1st Edition
Martingales and Markov Chains Solved Exercises and Elements of Theory
200 Pages
10 B/W Illustrations
by
Chapman & Hall
200 Pages
by
Chapman & Hall
200 Pages
by
Chapman & Hall
Also available as eBook on:
A thorough grounding in Markov chains and martingales is essential in dealing with many problems in applied probability, and is a gateway to the more complex situations encountered in the study of stochastic processes. Exercises are a fundamental and valuable training tool that deepen students' understanding of theoretical principles and prepare them to tackle real problems. In addition to a... Read more
CONDITIONAL EXPECTATIONS
Introduction
Definition and First Properties
Conditional Expectations and Conditional Laws
Exercises
Solutions
STOCHASTIC PROCESSES
General Facts
Stopping Times
Exercises
Solutions
MARTINGALES
First Definitions
First Properties
The Stopping Theorem
Maximal Inequalities
Square Integral Martingales
Convergence Theorems
Regular Martingales
Exercises
Problems
Solutions
MARKOV CHAINS
Transition Matrices, Markov Chains
Construction and Existence
Computations on the Canonical Chain
Potential Operators
Passage Problems
Recurrence, Transience
Recurrent Irreducible Chains
Periodicity
Exercises
Problems
Solutions
REFERENCES
INDEX
Introduction
Definition and First Properties
Conditional Expectations and Conditional Laws
Exercises
Solutions
STOCHASTIC PROCESSES
General Facts
Stopping Times
Exercises
Solutions
MARTINGALES
First Definitions
First Properties
The Stopping Theorem
Maximal Inequalities
Square Integral Martingales
Convergence Theorems
Regular Martingales
Exercises
Problems
Solutions
MARKOV CHAINS
Transition Matrices, Markov Chains
Construction and Existence
Computations on the Canonical Chain
Potential Operators
Passage Problems
Recurrence, Transience
Recurrent Irreducible Chains
Periodicity
Exercises
Problems
Solutions
REFERENCES
INDEX
Biography
Baldi, Paolo
