Overview
- Corrected and enlarged 2nd edition
- Written by an expert
- Includes new material
- Includes supplementary material: sn.pub/extras
Part of the book series: Graduate Texts in Mathematics (GTM, volume 230)
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Table of contents (7 chapters)
Keywords
About this book
This book provides a rigorous but elementary introduction to the theory of Markov Processes on a countable state space. It should be accessible to students with a solid undergraduate background in mathematics, including students from engineering, economics, physics, and biology. Topics covered are: Doeblin's theory, general ergodic properties, and continuous time processes. Applications are dispersed throughout the book. In addition, a whole chapter is devoted to reversible processes and the use of their associated Dirichlet forms to estimate the rate of convergence to equilibrium. These results are then applied to the analysis of the Metropolis (a.k.a simulated annealing) algorithm.
The corrected and enlarged 2nd edition contains a new chapter in which the author develops computational methods for Markov chains on a finite state space. Most intriguing is the section with a new technique for computing stationary measures, which is applied to derivations of Wilson's algorithm and Kirchoff's formula for spanning trees in a connected graph.
Authors and Affiliations
About the author
Daniel Stroock has held positions at NYU, the University of Colorado, and MIT. In addition, he has visited and lectured at many universities throughout the world. He has authored several books on analysis and various aspects of probability theory and their application to partial differential equations and differential geometry.
Bibliographic Information
Book Title: An Introduction to Markov Processes
Authors: Daniel W. Stroock
Series Title: Graduate Texts in Mathematics
DOI: https://doi.org/10.1007/978-3-642-40523-5
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag GmbH Germany, part of Springer Nature 2014
Hardcover ISBN: 978-3-642-40522-8Published: 08 November 2013
Softcover ISBN: 978-3-662-51782-6Published: 23 August 2016
eBook ISBN: 978-3-642-40523-5Published: 28 October 2013
Series ISSN: 0072-5285
Series E-ISSN: 2197-5612
Edition Number: 2
Number of Pages: XVII, 203
Topics: Probability Theory and Stochastic Processes, Dynamical Systems and Ergodic Theory