An Introduction to Markov Processes (2nd Ed., 2nd ed. 2014) Graduate Texts in Mathematics Series, Vol. 230
Auteur : Stroock Daniel W.
This book provides a rigorous but elementary introduction to the theory of Markov Processes on a countable state space. It should be accessible to students with a solid undergraduate background in mathematics, including students from engineering, economics, physics, and biology. Topics covered are: Doeblin's theory, general ergodic properties, and continuous time processes. Applications are dispersed throughout the book. In addition, a whole chapter is devoted to reversible processes and the use of their associated Dirichlet forms to estimate the rate of convergence to equilibrium. These results are then applied to the analysis of the Metropolis (a.k.a simulated annealing) algorithm.
The corrected and enlarged 2nd edition contains a new chapter in which the author develops computational methods for Markov chains on a finite state space. Most intriguing is the section with a new technique for computing stationary measures, which is applied to derivations of Wilson's algorithm and Kirchoff's formula for spanning trees in a connected graph.
Preface.- Random Walks, a Good Place to Begin.- Doeblin's Theory for Markov Chains.- Stationary Probabilities.- More about the Ergodic Theory of Markov Chains.- Markov Processes in Continuous Time.- Reversible Markov Processes.- A minimal Introduction to Measure Theory.- Notation.- References.- Index.
Daniel Stroock has held positions at NYU, the University of Colorado, and MIT. In addition, he has visited and lectured at many universities throughout the world. He has authored several books on analysis and various aspects of probability theory and their application to partial differential equations and differential geometry.
Corrected and enlarged 2nd edition
Written by an expert
Includes new material
Includes supplementary material: sn.pub/extras
Date de parution : 08-2016
Ouvrage de 203 p.
15.5x23.5 cm
Disponible chez l'éditeur (délai d'approvisionnement : 15 jours).
Prix indicatif 60,12 €
Ajouter au panierDate de parution : 11-2013
Ouvrage de 203 p.
15.5x23.5 cm
Disponible chez l'éditeur (délai d'approvisionnement : 15 jours).
Prix indicatif 84,39 €
Ajouter au panierThème d’An Introduction to Markov Processes :
Mots-clés :
60-01, 60J10, 60J27, 60J28, 37L40, Markov chains, ergodic theory, reversible Markov chains