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I've a syllabus like that..

Markov chains with finite and countable state space. Classification of states. Limiting behavior of n state transition probabilities. Stationary distribution. Branching process. Random walk. Gambler’s ruin problem. Markov processes in continuous time. Poisson’s process Partial correlation. Multiple correlation. Advanced theory of linear estimation

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See this thread and that one. –  Raymond Manzoni Mar 10 '13 at 14:20
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1 Answer 1

Standard texts on Markov chains are :

  • Norris: Markov Chains
  • D. Stroock: An Introduction to Markov Processes

Markov processes in cont. time is a more advanced subject. Literature suggestions: Last chapter in Cinlar: Probability and Stochastics; Getoor/ Blumenthal: Markov Processes and Potential theory.

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