- Publisher: Cambridge University Press
- Expected online publication date: November 2020
- Print publication year: 2020
- Online ISBN: 9781108863070
Elementary treatments of Markov chains, especially those devoted to discrete-time and finite state-space theory, leave the impression that everything is smooth and easy to understand. This exposition of the works of Kolmogorov, Feller, Chung, Kato and other mathematical luminaries focuses on time-continuous chains but is not so far from being elementary itself. It reminds us once again that the first impression is false: an infinite, but denumerable state-space is where the fun begins. If you have not heard of Blackwell's example (in which all states are instantaneous), do not understand what the minimal process is, or do not know what happens after explosion, dive right in. But beware lest you are enchanted: 'There are more spells than your commonplace magicians ever dreamed of.'
Jacek Banasiak - University of Pretoria
Tomasz Szarek - University of Gdansk