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Continuous Time Markov Chains

Thomas J. Sargent and John Stachurski

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Creative Commons License – This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International.

A theme by QuantEcon

Contents

1. Memoryless Distributions
2. Poisson Processes
3. The Markov Property
4. The Kolmogorov Backward Equation
5. The Kolmogorov Forward Equation
6. Semigroups and Generators
7. UC Markov Semigroups
8. Stationarity and Ergodicity
9. Execution Statistics
10. Bibliography

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