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I am currently starting my thesis on Markov Chains and am looking for good books and papers that include explicit calculations. I have taken a small course on Markov Chains so the subject is not completely new to me.

All help is appreciated.

Thank you

AndyMeow
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2 Answers2

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For a first introduction, I would suggest reading the book of S. Resnick "Adventures in stochastic process".

For a clear and concise in-depth study, the book of N. Ethier and G.Kurtz "Markov Processes , characterization and convergence"

Pi89
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Norris' Markov Chains is a good starting point (you can read the first chapter from the author's website). I think this is the best introductory text that I know of.

Assmussen's Applied Probability and Queues is another good book.

Meyn and Tweedie's Markov Chains and Stochastic Stability (1993 version, current version is significantly updated) is a nice book, but not so explicit. See also Meyn's Control for complex networks text (has a link to his "crash course on markov processes" as well). [Free from author's website]

There is also a bit of material in normal probability books (e.g. Durrett's Probability: Theory & Examples)

Markov chains have an extremely wide range of applications, so there are a lot of books you can look at -- you may want to be a bit more specific on what you want to know about markov chains.

Batman
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