In this chapter, we discuss Markov chains on continuous state space. We first analyze a discrete-time Markov chain on continuous state space, and then discuss a discrete-time Markov chain on a bivariate state space. Applying the censoring technique, we provide expression for the RG -...
举例来说,我们常把有可数状态空间(countable state space),在时间上是连续或者离散的,Markov process定义成Markov chain。但是,将Markov chain定义成有离散时间(discrete time),可数或者连续状态空间的(countable or continuous state space),Markov process也挺常见的。 类型 下面这张表给出Markov chain的所有类型,是...
有向权重图是Markov chain的表示方法,Markov chain的内涵在于Markov property上。 9. 什么是second order Markov chain? 7中的是first order Markov chain。 10.什么是Continuous-time Markov chain和Continuous-space Markov chain? Continuous-space Markov chain(也叫做state space):常用来model stock price,其它例子...
In this chapter, we discuss Markov chains on continuous state space. We first analyze a discrete-time Markov chain on continuous state space, and then discuss a discrete-time Markov chain on a bivariate state space. Applying the censoring technique, we provide expression for the RG -factorization...
20．2． Continuous-Time Mixing 20．3． Spectral Gap 20．4． Product Chains Exercises Notes Chapter 21． Countable State Space Chains 21．1． Recurrence and Transience 21．2． Infinite Networks 21．3． Positive Recurrence and Convergence 21．4． Null Recurrence and Convergence 21．5． Boun...
continuous-timeMarkov chain countablestate space Xvaluedrandom variables right-continuousstep functions; anyset standarddefinition: most elementary textbooks omit tacitlyassume later.(Ross refers conditionguarantees Markovchain makes only finitely many jumps anyfinite time interval. interestingexamples (...
马尔可夫链(Markov Chain, MC)是概率论和数理统计中具有马尔科夫性质(Markov property)且存在于离散的指数集(index set)和状态空间(state space)内的随机过程(stochastic process)。适用于连续指数集的马尔可夫链被称为马尔科夫过程(Markov process),但有时也被视为马尔可夫链的子集,即连续时间马尔科夫链(Continuou...
Indexspaceiscontinuous. Thestatespaceisdiscretevalued. ContinuousTimeMarkovChain(CTMC) ACTMCcanbecompletelydescribedby: InitialstateprobabilityvectorforX(t0): Transitionprobabilities. Also, HomogenousCTMCs isatime-homogenousCTMCiff Or,theconditionalpmfsatisfies: ...
马尔可夫链(Markov Chain, MC)是概率论和数理统计中具有马尔科夫性质(Markov property)且存在于离散的指数集(index set)和状态空间(state space)内的随机过程(stochastic process)。适用于连续指数集的马尔可夫链被称为马尔科夫过程(Markov process),但有时也被视为马尔可夫链的子集,即连续时间马尔科夫链(Continuou...