Sumários
C24 - Inhomogeneous Markov chains
5 Dezembro 2018, 11:00 • Alexandra Bugalho de Moura
8. TIME INHOMOGENEOUS MARKOV CHAINS
8.1. Introduction; Chapman-Kolmogorov equations.
8.2. Kolmogorov's forward differential equations.
8.3. Probabilities of remaining in states for given time periods.
8.4. Kolmogorov's backward differential equations.
8.5. Applications in insurance.
Examples
C23 - Time-continuous Markov chains
3 Dezembro 2018, 17:00 • Alexandra Bugalho de Moura
7. CONTINUOUS TIME HOMOGENEOUS MARKOV CHAINS
7.4. The embedded Markov chain.
7.5. Stationary and limiting distributions.
Examples and Exercises.