Ergodic Behavior Of Markov Processes

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Ergodic Behavior Of Markov Processes

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Author : Alexei Kulik
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2017-11-20

Ergodic Behavior Of Markov Processes written by Alexei Kulik and has been published by Walter de Gruyter GmbH & Co KG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-20 with Mathematics categories.

The general topic of this book is the ergodic behavior of Markov processes. A detailed introduction to methods for proving ergodicity and upper bounds for ergodic rates is presented in the first part of the book, with the focus put on weak ergodic rates, typical for Markov systems with complicated structure. The second part is devoted to the application of these methods to limit theorems for functionals of Markov processes. The book is aimed at a wide audience with a background in probability and measure theory. Some knowledge of stochastic processes and stochastic differential equations helps in a deeper understanding of specific examples. Contents Part I: Ergodic Rates for Markov Chains and Processes Markov Chains with Discrete State Spaces General Markov Chains: Ergodicity in Total Variation MarkovProcesseswithContinuousTime Weak Ergodic Rates Part II: Limit Theorems The Law of Large Numbers and the Central Limit Theorem Functional Limit Theorems

Ergodic Behavior Of Markov Processes

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Author : Alexei Kulik
language : en
Publisher:
Release Date : 2018

Ergodic Behavior Of Markov Processes written by Alexei Kulik and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with MATHEMATICS categories.

Ergodic Control Of Diffusion Processes

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Author : Ari Arapostathis
language : en
Publisher: Cambridge University Press
Release Date : 2012

Ergodic Control Of Diffusion Processes written by Ari Arapostathis and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Mathematics categories.

The first comprehensive account of controlled diffusions with a focus on ergodic or 'long run average' control.

Markov Chains

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Author : Randal Douc
language : en
Publisher: Springer
Release Date : 2018-12-11

Markov Chains written by Randal Douc and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-12-11 with Mathematics categories.

This book covers the classical theory of Markov chains on general state-spaces as well as many recent developments. The theoretical results are illustrated by simple examples, many of which are taken from Markov Chain Monte Carlo methods. The book is self-contained, while all the results are carefully and concisely proven. Bibliographical notes are added at the end of each chapter to provide an overview of the literature. Part I lays the foundations of the theory of Markov chain on general states-space. Part II covers the basic theory of irreducible Markov chains on general states-space, relying heavily on regeneration techniques. These two parts can serve as a text on general state-space applied Markov chain theory. Although the choice of topics is quite different from what is usually covered, where most of the emphasis is put on countable state space, a graduate student should be able to read almost all these developments without any mathematical background deeperthan that needed to study countable state space (very little measure theory is required). Part III covers advanced topics on the theory of irreducible Markov chains. The emphasis is on geometric and subgeometric convergence rates and also on computable bounds. Some results appeared for a first time in a book and others are original. Part IV are selected topics on Markov chains, covering mostly hot recent developments.

Introduction To Probability

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Author : Charles Miller Grinstead
language : en
Publisher: American Mathematical Soc.
Release Date : 1997

Introduction To Probability written by Charles Miller Grinstead and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Mathematics categories.

This text is designed for an introductory probability course at the university level for undergraduates in mathematics, the physical and social sciences, engineering, and computer science. It presents a thorough treatment of probability ideas and techniques necessary for a firm understanding of the subject.

An Introduction To Markov Processes

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Author : Daniel W. Stroock
language : en
Publisher: Springer Science & Business Media
Release Date : 2004-11-23

An Introduction To Markov Processes written by Daniel W. Stroock and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-11-23 with Mathematics categories.

Provides a more accessible introduction than other books on Markov processes by emphasizing the structure of the subject and avoiding sophisticated measure theory Leads the reader to a rigorous understanding of basic theory

Ergodic Theory Of Random Transformations

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Author : Yuri Kifer
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Ergodic Theory Of Random Transformations written by Yuri Kifer and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.

Ergodic theory of dynamical systems i.e., the qualitative analysis of iterations of a single transformation is nowadays a well developed theory. In 1945 S. Ulam and J. von Neumann in their short note [44] suggested to study ergodic theorems for the more general situation when one applies in turn different transforma tions chosen at random. Their program was fulfilled by S. Kakutani [23] in 1951. 'Both papers considered the case of transformations with a common invariant measure. Recently Ohno [38] noticed that this condition was excessive. Ergodic theorems are just the beginning of ergodic theory. Among further major developments are the notions of entropy and characteristic exponents. The purpose of this book is the study of the variety of ergodic theoretical properties of evolution processes generated by independent applications of transformations chosen at random from a certain class according to some probability distribution. The book exhibits the first systematic treatment of ergodic theory of random transformations i.e., an analysis of composed actions of independent random maps. This set up allows a unified approach to many problems of dynamical systems, products of random matrices and stochastic flows generated by stochastic differential equations.

The Ergodic Theory Of Markov Processes

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Author : Shaul R. Foguel
language : en
Publisher:
Release Date : 1969

The Ergodic Theory Of Markov Processes written by Shaul R. Foguel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1969 with Ergodic theory categories.

Markov Chains And Stochastic Stability

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Author : Sean Meyn
language : en
Publisher: Cambridge University Press
Release Date : 2009-04-02

Markov Chains And Stochastic Stability written by Sean Meyn and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-04-02 with Mathematics categories.

New up-to-date edition of this influential classic on Markov chains in general state spaces. Proofs are rigorous and concise, the range of applications is broad and knowledgeable, and key ideas are accessible to practitioners with limited mathematical background. New commentary by Sean Meyn, including updated references, reflects developments since 1996.

Markov Chains

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Author : Kai Lai Chung
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Markov Chains written by Kai Lai Chung and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.

From the reviews: J. Neveu, 1962 in Zentralblatt fr Mathematik, 92. Band Heft 2, p. 343: "Ce livre crit par l'un des plus minents spcialistes en la matire, est un expos trs dtaill de la thorie des processus de Markov dfinis sur un espace dnombrable d'tats et homognes dans le temps (chaines stationnaires de Markov)." N. Jain, 2008 in Selected Works of Kai Lai Chung, edited by Farid AitSahlia (University of Florida, USA), Elton Hsu (Northwestern University, USA), & Ruth Williams (University of California-San Diego, USA), Chapter 1, p. 15: "This monograph deals with countable state Markov chains in both discrete time (Part I) and continuous time (Part II). ... Much of Kai Lai's fundamental work in the field is included in this monograph. Here, for the first time, Kai Lai gave a systematic exposition of the subject which includes classification of states, ratio ergodic theorems, and limit theorems for functionals of the chain."