| Martingales and Markov Chains: Solved Exercises and Elements of Theory Contributor(s): Baldi, Paolo (Author), Mazliak, Laurent (Author), Priouret, Pierre (Author) |
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ISBN: 1584883294 ISBN-13: 9781584883296 Publisher: CRC Press OUR PRICE: $152.00 Product Type: Paperback - Other Formats Published: April 2002 Annotation: Martingales and Markov chains. In the world of applied probability and statistics, being familiar with them is an unavoidable step toward the study of more complex situations. Yet until now, a text has not existed that presents exercises in discrete time stochastic processes and their detailed solutions. Written for senior undergraduate and graduate probability courses, Martingales and Markov Chains fills that need. It presents a section of elementary exercises using only basic theory, then introduces more difficult problems that prompt initiative by the reader. This book also provides a section of problems that open the perspective toward specific applications. While the text mainly presents exercises in increasing order of difficulty, it also includes sequences of exercises that are closely related, though not necessarily of the same difficulty. |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - Bayesian Analysis |
| Dewey: 519.287 |
| LCCN: 2002018810 |
| Physical Information: 0.45" H x 5.98" W x 9.8" (0.65 lbs) 200 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: A thorough grounding in Markov chains and martingales is essential in dealing with many problems in applied probability, and is a gateway to the more complex situations encountered in the study of stochastic processes. Exercises are a fundamental and valuable training tool that deepen students' understanding of theoretical principles and prepare them to tackle real problems. In addition to a quick but thorough exposition of the theory, Martingales and Markov Chains: Solved Exercises and Elements of Theory presents, more than 100 exercises related to martingales and Markov chains with a countable state space, each with a full and detailed solution. The authors begin with a review of the basic notions of conditional expectations and stochastic processes, then set the stage for each set of exercises by recalling the relevant elements of the theory. The exercises range in difficulty from the elementary, requiring use of the basic theory, to the more advanced, which challenge the reader's initiative. Each section also contains a set of problems that open the door to specific applications. Designed for senior undergraduate- and graduate level students, this text goes well beyond merely offering hints for solving the exercises, but it is much more than just a solutions manual. Within its solutions, it provides frequent references to the relevant theory, proposes alternative ways of approaching the problem, and discusses and compares the arguments involved. |