KMA/MR Markov Chains

Lecturer: Karel Hron
Lecture: 2 hours/week e exercise 1 hour/week
Credits: 3
Summer semester
Form of course completion: course credit, exam

• Motivation, Markov chains with discrete time - basic terms.
• Transition probabilities, classification of states of a chain.
• Classification of states of a chain.
• Decomposition of a state set.
• Markov chains with continuous time, Kolmogorov differential equations.
• Stationary distribution, Poisson process.
• Further known processes.
• Markov chains with yields.
• Simulations of Markov chains.
• Applications of Markov chains in queueing theory.
• Further applications of Markov chains.