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An introduction to Markov chains

A N D E R S TO LV E RA N I N T R O D U C T I O N TOM A R KOV C H A I N SL E C T U R E N OT E S F O R S TO C H A S T I C P R O C E S S E S2 Anders TolverDepartment of Mathematical SciencesUniversity of CopenhagenUniversitetsparken5DK-2100 Copenhagen , Denmarkemail: printing, November2016 Copyright Anders TolverISBN:978-87-7078-952-3 PrefaceThese lecture notes have been developed for the courseStochastic Pro-cessesat Department of Mathematical Sciences, University of Copen-hagen during the teaching years2010-2016. The material covers as-pects of the theory for time-homogeneous Markov chains in discreteand continuous time on finite or countable state back bone of this work is the collection of examples and exer-cises in Chapters2and3. It is my hope that all mathematical resultsand tools required to solve the exercises are contained in Chapters2and3and in Appendix B.

by examples in Ragner Nordberg’s lecture notes on Basic Life Insur-ance Mathematics (Version: September 2002). The presentation of the mathematical results on Markov chains have many similarities to var-ious lecture notes by Jacobsen and Keiding [1985], by Nielsen, S. F., and by Jensen, S. T.

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