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Markov Chains and Stochastic Stability: Cambridge Mathematical Library

Autor Sean Meyn, Richard L. Tweedie Prolog de Peter W. Glynn
en Limba Engleză Paperback – apr 2009
Meyn and Tweedie is back! The bible on Markov chains in general state spaces has been brought up to date to reflect developments in the field since 1996 - many of them sparked by publication of the first edition. The pursuit of more efficient simulation algorithms for complex Markovian models, or algorithms for computation of optimal policies for controlled Markov models, has opened new directions for research on Markov chains. As a result, new applications have emerged across a wide range of topics including optimisation, statistics, and economics. New commentary and an epilogue by Sean Meyn summarise recent developments and references have been fully updated. This second edition reflects the same discipline and style that marked out the original and helped it to become a classic: proofs are rigorous and concise, the range of applications is broad and knowledgeable, and key ideas are accessible to practitioners with limited mathematical background.
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Specificații

ISBN-13: 9780521731829
ISBN-10: 0521731828
Pagini: 624
Ilustrații: 4 b/w illus.
Dimensiuni: 174 x 247 x 32 mm
Greutate: 1.09 kg
Ediția:2nd edition.
Editura: Cambridge University Press
Colecția Cambridge University Press
Seria Cambridge Mathematical Library

Locul publicării:Cambridge, United Kingdom

Cuprins

List of figures; Prologue to the second edition Peter W. Glynn; Preface to the second edition Sean Meyn; Preface to the first edition; Part I. Communication and Regeneration: 1. Heuristics; 2. Markov models; 3. Transition probabilities; 4. Irreducibility; 5. Pseudo-atoms; 6. Topology and continuity; 7. The nonlinear state space model; Part II. Stability Structures: 8. Transience and recurrence; 9. Harris and topological recurrence; 10. The existence of Π; 11. Drift and regularity; 12. Invariance and tightness; Part III. Convergence: 13. Ergodicity; 14. f-Ergodicity and f-regularity; 15. Geometric ergodicity; 16. V-Uniform ergodicity; 17. Sample paths and limit theorems; 18. Positivity; 19. Generalized classification criteria; 20. Epilogue to the second edition; Part IV. Appendices: A. Mud maps; B. Testing for stability; C. Glossary of model assumptions; D. Some mathematical background; Bibliography; Indexes.

Recenzii

'This second edition remains true to the remarkable standards of scholarship established by the first edition … it will no doubt be a very welcome addition to the literature.' Peter W. Glynn, Prologue to the Second Edition

Notă biografică


Descriere

New up-to-date edition of this influential classic - the bible on Markov chains in general state spaces is back.