Markov chains

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

Mots clés

Markov chains Geometric ergodicity Markov property Potential theory Operator theory Limit theorems Martingales Ergodic theory

Domaines

Probabilités [math.PR]

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Soumis le : lundi 18 février 2019-10:23:10

Dernière modification le : mardi 3 décembre 2024-15:14:03

Dates et versions

hal-02022651 , version 1 (18-02-2019)

Identifiants

HAL Id : hal-02022651 , version 1
DOI : 10.1007/978-3-319-97704-1

Citer

Randal Douc, Eric Moulines, Pierre Priouret, Philippe Soulier. Markov chains. Springer, pp.757, 2018, Operation research and financial engineering, Operation research and financial engineering, 978-3-319-97703-4. ⟨10.1007/978-3-319-97704-1⟩. ⟨hal-02022651⟩

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