Markov Chains
Series: Cambridge Series in Statistical and Probabilistic Mathematics; 2;
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Estimated delivery time: In stock at the publisher, but not at Prospero's office. Delivery time approx. 3-5 weeks.
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Product details:
- Edition number New ed
- Publisher Cambridge University Press
- Date of Publication 28 July 1998
- ISBN 9780521633963
- Binding Paperback
- No. of pages254 pages
- Size 254x178x18 mm
- Weight 470 g
- Language English
- Illustrations 20 b/w illus. 0
Categories
Short description:
For students in pure and applied probability; lots of applications, fairly self-contained.
MoreLong description:
Markov chains are central to the understanding of random processes. This is not only because they pervade the applications of random processes, but also because one can calculate explicitly many quantities of interest. This textbook, aimed at advanced undergraduate or MSc students with some background in basic probability theory, focuses on Markov chains and quickly develops a coherent and rigorous theory whilst showing also how actually to apply it. Both discrete-time and continuous-time chains are studied. A distinguishing feature is an introduction to more advanced topics such as martingales and potentials in the established context of Markov chains. There are applications to simulation, economics, optimal control, genetics, queues and many other topics, and exercises and examples drawn both from theory and practice. It will therefore be an ideal text either for elementary courses on random processes or those that are more oriented towards applications.
'This is an admirable book, treating the topic with mathematical rigour and clarity, mixed with helpful informality; and emphasising numerous applications to a wide range of subjects.' D. V. Lindley, The Mathematical Gazette
Table of Contents:
Introduction; 1. Discrete-time Markov chains; 2. Continuous-time Markov chains I; 3. Continuous-time Markov chains II; 4. Further theory; 5. Applications; Appendix; Probability and measure; Index.
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