Sumários
Class 23
10 Dezembro 2014, 11:00 • MARIA DE LURDES CARAÇAS CENTENO
9. Time inhomogeneous Markov CHAINS
9.1. Introduction; Chapman-Kolmogorov equations
9.2. Kolmogorov's forward differential equations
9.3. Holding times
9.4. Kolmogorov's backward differential equations
9.5. Integrated form of the Kolmogorov backward equations
9.6. Integrated form of the Komogorov forward equations
9.7. Applications in insurance
Class 22
3 Dezembro 2014, 11:00 • MARIA DE LURDES CARAÇAS CENTENO
8.4. Holding times
8.5. Expected time to reach a given state
8.6. The embedded Markov chain
8.7. Stationary and limiting distributions
Class 21
1 Dezembro 2014, 11:00 • MARIA DE LURDES CARAÇAS CENTENO
8. CONTINUOUS TIME HOMOGENEOUS MARKOV CHAINS
8.1. Introduction: time homogeneous Markov process; Chapman-Kolmogorov equations
8.2. The transition probability matrix
8.3. The forward and backward differential equations