 2018 Edition 2nd ISBN-10 9811306583 ISBN-13 9789811306587 Imprint Springer Verlag, Singapore Subtitle Examples and Applications Place of Publication Singapore Country of Publication Singapore Replaces 9789814451505 Format Paperback Pages 372 Illustrations 44 Illustrations, black and white; XVII, 372 p. 44 illus. DEWEY 519.233 Publication Date 2018-08-15 Short Title Understanding Markov Chains Language English DOI 10.1007/978-981-13-0659-4 UK Release Date 2018-08-15 Edition Description 2nd ed. 2018 Audience Undergraduate We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:123946516;

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