Logo - springer
Slogan - springer

Mathematics - Probability Theory and Stochastic Processes | Understanding Markov Chains - Examples and Applications

Understanding Markov Chains

Examples and Applications

Privault, Nicolas

2013, IX, 354 p. 71 illus.

Available Formats:

Springer eBooks may be purchased by end-customers only and are sold without copy protection (DRM free). Instead, all eBooks include personalized watermarks. This means you can read the Springer eBooks across numerous devices such as Laptops, eReaders, and tablets.

You can pay for Springer eBooks with Visa, Mastercard, American Express or Paypal.

After the purchase you can directly download the eBook file or read it online in our Springer eBook Reader. Furthermore your eBook will be stored in your MySpringer account. So you can always re-download your eBooks.


(net) price for USA

ISBN 978-981-4451-51-2

digitally watermarked, no DRM

Included Format: PDF and EPUB

download immediately after purchase

learn more about Springer eBooks

add to marked items


Softcover (also known as softback) version.

You can pay for Springer Books with Visa, Mastercard, American Express or Paypal.

Standard shipping is free of charge for individual customers.


(net) price for USA

ISBN 978-981-4451-50-5

free shipping for individuals worldwide

usually dispatched within 3 to 5 business days

add to marked items

  • 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

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.

Content Level » Upper undergraduate

Keywords » Applications of Stochastic Processes - Discrete and continuous-time Markov Chains - First-step analysis in Markov Chains - Gambling Processes and random walks in Markov Chains - Highly accessible textbook on Stochastic Processes - Introduction to Stochastic Processes - Markov Chains self-study - Markov Chains textbook - Markov Chains textbook with examples - Modern textbook on Stochastic Processes - Nicolas Privault Stochastic Processes - Solved problems in Markov Chains

Related subjects » Physical & Information Science - Probability Theory and Stochastic Processes - Statistical Theory and Methods

Table of contents / Preface / Sample pages 

Popular Content within this publication 



Read this Book on Springerlink

Services for this book

New Book Alert

Get alerted on new Springer publications in the subject area of Probability Theory and Stochastic Processes.