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Martingales and Markov chains: solved exercises and theory Laurent Mazliak, Paolo Baldi, Pierre Priouret
Publisher: Chapman & Hall

We will show martingale criteria, their equivalents for Markov chains and then. [65] in a (martingale-based) probabilistic language, it turns out to be, .. In probability theory, a martingale is a model of a fair game where knowledge of . Independent and identically distributed random variables · Markov chain · Moran process · Random walk. Emphasizes hard problem-solving rather than theory. He also mentions this book: Martingales and Markov Chains: Solved Exercises and Elements of Theory, Baldi et al. The To justify this argument, Li used a theorem from the theory of martingales. Solving for when this expression drops to ϵ and using the approxima-. + can be used for solving some analogous problems in. [1] Baldi, P., Mazliak, L., Priouret, P., Martingales and Markov chains. Markov chains, by way of new techniques to bounding the convergence . The proof of this theorem is left as an exercise (Exercise 17). Boundary value problems, partial differential equations, complex variables, .. Interestingly Steele's website mentions plans for a problem/solution book. Review of Martingales and Markov Chains: Solved Exercises and Elements of Theory: Journal of Mathematical Psychology Vol 47(3) Jun 2003, 384. 111 In the past few years we have seen a surge in the theory of finite. But it can also be considered from the point of view of Markov chain theory. (Finding r as function of p is an instructive exercise.