Markov Processes

An Introduction for Physical Scientists


  • Daniel Gillespie, Naval Weapons Center

Markov process theory is basically an extension of ordinary calculus to accommodate functions whos time evolutions are not entirely deterministic. It is a subject that is becoming increasingly important for many fields of science. This book develops the single-variable theory of both continuous and jump Markov processes in a way that should appeal especially to physicists and chemists at the senior and graduate level.
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Professionals/scientists without training in probability and statistics (using books as a "self-help" guide), senior undergraduate and graduate level students in physics and chemistry and mathematicians specializing in game theory, and finite math.


Book information

  • Published: October 1991
  • ISBN: 978-0-12-283955-9

Table of Contents

Random Variable Theory. General Features of a Markov Process. Continuous Markov Processes. Jump Markov Processes with Continuum States. Jump Markov Processes with Discrete States. Temporally Homogeneous Birth-Death Markov Processes. Appendixes: Some Useful Integral Identities. Integral Representations of the Delta Functions. An Approximate Solution Procedure for "Open" Moment Evolution Equations. Estimating the Width and Area of a Function Peak. Can the Accuracy of the Continuous Process Simulation Formula Be Improved? Proof of the Birth-Death Stability Theorem. Solution of the Matrix Differential Equation. Bibliography. Index.