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Generators of Markov Chains

Generators of Markov Chains

From a Walk in the Interior to a Dance on the Boundary

by Adam Bobrowski
Hardback
Publication Date: 25/01/2021

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Elementary treatments of Markov chains, especially those devoted to discrete-time and finite state-space theory, leave the impression that everything is smooth and easy to understand. This exposition of the works of Kolmogorov, Feller, Chung, Kato, and other mathematical luminaries, which focuses on time-continuous chains but is not so far from being elementary itself, reminds us again that the impression is false: an infinite, but denumerable, state-space is where the fun begins. If you have not heard of Blackwell's example (in which all states are instantaneous), do not understand what the minimal process is, or do not know what happens after explosion, dive right in. But beware lest you are enchanted: 'There are more spells than your commonplace magicians ever dreamed of.'
ISBN:
9781108495790
9781108495790
Category:
Calculus & mathematical analysis
Format:
Hardback
Publication Date:
25-01-2021
Language:
English
Publisher:
Cambridge University Press
Country of origin:
United Kingdom
Dimensions (mm):
235x157x18mm
Weight:
0.54kg

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