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Passage Times for Markov Chains : Studies in Probability, Optimization and Statistics - R. Syski

Passage Times for Markov Chains

Studies in Probability, Optimization and Statistics

By: R. Syski (Editor)

Hardcover Published: 1991
ISBN: 9789051990607
Number Of Pages: 562

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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.

ISBN: 9789051990607
ISBN-10: 905199060X
Series: Studies in Probability, Optimization and Statistics
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 562
Published: 1991
Publisher: IOS Press
Country of Publication: US
Dimensions (cm): 23.4 x 15.6  x 3.1
Weight (kg): 0.96

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