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Chapter 10. Markov chains. Manual for SOA Exam MLC.
 

Summary: 1/110
Chapter 10. Markov chains.
Manual for SOA Exam MLC.
Chapter 10. Markov chains.
Section 10.2. Markov chains.
c 2008. Miguel A. Arcones. All rights reserved.
Extract from:
"Arcones' Manual for SOA Exam MLC. Fall 2009 Edition",
available at http://www.actexmadriver.com/
c 2008. Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
2/110
Chapter 10. Markov chains. Section 10.2. Markov chains.
Markov chains
Definition 1
A discrete time Markov chain {Xn : n = 0, 1, 2, . . . } is a
stochastic process with values in the countable space E such that
for each i0, i1, . . . , in, j E,
P{Xn+1 = j|X0 = i0, X1 = i1, . . . , Xn-1 = in-1, Xn = in} (1)
= P{Xn+1 = j|Xn = in}.
c 2008. Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.

  

Source: Arcones, Miguel A. - Department of Mathematical Sciences, State University of New York at Binghamton

 

Collections: Mathematics