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Markov chains are central to the understanding of random processes. This is not only because they pervade the applications of random processes, but also because one can calculate explicitly many quantities of interest. This textbook, aimed at advanced undergraduate or MSc students with some background in basic probability theory, focuses on Markov chains and quickly develops a coherent and rigorous theory whilst showing also how actually to apply it. Both discrete-time and continuous-time chains are studied. A distinguishing feature is an introduction to more advanced topics such as martingales and potentials in the established context of Markov chains. There are applications to simulation, economics, optimal control, genetics, queues and many other topics, and exercises and examples drawn both from theory and practice. It will therefore be an ideal text either for elementary courses on random processes or those that are more oriented towards applications.
Born in Chicago in 1870, Frank Norris led a life of adventure and art. He moved to San Francisco at fifteen, spent two years in Paris painting, and returned to San Francisco to become an internationally famous author. He died at age thirty-two from a ruptured appendix. During his short life, he wrote an inspired series of novels about the United States coming of age. The Octopus was a prescient warning about the threat of monopolies, and The Pit exposed the intrigues and dirty dealings at the Chicago grain exchange. Extensively reprinted, Norris's works have also found their way into popular consciousness through film (Erich von Stroheim's Greed), and even an opera based on his portrait of t...
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Reflecting the growing volume of published work in this field, researchers will find this book an invaluable source of information on current methods and applications.