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1、Copyrightc2007byKarlSigman1SimulatingMarkovchainsManystochasticprocessesusedforthemodelingof nancialassetsandothersystemsinengi-neeringareMarkovian,andthismakesitrelativelyeasytosimulatefromthem.HerewepresentabriefintroductiontothesimulationofMarkovchains
2、.Ouremphasisisondiscrete-statechainsbothindiscreteandcontinuoustime,butsomeexampleswithageneralstatespacewillbediscussedtoo.1.1De nitionofaMarkovchainWeshallassumethatthestatespaceSofourMarkovchainisS=ZZ=f:::;
