Martingales and Markov chains : solved exercises and elements of theory / Paolo Baldi, Laurent Mazliak, Pierre Priouret.
Material type:
Item type | Current library | Collection | Call number | Copy number | Status | Date due | Barcode | Item holds |
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EWU Library E-book | Non-fiction | 519.287 BAM 2002 (Browse shelf(Opens below)) | Not for loan | ||||
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EWU Library Reserve Section | Non-fiction | 519.287 BAM 2002 (Browse shelf(Opens below)) | C-1 | Not For Loan | 27476 | ||
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EWU Library Circulation Section | Non-fiction | 519.287 BAM 2002 (Browse shelf(Opens below)) | C-2 | Available | 28182 |
Includes bibliographical references (p. [189]-190) and index.
TOC CONDITIONAL EXPECTATIONS Introduction Definition and First Properties Conditional Expectations and Conditional Laws Exercises Solutions STOCHASTIC PROCESSES General Facts Stopping Times Exercises Solutions MARTINGALES First Definitions First Properties The Stopping Theorem Maximal Inequalities Square Integral Martingales Convergence Theorems Regular Martingales Exercises Problems Solutions MARKOV CHAINS Transition Matrices, Markov Chains Construction and Existence Computations on the Canonical Chain Potential Operators Passage Problems Recurrence, Transience Recurrent Irreducible Chains Periodicity Exercises Problems Solutions REFERENCES INDEX
A thorough grounding in Markov chains and martingales is essential to dealing with the complex situations encountered in the study of discrete time stochastic processes. This book presents more than 100 exercises and problems related to martingales and Markov chains, each with a detailed solution.
AS
Sagar Shahanawaz
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