Markov chains and stochastic stability
著者
書誌事項
Markov chains and stochastic stability
（Cambridge mathematical library）
Cambridge University Press, 2009
2nd ed
- : pbk
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注記
Previous ed.: Springer, 1993
Includes bibliographical references (p. 567-586) and indexes
内容説明・目次
内容説明
Meyn and 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.
目次
- List of figures
- Prologue to the second edition Peter W. Glynn
- Preface to the second edition Sean Meyn
- Preface to the first edition
- Part I. Communication and Regeneration: 1. Heuristics
- 2. Markov models
- 3. Transition probabilities
- 4. Irreducibility
- 5. Pseudo-atoms
- 6. Topology and continuity
- 7. The nonlinear state space model
- Part II. Stability Structures: 8. Transience and recurrence
- 9. Harris and topological recurrence
- 10. The existence of
- 11. Drift and regularity
- 12. Invariance and tightness
- Part III. Convergence: 13. Ergodicity
- 14. f-Ergodicity and f-regularity
- 15. Geometric ergodicity
- 16. V-Uniform ergodicity
- 17. Sample paths and limit theorems
- 18. Positivity
- 19. Generalized classification criteria
- 20. Epilogue to the second edition
- Part IV. Appendices: A. Mud maps
- B. Testing for stability
- C. Glossary of model assumptions
- D. Some mathematical background
- Bibliography
- Indexes.
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