Introduction to Stochastic Processes
Houghton Mifflin Comp., 1972 - Mathematics - 203 pages
Markov chains; Stationary distributions of a markov chain; Markov pure jump processes; Second order processes; Continuity, integration, and differentiation of second order processes; Stochastic differential equations, estimation theory, and spectral distribution.
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4 2 Transition matrix
Stationary Distributions of a Markov Chain
6 other sections not shown
absorbing birth and death branching chain chain is irreducible Chapter conclude Consider a Markov cov X(s covariance function death chain death process denote the number distribution function distribution with parameter dW(s Ehrenfest chain Exercise exponentially distributed Find the stationary finite number follows formula gambler gambler's ruin Gaussian process given hence holds infinite initial conditions initial distribution irreducible closed set Let X(t Markov chain starting Markov property mean and covariance mean square nonnegative integers normally distributed null recurrent order stationary process P(Xn particles Poisson distribution Poisson process positive integer positive recurrent probability probability generating function process satisfying process X(t Pxy(t queuing chain result rx(s sample functions second order process second order stationary Section spectral density stochastic differential equation stochastic process Suppose Theorem transient transition function transition matrix unique stationary distribution white noise Wiener process x e Sf