Markov Chains

  • David Freedman

Table of contents

  1. Front Matter
    Pages i-xiv
  2. Discrete time

    1. David Freedman
      Pages 1-46
    2. David Freedman
      Pages 47-81
    3. David Freedman
      Pages 82-110
    4. David Freedman
      Pages 111-137
  3. Continuous time

    1. David Freedman
      Pages 138-171
    2. David Freedman
      Pages 172-215
    3. David Freedman
      Pages 216-251
    4. David Freedman
      Pages 252-296
    5. David Freedman
      Pages 297-328
  4. Part III

    1. David Freedman
      Pages 329-366
  5. Back Matter
    Pages 367-382

About this book


A long time ago I started writing a book about Markov chains, Brownian motion, and diffusion. I soon had two hundred pages of manuscript and my publisher was enthusiastic. Some years and several drafts later, I had a thousand pages of manuscript, and my publisher was less enthusiastic. So we made it a trilogy: Markov Chains Brownian Motion and Diffusion Approximating Countable Markov Chains familiarly - MC, B & D, and ACM. I wrote the first two books for beginning graduate students with some knowledge of probability; if you can follow Sections 10.4 to 10.9 of Markov Chains you're in. The first two books are quite independent of one another, and completely independent of the third. This last book is a monograph which explains one way to think about chains with instantaneous states. The results in it are supposed to be new, except where there are specific disclaim­ ers; it's written in the framework of Markov Chains. Most of the proofs in the trilogy are new, and I tried hard to make them explicit. The old ones were often elegant, but I seldom saw what made them go. With my own, I can sometimes show you why things work. And, as I will VB1 PREFACE argue in a minute, my demonstrations are easier technically. If I wrote them down well enough, you may come to agree.


Brownian motion Chains Markov Markov chain Markov property Markowsche Kette Martingale Variance jump process

Authors and affiliations

  • David Freedman
    • 1
  1. 1.Department of StatisticsUniversity of CaliforniaBerkeleyUSA

Bibliographic information