An Introduction to Markov Processes. 2nd ed. 2014

種類:

電子ブック

責任表示:

by Daniel W. Stroock

出版情報:

Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2014

著者名:

• Stroock, Daniel W.
• SpringerLink (Online service)

シリーズ名:

Graduate Texts in Mathematics ; 230

ISBN:

9783642405235 [3642405231]    

注記:

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 spannin

ローカル注記:

学内専用E-BOOKS (local access only)