James R. Kirkwood: Markov Processes

Leírás

It contains copious computational examples that motivate and illustrate the theorems. The text is designed to be understandable to students who have taken an undergraduate probability course without needing an instructor to fill in any gaps.

The bookbegins with a review of basic probability, then covers the case of finite state, discrete time Markov processes. Building on this, the text deals with the discrete time, infinite state case and provides background for continuous Markov processes with exponential random variables and Poisson processes. It presents continuous Markov processes which include the basic material of Kolmogorov’s equations, infinitesimal generators, and explosions. The book concludes with coverage of both discrete and continuous reversible Markov chains.