Martingales and Markov chains: solved exercises and elements of theory
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English French |
| Published: |
Boca Raton [u.a.]
Chapman & Hall/CRC
2002
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VI, 192 S. graph. Darst. |
| ISBN: | 1584883294 |
Staff View
MARC
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Record in the Search Index
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|---|---|
| adam_text | Preface vii
1 Conditional Expectations 1
Introduction 1
Definition and First Properties 1
Conditional Expectations and Conditional Laws 4
Exercises 5
Solutions 7
2 Stochastic Processes 15
General Facts 15
Stopping Times 17
Exercises 18
Solutions 19
3 Martingales 23
First Definitions 23
First Properties 24
The Stopping Theorem 24
Maximal Inequalities 25
Square Integrable Martingales 27
Convergence Theorems 28
Regulär Martingales 30
Exercises 30
Problems 39
Solutions 44
4 Markov Chains 73
Transition Matrices, Markov Chains 73
Construction and Existence 76
Computations on the Canonical Chain 77
Potential Operators 78
Passage Problems 79
Recurrence, Transience 81
Recurrent Irreducible Chains 84
Periodicity 89
Exercises qj
Problems ]07
Solutions 221
References jgp
Index 191
|
| any_adam_object | 1 |
| author | Boldi, Paolo |
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| classification_rvk | SK 820 |
| ctrlnum | (OCoLC)48850964 (DE-599)BVBBV014371415 |
| dewey-full | 519.2/87 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.2/87 |
| dewey-search | 519.2/87 |
| dewey-sort | 3519.2 287 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| format | Book |
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| indexdate | 2024-07-09T19:02:09Z |
| institution | BVB |
| isbn | 1584883294 |
| language | English French |
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| spelling | Boldi, Paolo Verfasser aut Martingales et chaînes de Markov Martingales and Markov chains solved exercises and elements of theory Paolo Baldi, Laurent Mazliak, Pierre Priouret Boca Raton [u.a.] Chapman & Hall/CRC 2002 VI, 192 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Markov-processen gtt Martingalen gtt Markov processes Markov processes Problems, exercises, etc Martingales (Mathematics) Martingales (Mathematics) Problems, exercises, etc Markov-Kette (DE-588)4037612-6 gnd rswk-swf Martingal (DE-588)4126466-6 gnd rswk-swf Martingal (DE-588)4126466-6 s Markov-Kette (DE-588)4037612-6 s DE-604 Mazliak, Laurent Sonstige oth Priouret, Pierre Sonstige oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009844749&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Boldi, Paolo Martingales and Markov chains solved exercises and elements of theory Markov-processen gtt Martingalen gtt Markov processes Markov processes Problems, exercises, etc Martingales (Mathematics) Martingales (Mathematics) Problems, exercises, etc Markov-Kette (DE-588)4037612-6 gnd Martingal (DE-588)4126466-6 gnd |
| subject_GND | (DE-588)4037612-6 (DE-588)4126466-6 |
| title | Martingales and Markov chains solved exercises and elements of theory |
| title_alt | Martingales et chaînes de Markov |
| title_auth | Martingales and Markov chains solved exercises and elements of theory |
| title_exact_search | Martingales and Markov chains solved exercises and elements of theory |
| title_full | Martingales and Markov chains solved exercises and elements of theory Paolo Baldi, Laurent Mazliak, Pierre Priouret |
| title_fullStr | Martingales and Markov chains solved exercises and elements of theory Paolo Baldi, Laurent Mazliak, Pierre Priouret |
| title_full_unstemmed | Martingales and Markov chains solved exercises and elements of theory Paolo Baldi, Laurent Mazliak, Pierre Priouret |
| title_short | Martingales and Markov chains |
| title_sort | martingales and markov chains solved exercises and elements of theory |
| title_sub | solved exercises and elements of theory |
| topic | Markov-processen gtt Martingalen gtt Markov processes Markov processes Problems, exercises, etc Martingales (Mathematics) Martingales (Mathematics) Problems, exercises, etc Markov-Kette (DE-588)4037612-6 gnd Martingal (DE-588)4126466-6 gnd |
| topic_facet | Markov-processen Martingalen Markov processes Markov processes Problems, exercises, etc Martingales (Mathematics) Martingales (Mathematics) Problems, exercises, etc Markov-Kette Martingal |
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