An Introduction to Markov Processes
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| Daniel W. Stroock | ||||
| Graduate Texts in Mathematics 230 | ||||
| Springer-Verlag Berlin Heidelberg | ||||
| 2014 | ||||
| English | ||||
| 203 pages | ||||
| 1.14 MB | ||||
| DJVU | ||||
[tab] [content title="Description"]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. [/content] [content title="Content"] [/content] [content title="About the author"]Daniel Wyler Stroock (born March 20, 1940) is an American mathematician, a probabilist. He is regarded and revered as one of the fundamental contributors to Malliavin calculus with Shigeo Kusuoka and the theory of diffusion processes with S. R. Srinivasa Varadhan with an orientation towards the refinement and further development of Itô’s stochastic calculus. [/content] [/tab]
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