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Poisson processes are continuous time though. If you're interested in Markov chains you only need the discrete-time theory. In discrete time and discrete space
by soVeryTired 8y ago
Poisson processes are continuous time though. If you're interested in Markov chains you only need the discrete-time theory.
In discrete time and discrete space, it mostly just reduces to linear algebra.
- usgroup 8y agoUnless you’re interested in continuous markov chains, infinite state spaces, renewal theory, excessive functions, and so on.
- graycat 8y agoNo, can do continuous time discrete state space theory -- the jumps in the discrete state space are at the arrival times of the Poisson process -- that works out easily enough, especially if using Monte-Carlo. See my other post here on Red/Blue stuff.