Springer Undergraduate Mathematics Series

Understanding Markov Chains

Examples and Applications

Authors: Privault, Nicolas

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  • 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
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eBook $34.99
price for USA in USD (gross)
  • ISBN 978-981-13-0659-4
  • Digitally watermarked, DRM-free
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  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $44.99
price for USA in USD
  • ISBN 978-981-13-0658-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

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.

About the authors

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 (12 chapters)

Table of contents (12 chapters)

Buy this book

eBook $34.99
price for USA in USD (gross)
  • ISBN 978-981-13-0659-4
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $44.99
price for USA in USD
  • ISBN 978-981-13-0658-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Understanding Markov Chains
Book Subtitle
Examples and Applications
Authors
Series Title
Springer Undergraduate Mathematics Series
Copyright
2018
Publisher
Springer Singapore
Copyright Holder
Springer Nature Singapore Pte Ltd.
eBook ISBN
978-981-13-0659-4
DOI
10.1007/978-981-13-0659-4
Softcover ISBN
978-981-13-0658-7
Series ISSN
1615-2085
Edition Number
2
Number of Pages
XVII, 372
Number of Illustrations
44 b/w illustrations
Topics