Article | REF: AF612 V1

Markov chains

Author: Jean LACROIX

Publication date: October 10, 2008

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1. Markov evolution

To explain the notion of discrete-time Markovian evolution, one of the basic concepts is that of the transition operator, giving the probability law of the state of a random system at time (n + 1), given its state at time (n). In the case of a countable state space, this notion is reduced to that of the transition matrix, which we begin by specifying.

1.1 Transition matrices

Let E be a countable set.

Let E denote the set of applications of E in ...

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Markov evolution