Martingales and Markov Chains: Solved Exercises and Elements of Theory (Paperback)

CONDITIONAL EXPECTATIONS
Introduction
Definition and First Properties
Conditional Expectations and Conditional Laws
Exercises
Solutions
STOCHASTIC PROCESSES
General Facts
Stopping Times
Exercises
Solutions
MARTINGALES
First Definitions
First Properties
The Stopping Theorem
Maximal Inequalities
Square Integral Martingales
Convergence Theorems
Regular Martingales
Exercises
Problems
Solutions
MARKOV CHAINS
Transition Matrices, Markov Chains
Construction and Existence
Computations on the Canonical Chain
Potential Operators
Passage Problems
Recurrence, Transience
Recurrent Irreducible Chains
Periodicity
Exercises
Problems
Solutions
REFERENCES
INDEX