Stochastic Dynamical Models
Lecture by lecture, the course of Stochastic Dynamical Models at Politecnico di Milano, starting from discrete-time Markov chains.
- Markov chains and the transition matrix
- Calculation of -step transition probabilities and class structure
- Exercises on the Markov property, classification of states and period
- Recurrent and transient states
- Random walks on
- Invariant densities of Markov chains
- Limit theorems and fast recurrence
- -algebras, measurable functions and independence
- The strong Markov property