ENGLISH

Markov chains and stochastic stability

By Peter W. Glynn , Richard L. Tweedie , Sean Meyn

Book information

Publisher
Cambridge University Press
Year
2009
ISBN
9780521731829, 0521731828
Open Library ID
OL23920055M
Language
english
Format
PDF
Filesize
7 MB (7239901 bytes)
Series
Cambridge Mathematical Library
Edition
2
Pages
624\624
Library
Kolxo3
Time added
2009-12-04 00:34:26

Description

Meyn & 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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