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Continuous Time Markov Chains

Thomas J. Sargent & John Stachurski

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

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. Bibliography

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