14-01. Continuous-time Markov chains - Connection with discrete-time Markov and Poisson processes.

Автор: The probability channel - Professor Lanchier

Загружено: 2020-07-22

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This video defines continuous-time Markov chains and introduces the concepts of transition rates, conservative systems, and intensity matrix. We also prove that conservative continuous-time Markov chains can be constructed from a collection of independent Poisson processes (when does the process jump) and a discrete-time Markov chain called the embedded Markov chain (where does the process jump). This is Sections 10.1 and 10.2 of my Stochastic Modeling book.
This video is part of the playlist Advanced Stochastic Processes • 10-01. Stochastic processes - Filtrations,... .

14-01. Continuous-time Markov chains - Connection with discrete-time Markov and Poisson processes.

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