ENGLISH

An Introduction to Markov Processes

By Daniel W. Stroock (auth.)

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
2014
ISBN
9783540234999, 3-540-23499-3
DOI
10.1007/978-3-642-40523-5
ISSN
0072-5285
Open Library ID
OL3316442M
Language
english
Format
PDF
Filesize
8 MB (8181552 bytes)
Series
Graduate Texts in Mathematics 230
Edition
2
Pages
203\186
Library
mexmat
Time added
2009-07-20 03:45:11
Probability Theory and Stochastic Processes; Dynam

Description

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.

Similar books