12-01. Discrete-time Markov chains - Multistep probabilities and Chapman-Kolmogorov's equations.

Автор: The probability channel - Professor Lanchier

Загружено: 2020-04-06

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This video introduces discrete-time Markov chains that can be studied using a transition matrix and/or a directed graph representation. We also prove Chapman-Kolmogorov’s equations and show the relationship between the multistep transition probabilities and the powers of the transition matrix. This is Section 7.1 of my Stochastic Modeling book.
This video is part of the playlist Advanced Stochastic Processes • 10-01. Stochastic processes - Filtrations,... .

12-01. Discrete-time Markov chains - Multistep probabilities and Chapman-Kolmogorov's equations.

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