First Passage Times And Outer Analysis Of Continuous Parameter Markov Chains
Download First Passage Times And Outer Analysis Of Continuous Parameter Markov Chains full books in PDF, epub, and Kindle. Read online free First Passage Times And Outer Analysis Of Continuous Parameter Markov Chains ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
| Author | : I. MacNeill |
| Publisher | : |
| Total Pages | : 16 |
| Release | : 1965 |
| Genre | : |
| ISBN | : |
Two methods are discussed of computing first passage times for a finite state, continuous time parameter Markov chain. One of the methods involves a system of differential equations and the other is the Laplace transform technique. Other analyses involve the transition probability matrix and the steady state distribution. Several techniques for making computations are given and an example is worked. A problem is solved which was presented by one of the agencies served under the Joint Services Advisory Group program. (Author).
| Author | : Ian B. MacNeill |
| Publisher | : |
| Total Pages | : 12 |
| Release | : 1965 |
| Genre | : Markov processes |
| ISBN | : |
| Author | : Nicolas Privault |
| Publisher | : Springer |
| Total Pages | : 379 |
| Release | : 2018-08-03 |
| Genre | : Mathematics |
| ISBN | : 9811306591 |
This book provides an undergraduate-level introduction to discrete and continuous-time Markov chains and their applications, with a particular focus on the first step analysis technique and its applications to average hitting times and ruin probabilities. It also discusses classical topics such as recurrence and transience, stationary and limiting distributions, as well as branching processes. It first examines in detail two important examples (gambling processes and random walks) before presenting the general theory itself in the subsequent chapters. It also provides an introduction to discrete-time martingales and their relation to ruin probabilities and mean exit times, together with a chapter on spatial Poisson processes. The concepts presented are illustrated by examples, 138 exercises and 9 problems with their solutions.
| Author | : R. Syski |
| Publisher | : IOS Press |
| Total Pages | : 564 |
| Release | : 1992 |
| Genre | : Computers |
| ISBN | : 9789051990607 |
This book is a survey of work on passage times in stable Markov chains with a discrete state space and a continuous time. Passage times have been investigated since early days of probability theory and its applications. The best known example is the first entrance time to a set, which embraces waiting times, busy periods, absorption problems, extinction phenomena, etc. Another example of great interest is the last exit time from a set. The book presents a unifying treatment of passage times, written in a systematic manner and based on modern developments. The appropriate unifying framework is provided by probabilistic potential theory, and the results presented in the text are interpreted from this point of view. In particular, the crucial role of the Dirichlet problem and the Poisson equation is stressed. The work is addressed to applied probalilists, and to those who are interested in applications of probabilistic methods in their own areas of interest. The level of presentation is that of a graduate text in applied stochastic processes. Hence, clarity of presentation takes precedence over secondary mathematical details whenever no serious harm may be expected. Advanced concepts described in the text gain nowadays growing acceptance in applied fields, and it is hoped that this work will serve as an useful introduction. Abstracted by Mathematical Reviews, issue 94c
| Author | : Kai Lai Chung |
| Publisher | : |
| Total Pages | : 30 |
| Release | : 1958 |
| Genre | : Markov processes |
| ISBN | : |
| Author | : William J. Anderson |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 367 |
| Release | : 2012-12-06 |
| Genre | : Mathematics |
| ISBN | : 1461230381 |
Continuous time parameter Markov chains have been useful for modeling various random phenomena occurring in queueing theory, genetics, demography, epidemiology, and competing populations. This is the first book about those aspects of the theory of continuous time Markov chains which are useful in applications to such areas. It studies continuous time Markov chains through the transition function and corresponding q-matrix, rather than sample paths. An extensive discussion of birth and death processes, including the Stieltjes moment problem, and the Karlin-McGregor method of solution of the birth and death processes and multidimensional population processes is included, and there is an extensive bibliography. Virtually all of this material is appearing in book form for the first time.
| Author | : |
| Publisher | : |
| Total Pages | : 760 |
| Release | : |
| Genre | : Science |
| ISBN | : |
| Author | : David Freedman |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 395 |
| Release | : 2012-12-06 |
| Genre | : Mathematics |
| ISBN | : 1461255007 |
A long time ago I started writing a book about Markov chains, Brownian motion, and diffusion. I soon had two hundred pages of manuscript and my publisher was enthusiastic. Some years and several drafts later, I had a thousand pages of manuscript, and my publisher was less enthusiastic. So we made it a trilogy: Markov Chains Brownian Motion and Diffusion Approximating Countable Markov Chains familiarly - MC, B & D, and ACM. I wrote the first two books for beginning graduate students with some knowledge of probability; if you can follow Sections 10.4 to 10.9 of Markov Chains you're in. The first two books are quite independent of one another, and completely independent of the third. This last book is a monograph which explains one way to think about chains with instantaneous states. The results in it are supposed to be new, except where there are specific disclaim ers; it's written in the framework of Markov Chains. Most of the proofs in the trilogy are new, and I tried hard to make them explicit. The old ones were often elegant, but I seldom saw what made them go. With my own, I can sometimes show you why things work. And, as I will VB1 PREFACE argue in a minute, my demonstrations are easier technically. If I wrote them down well enough, you may come to agree.
| Author | : Kai Lai Chung |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 312 |
| Release | : 2012-12-06 |
| Genre | : Mathematics |
| ISBN | : 3642620159 |
From the reviews: J. Neveu, 1962 in Zentralblatt fr Mathematik, 92. Band Heft 2, p. 343: "Ce livre crit par l'un des plus minents spcialistes en la matire, est un expos trs dtaill de la thorie des processus de Markov dfinis sur un espace dnombrable d'tats et homognes dans le temps (chaines stationnaires de Markov)." N. Jain, 2008 in Selected Works of Kai Lai Chung, edited by Farid AitSahlia (University of Florida, USA), Elton Hsu (Northwestern University, USA), & Ruth Williams (University of California-San Diego, USA), Chapter 1, p. 15: "This monograph deals with countable state Markov chains in both discrete time (Part I) and continuous time (Part II). ... Much of Kai Lai's fundamental work in the field is included in this monograph. Here, for the first time, Kai Lai gave a systematic exposition of the subject which includes classification of states, ratio ergodic theorems, and limit theorems for functionals of the chain."
| Author | : |
| Publisher | : |
| Total Pages | : 980 |
| Release | : 1966 |
| Genre | : Government publications |
| ISBN | : |
