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13 views

Markov Models and Applications

I am looking for resources in Markov models and its applications. I'm looking for tutorials, videos, books etc which provide the following Explain Markov chains in layperson terms and provide ...
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0answers
51 views

Strong Markov property for Poisson point process

The question is thoroughly contained in the title. I just say that I would only like to find a reference for this question. I have searched in some books, to no avail. Just to avoid misunderstanding, ...
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0answers
33 views

References for time-inhomogeneous Markov jump processes?

In some central models in life insurance mathematics, the state of the insured is modeled using a continuous-time time-inhomogeneous Markov process with finitely many states. While many results for ...
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1answer
53 views

Strong Markov property given transition functions

Suppose we are given family of transition functions satisfying Chapman-Kolmogorov equation, what conditions will ensure that there exists a continuous or cadlag Markov process with given transition ...
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1answer
71 views

Transition function is a Markov semigroup?

How does the transition function in a Markov process become a Markov semigroup in time homogeneous Markov processes? Thanks a lot.
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2answers
344 views

Expected state of a Markov chain

Let's start with a slightly trivial Markov chain defined as follows: the beginning state is called $1$ and the set of states is $\mathbb{N}$. At each step, when the current state is $n$, the ...
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0answers
71 views

References for basics of Piecewise-Deterministic Markov Processes

I am looking for introductory/pedagogical material to Piecewise-Deterministic Markov Processes (see http://en.wikipedia.org/wiki/Piecewise-deterministic_Markov_process) (For the moment I am interested ...
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0answers
51 views

Efficient random number generation for sojourn times in semi-Markov processes

I'm doing a self-study of semi-Markov processes and was wondering if there are efficient methods for generating random numbers for sojourn times. For example, generating a bunch of random numbers from ...
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30 views

Reference on Generators of Markov Processes

I came across these regime switching geometric Brownian Motions where the drift and volatility switches a number of states which is driven by a Markov Chain. Can someone please point me to a ...
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3answers
107 views

Introduction to Markov Random Fields

I'm looking for a gentle introduction to this topic. The material I've found so far is substantially related to physics, and requires some background in such field. Is there anything more general and ...
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35 views

Books about Markov Models

I am looking about books on Markov chains, with recent findings such as autoregressive HMM, HMM with inputs, multiple HMM connected together. Is there anything I can look at?