Markov Chains and Invariant Probabilities

Name: Markov Chains and Invariant Probabilities
SKU: 21700354
Price: 149.00 NZD
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Paperback / softback

Series:

Progress in Mathematics

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Description

This book is about discrete-time, time-homogeneous, Markov chains (Mes) and their ergodic behavior. To this end, most of the material is in fact about stable Mes, by which we mean Mes that admit an invariant probability measure. To state this more precisely and give an overview of the questions we shall be dealing with, we will first introduce some notation and terminology. Let (X,B) be a measurable space, and consider a X-valued Markov chain ~. = {~k' k = 0, 1, ... } with transition probability function (t.pJ.) P(x, B), i.e., P(x, B) := Prob (~k+1 E B I ~k = x) for each x E X, B E B, and k = 0,1, .... The Me ~. is said to be stable if there exists a probability measure (p.m.) /.l on B such that (*) VB EB. /.l(B) = Ix /.l(dx) P(x, B) If (*) holds then /.l is called an invariant p.m. for the Me ~. (or the t.p.f. P).

Release date NZ

October 23rd, 2012

Author

Audience

Professional & Vocational

Edition

Softcover reprint of the original 1st ed. 2003

Illustrations

XVI, 208 p.

Pages

208

Series

Progress in Mathematics

Dimensions

156x234x12

ISBN-13

9783034894081

Product ID

21700354

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