Markov Chains J. R. Norris van is an English-language textbook aimed at students with some background in probability theory. It covers the theory and application of Markov chains within the context of random processes, with attention to both discrete- and continuous-time models.
This textbook provides a fast and coherent development of the theory behind Markov chains, including advanced topics such as martingales and potential theory. The emphasis is on practical applications in, among others, simulation, economics, optimization, genetics, and queueing theory.
The textbook is suitable for students in pure and applied probability and provides a solid foundation for both elementary and application-oriented courses on random processes. With numerous examples and exercises from both theory and practice, it supports a deep understanding of Markov chains.
Series: Cambridge Series in Statistical and Probabilistic Mathematics