Markov chains and stochastic stability / Sean Meyn and Richard L. Tweedie.
2009
QA274.7 .M49 2009
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Details
Title
Markov chains and stochastic stability / Sean Meyn and Richard L. Tweedie.
Edition
2nd ed.
ISBN
9780511719462 (electronic bk.)
0511719469 (electronic bk.)
9780511626630 (electronic bk.)
0511626630 (electronic bk.)
051151543X
9780511515439
9780521731829 (pbk.)
0521731828 (pbk.)
0511719469 (electronic bk.)
9780511626630 (electronic bk.)
0511626630 (electronic bk.)
051151543X
9780511515439
9780521731829 (pbk.)
0521731828 (pbk.)
Imprint
Cambridge ; New York : Cambridge University Press, 2009.
Language
English
Description
1 online resource (xxviii, 594 pages) : illustrations
Call Number
QA274.7 .M49 2009
System Control No.
(OCoLC)667096030
Summary
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.
Bibliography, etc. Note
Includes bibliographical references (pages 567-586) and index.
Formatted Contents Note
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 PI; 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.
Added Author
Series
Communications and control engineering series.
Available in Other Form
Print version: Meyn, S.P. (Sean P.). Markov chains and stochastic stability. 2nd ed. Cambridge ; New York : Cambridge University Press, 2009
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