Markov Chains


I would like to derive for myself the properties of Markov chains with discrete states in continuous time, as seen in queueing theory and other disciplines, as an exercise in staving off senility.

Keywords: Infinitesimal generator, Kolmogorov equations.

Good references include Gidi Amir and Glen Takahara.

Ross, Sheldon. 2008. Stochastic Processes. 2nd edition. New Delhi: WSE.