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Duality and Intertwining in Markov Chains - Lecture 2

Offered By: Institute for Mathematical Sciences via YouTube

Tags

Markov Chains Courses Stochastic Processes Courses Probability Theory Courses

Course Description

Overview

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Explore the concept of intertwining in Markov chains through this 59-minute lecture by Persi Diaconis from Stanford University. Delve into the second part of the IMS Distinguished Visitor Lecture Series, focusing on duality and intertwining in stochastic processes. Discover how embedded processes within natural Markov chains can lead to stationarity and examine the fundamental intertwining relation 'Pi P = Lambda P'. Investigate the connections between this concept and other dualities, such as time reversal and Siegmund duality. Learn about various extensions, including set and measure-valued duals, as Diaconis presents these complex ideas in an accessible, hands-on manner.

Syllabus

Duality and Intertwining


Taught by

Institute for Mathematical Sciences

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