(Probability Theory III)Discrete Markov chains with
countable state space. Classification of states-recurrences, transience,
periodicity.
Stationary distributions, reversible chains. Several illustrations
including the Gamblers Ruin problem, queuing chains, birth and death
chains etc. Poisson process,
continuous time markov chain with countable state space, continuous time
birth and death chains.
Reference Texts:
1. P. G. Hoel, S. C. Port and C. J. Stone:
Introduction to Stochastic Processes
2. S. M. Ross: Stochastic Processes
3. J. G. Kemeny, J. L. Snell and A. W. Knapp: Finite Markov Chains
4. D. L. Isaacsen and R. W. Madsen:
Markov Chains, Theory and Applications
- Teacher: Parthanil Roy