Martingales and Markov Chains

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Martingales and Markov chains. In the world of applied probability and statistics, being familiar with them is an unavoidable step toward the study of more complex situations. Yet until now, a text has not existed that presents exercises in discrete time stochastic processes and their detailed solutions. Written for senior undergraduate and graduate probability courses, Martingales and Markov Chains fills that need. It presents a section of elementary exercises using only basic theory, then introduces more difficult problems that prompt initiative by the reader. This book also provides a section of problems that open the perspective toward specific applications. While the text mainly presents exercises in increasing order of difficulty, it also includes sequences of exercises that are closely related, though not necessarily of the same difficulty.