Martingales and Markov chains : solved exercises and elements of theory / Paolo Baldi, Laurent Mazliak, Pierre Priouret.
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TextLanguage: English Original language: French Publication details: Boca Raton : Chapman & Hall/CRC, c2002. Description: vi, 192 p. : ill. ; 24 cmISBN: 1584883294 (pbk. : alk. paper); 9781584883296Uniform titles: Martingales et chaînes de Markov. Subject(s): Martingales (Mathematics) | Martingales (Mathematics) -- Problems, exercises, etc | Markov processes | Markov processes -- Problems, exercises, etcDDC classification: 519.287 LOC classification: QA274.5 | .B3513 2002Online resources: WorldCat details | Ebook Fulltext | Item type | Current library | Collection | Call number | Copy number | Status | Date due | Barcode | Item holds |
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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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