Markov Processes

Randolph Nelson
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Randolph Nelson: OTA Limited Partnership

Chapter 8 in Probability, Stochastic Processes, and Queueing Theory, 1995, pp 329-389 from Springer

Abstract: Abstract In this chapter we consider an important type of stochastic process called the Markov process. A Markov process1 is a stochastic process that has a limited form of “historical” dependency. To precisely define this dependency, let {X(t) : t ∈ T} be a stochastic process defined on the parameter set T. We will think of T in terms of time, and the values that X(t) can assume are called states which are elements of a state space S.

Keywords: Markov Chain; Markov Process; Stationary Distribution; Sample Path; Markov Property (search for similar items in EconPapers)
Date: 1995
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DOI: 10.1007/978-1-4757-2426-4_8

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