Markov Chains

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Author(s): G. R. Grimmett, ed. Dexter Chua
Series: Cambridge Mathematical Tripos Part IB Lecture Notes
Publisher: University of Cambridge
Year: 2015

Language: English
City: Cambridge
Tags: maths; mathematics; math; advanced; college; university; higher; further; pure; applied; markov chains; probability; statistics; stats; stat; markovian; decision processes; decision problem

Introduction
Markov chains
The Markov property
Transition probability
Classification of chains and states
Communicating classes
Recurrence or transience
Hitting probabilities
The strong Markov property and applications
Further classification of states
Long-run behaviour
Invariant distributions
Convergence to equilibrium
Time reversal