Markov Chains and Stochastic Stability
2nd Edition
£75.99
Part of Cambridge Mathematical Library
- Authors:
- Sean Meyn, University of Illinois, Urbana-Champaign
- Richard L. Tweedie, University of Minnesota
- Date Published: April 2009
- availability: Available
- format: Paperback
- isbn: 9780521731829
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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.
Read more- The modern classic, available in print for the first time in 10 years
- The 1994 ORSA/TIMS Best Publication on Applied Probability Award winner, brought up to date to reflect recent developments
- Now includes a prologue by Peter W. Glynn
Reviews & endorsements
'This second edition remains true to the remarkable standards of scholarship established by the first edition … it will no doubt be a very welcome addition to the literature.' Peter W. Glynn, Prologue to the Second Edition
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×Product details
- Edition: 2nd Edition
- Date Published: April 2009
- format: Paperback
- isbn: 9780521731829
- length: 624 pages
- dimensions: 247 x 174 x 32 mm
- weight: 1.12kg
- contains: 4 b/w illus.
- availability: Available
Table of Contents
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 Î
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.
Related Books
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