Understanding Markov Chains
Examples and Applications
$152.62
- Paperback
366 pages
- Release Date
29 March 2026
Summary
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 the computation of 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 starts by examining in detail two important examples (gambling processes and r…
Book Details
| ISBN-13: | 9789819540563 |
|---|---|
| ISBN-10: | 9819540569 |
| Author: | Nicolas Privault |
| Publisher: | Springer Verlag, Singapore |
| Imprint: | Springer Verlag, Singapore |
| Format: | Paperback |
| Number of Pages: | 366 |
| Release Date: | 29 March 2026 |
| Dimensions: | 155mm x 235mm |
| Series: | Springer Undergraduate Mathematics Series |
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Nicolas Privault
The author is a professor from Nanyang Technological University (NTU) and is well-established in the field of stochastic processes and a highly respected probabilist. He has authored the books:
- Stochastic Analysis in Discrete and Continuous Settings: With Normal Martingales (Lecture Notes in Mathematics, Springer, 2009)
- Discrete Stochastic Processes - Tools for Machine Learning and Data Science (Springer Undergraduate Mathematics Series, 2024)
He was also a co-editor for:
- Stochastic Analysis with Financial Applications (Progress in Probability, Vol. 65, Springer Basel, 2011)
Aside from these four Springer titles, he has authored several others. The manuscript has been developed over the years from his courses on Stochastic Processes at NTU.
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