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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.

on Markov chains in order to be able to solve all of the exercises in Appendix C. I advise students to postpone these exercises until they feel familiar with the exercises in Chapters 2 and 3. For further reading I can recommend the books by Asmussen [2003, Chap. 1-2], Brémaud [1999] and Lawler [2006, Chap. 1-3]. My

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