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Quantitative Finance · Glossaire

Qu'est-ce que « Markov chain, continuous-time Markov chain » ?

Aussi appelé : Markov chain · continuous-time Markov chain

Definition 8.1 Quantitative Methods · Chapitre 8 — Markov Chains and Queues

A Markov chain is a Markov process with a countable state space, observed at integer times, with transition matrix Pij=P(Xn+1=j∣Xn=i)P_{ij} = \P(X_{n+1} = j \mid X_n = i). A continuous-time Markov chain is a right-continuous Markov process (Xt)t≥0(X_t)_{t\ge0} with a countable state space whose transition probabilities Pij(t)=P(Xs+t=j∣Xs=i)P_{ij}(t) = \P(X_{s+t} = j \mid X_s = i) do not depend on ss.

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