ENGLISH

Topics in the constructive theory of countable Markov chains

By Fayolle G. , Malyshev V.A. , Menshikov M.V.

Book information

Publisher
CUP
Year
1995
ISBN
0521461979, 9780521461979
LCC
QA274.7 .F39 1995
Open Library ID
OL1082879M
Language
english
Format
DJVU
Filesize
843 kB (863738 bytes)
Pages
174\174
Library
Kolxo3
DPI
300
Time added
2011-07-22 07:35:22

Description

Markov chains are an important idea, related to random walks, which crops up widely in applied stochastic analysis. They are used for example in performance modeling and evaluation of computer networks, queuing networks, and telecommunication systems. The main point of the present book is to provide methods, based on the construction of Lyapunov functions, of determining when a Markov chain is ergodic, null recurrent, or transient. These methods, which are on the whole original and new, can also be extended to the study of questions of stability. Of particular concern are reflected random walks and reflected Brownian motion. Here, the authors provide a self-contained introduction to the theory and details of how the required Lyapunov functions are constructed in various situations.

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