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Martingales and Markov chains : solved exercises and elements of theory / Paolo Baldi, Laurent Mazliak, Pierre Priouret.

By: Baldi, Paolo, 1948-.
Contributor(s): Mazliak, Laurent | Priouret, P. (Pierre), 1939-.
Material type: TextTextPublisher: Boca Raton : Chapman & Hall/CRC, c2002Description: vi, 192 p. : ill. ; 24 cm.ISBN: 1584883294 (pbk. : alk. paper); 9781584883296.Uniform 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 Online resources: WorldCat details | Ebook Fulltext
Contents:
Table of contents 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
Summary: 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.
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Includes bibliographical references (p. [189]-190) and index.

Table of contents 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.

Applied Statistics

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