Springer Series in Operations Research and Financial Engineering

Markov Chains

Authors: Douc, R., Moulines, E., Priouret, P., Soulier, P.

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  • Includes many results which are published for the first time in a textbook
  • Many results are illustrated with simple examples
  • Provides an accessible presentation of important ergodicity results of general state Markov chains with many new proof ideas
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eBook 63,06 €
price for Spain (gross)
  • ISBN 978-3-319-97704-1
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  • Included format: EPUB, PDF
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  • Immediate eBook download after purchase
Hardcover 77,99 €
price for Spain (gross)
  • ISBN 978-3-319-97703-4
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  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
About this Textbook

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 deeper than 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.

About the authors

Randal Douc is a Professor in the CITI Department at Telecom SudParis. His research interests include parameter estimation in general Hidden Markov models and Markov Chain Monte Carlo (MCMC) and sequential Monte Carlo methods.
Eric Moulines is a Professor at Ecole Polytechnique's Applied Mathematics Center (CMAP, UMR Ecole Polytechnique/CNRS).  
Pierre Priouret is a Professor at Université Pierre et Marie Curie
Philippe Soulier is a professor at Université de Paris-Nanterre

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Table of contents (23 chapters)

Table of contents (23 chapters)

Buy this book

eBook 63,06 €
price for Spain (gross)
  • ISBN 978-3-319-97704-1
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 77,99 €
price for Spain (gross)
  • ISBN 978-3-319-97703-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
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Bibliographic Information

Bibliographic Information
Book Title
Markov Chains
Authors
Series Title
Springer Series in Operations Research and Financial Engineering
Copyright
2018
Publisher
Springer International Publishing
Copyright Holder
Springer Nature Switzerland AG
eBook ISBN
978-3-319-97704-1
DOI
10.1007/978-3-319-97704-1
Hardcover ISBN
978-3-319-97703-4
Series ISSN
1431-8598
Edition Number
1
Number of Pages
XVIII, 757
Number of Illustrations
423 b/w illustrations, 1 illustrations in colour
Topics