Chapter 1 Poisson Processes - NYU Courant

www.math.nyu.edu

Chapter 2 Continuous time Markov Processes 2.1 Jump Markov Processes. If we have a Markov Chain {Xn} on a state space X, with transition probabil-ities Π(x,dy), and a Poisson Process N(t) with intensity λ, we can combine the two to define a continuous time Markov process x(t) with X as state space by the formula x(t) = XN(t)

  Chapter, Processes, Chapter 2, Poisson, Chapter 1 poisson processes, Processes 2