Graduate Texts in Mathematics

An Introduction to Markov Processes

Authors: Stroock, Daniel W.

  • Corrected and enlarged 2nd edition
  • Written by an expert
  • Includes new material
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  • ISBN 978-3-642-40523-5
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  • ISBN 978-3-642-40522-8
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About this Textbook

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.

About the authors

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.

Table of contents (7 chapters)

  • Random Walks, a Good Place to Begin

    Stroock, Daniel W.

    Pages 1-23

  • Doeblin’s Theory for Markov Chains

    Stroock, Daniel W.

    Pages 25-47

  • Stationary Probabilities

    Stroock, Daniel W.

    Pages 49-71

  • More About the Ergodic Properties of Markov Chains

    Stroock, Daniel W.

    Pages 73-98

  • Markov Processes in Continuous Time

    Stroock, Daniel W.

    Pages 99-136

Buy this book

eBook $54.99
price for USA (gross)
  • ISBN 978-3-642-40523-5
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $69.99
price for USA
  • ISBN 978-3-642-40522-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $69.99
price for USA
  • ISBN 978-3-662-51782-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
An Introduction to Markov Processes
Authors
Series Title
Graduate Texts in Mathematics
Series Volume
230
Copyright
2014
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
Distribution Rights
Distribution rights for India: Researchco Book Centre, New Delhi, India
eBook ISBN
978-3-642-40523-5
DOI
10.1007/978-3-642-40523-5
Hardcover ISBN
978-3-642-40522-8
Softcover ISBN
978-3-662-51782-6
Series ISSN
0072-5285
Edition Number
2
Number of Pages
XVII, 203
Topics