ENGLISH

Markov Chains and Invariant Probabilities

By Onésimo Hernández-Lerma , Jean Bernard Lasserre (auth.)

Book information

Publisher
Birkhäuser Basel
Year
2003
ISBN
3764370009, 9783764370008
DOI
10.1007/978-3-0348-8024-4
Open Library ID
OL18186694M
Language
english
Format
DJVU
Filesize
2 MB (2313888 bytes)
Series
Progress in Mathematics 211
Edition
1
Pages
208\219
DPI
600
Time added
2011-06-04 13:46:07
Management Science;Mathematical Methods in PhysicsProbability Theory and Stochastic Processes;Operat

Description

This book concerns discrete-time homogeneous Markov chains that admit an invariant probability measure. The main objective is to give a systematic, self-contained presentation on some key issues about the ergodic behavior of that class of Markov chains. These issues include, in particular, the various types of convergence of expected and pathwise occupation measures, and ergodic decompositions of the state space. Some of the results presented appear for the first time in book form. A distinguishing feature of the book is the emphasis on the role of expected occupation measures to study the long-run behavior of Markov chains on uncountable spaces. The intended audience are graduate students and researchers in theoretical and applied probability, operations research, engineering and economics.

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