Stochastic Processes, Markov Chains and Markov Jumps

Stochastic Processes, Markov Chains and Markov Jumps free download

By MJ the Fellow Actuary

In this course we look at Stochastic Processes, Markov Chains and Markov Jumps

We then work through an impossible exam question that caused the low pass rate in the 2019 sitting.

This question requires you to have R Studio installed on your computer.

Things we cover in this course:

Section 1

• Stochastic Process

• Stationary Property

• Markov Property

• White Noise

• Increments

• Random Walks

Section 2

• Markov Chains

• Transition Probabilities

• Chapman-Kolmogorov Equations

• Transition Matrix

• Stationary Probability Distributions

• Irreducibility

• Periodicity

Section3

• R Studio Exam Question

Section 4

• Markov Jump Process

• Transition and Survival Probabilities

• Kolmogorov's Forward Differential Equation

• Transition Rates

• Generator Matrix

• Kolmogorov's Backward Differential Equation