Description: Markov Chains and Stochastic Stability New up-to-date edition of this influential classic - the bible on Markov chains in general state spaces is back. Sean Meyn (Author), Richard L. Tweedie (Author), Peter W. Glynn (Prologue by) 9780521731829, Cambridge University Press Paperback / softback, published 2 April 2009 624 pages 24.7 x 17.4 x 3.2 cm, 1.12 kg '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 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. 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. Subject Areas: Automatic control engineering [TJFM], Stochastics [PBWL], Optimization [PBU], Probability & statistics [PBT]
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BIC Subject Area 1: Automatic control engineering [TJFM]
BIC Subject Area 2: Stochastics [PBWL]
BIC Subject Area 3: Optimization [PBU]
BIC Subject Area 4: Probability & statistics [PBT]
Number of Pages: 624 Pages
Publication Name: Markov Chains and Stochastic Stability
Language: English
Publisher: Cambridge University Press
Item Height: 247 mm
Subject: Mathematics
Publication Year: 2009
Type: Textbook
Item Weight: 1120 g
Author: Richard L. Tweedie, Sean Meyn
Item Width: 174 mm
Series: Cambridge Mathematical Library
Format: Paperback
