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Unformatted text preview: IEOR 4106: Spring 2011, Professor Whitt Guide to Reading: Basics of CTMC’s These questions provide a guide to your reading on the basics of continuous-time Markov chains, covering material in Sections 1-4 in the long CTMC notes. Here are SOME QUESTIONS : 1. What is a stochastic process ? 2. What are the finite-dimensional distributions (f.d.d.’s) of a stochastic process? 3. What is the probability law of a stochastic process ? 4. When is a continuous-time stochastic process a Markov process ? (See (2.1).) 5. What are the transition probabilities of a CTMC? (See (2.2) 6. How do you get from the transition probabilities of a CTMC to the finite-dimensional distributions of a CTMC? (See (2.8.) 7. What are the Chapman-Kolmogorov equations of a CTMC ? (See Lemma 2.1.) 8. What are the Kolmogorov ODE’s of a CTMC , i.e., the Kolmogorov forward and backward ordinary differential equations (ODE’s) for a CTMC? (See Theorem 3.1) 9. What are the three main ways to construct a CTMC model? (See Sections 3.1, 3.2 and9....
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This note was uploaded on 01/16/2012 for the course IEOR 4106 taught by Professor Whitward during the Spring '11 term at Columbia College.
- Spring '11