Martingales and Markov Chains
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€173.60
A01=Laurent Mazliak
A01=Paolo Baldi
A01=Pierre Priouret
advanced probability problem solutions
Author_Laurent Mazliak
Author_Paolo Baldi
Author_Pierre Priouret
Bounded Borel Function
Bounded Martingale
Canonical Space
Category=PBT
Cauchy Sequence
Conditional Expectation
Conditional Law
Countable Set
Detailed Balance Equation
discrete time processes
Doob Decomposition
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
ergodic theory concepts
Filtered Probability Space
graduate level probability
Invariant Measure
Invariant Probability
Markov Chain
Markov Property
Monotone Class Argument
Monotone Class Theorem
Optional Sampling Theorem
Positive Martingale
Positive Recurrent
Positive Supermartingale
probability theory exercises
random walk methods
Smallest Positive Solution
stochastic process analysis
Stopping Time
Strictly Convex
Strong Markov Property
Transition Matrix
Product details
- ISBN 9781584883296
- Weight: 370g
- Dimensions: 156 x 234mm
- Publication Date: 26 Apr 2002
- Publisher: Taylor & Francis Inc
- Publication City/Country: US
- Product Form: Paperback
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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 quick but thorough exposition of the theory, Martingales and Markov Chains: Solved Exercises and Elements of Theory presents, more than 100 exercises related to martingales and Markov chains with a countable state space, each with a full and detailed solution. The authors begin with a review of the basic notions of conditional expectations and stochastic processes, then set the stage for each set of exercises by recalling the relevant elements of the theory. The exercises range in difficulty from the elementary, requiring use of the basic theory, to the more advanced, which challenge the reader's initiative. Each section also contains a set of problems that open the door to specific applications.
Designed for senior undergraduate- and graduate level students, this text goes well beyond merely offering hints for solving the exercises, but it is much more than just a solutions manual. Within its solutions, it provides frequent references to the relevant theory, proposes alternative ways of approaching the problem, and discusses and compares the arguments involved.
