Synopses & Reviews
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. A whole chapter is devoted to reversible processes and the use of their associated Dirichlet forms to estimate the rate of convergence to equilibrium.
Review
From the reviews: "The book under review ... provides an excellent introduction to the theory of Markov processes ... . An abstract mathematical setting is given in which Markov processes are then defined and thoroughly studied. Because of this the book will basically be of interest to mathematicians and those who have at least a good knowledge of undergraduate analysis and probability theory. ... The proofs are clearly written and explanations are not too concise which makes this book indeed very useful for a graduate course." (Stefaan De Winter, Bulletin of the Belgian Mathematical Society, Vol. 15 (1), 2008)
Synopsis
Provides a more accessible introduction than other books on Markov processes by emphasizing the structure of the subject and avoiding sophisticated measure theory Leads the reader to a rigorous understanding of basic theory
About the Author
The author has held positions at NYU, the Univresity of Colorado, and MIT. In addition, he has visited and lectured at many universities throughout the world. He has authored several book bout various aspects of probability thoery.
Table of Contents
Random Walks a Good Place to Begin.- Doeblin's Theory for Markov Chains.- More about the Ergodic Theory of Markov Chains.- Markov Processes in Continuous Time.- Reversible Markov Processes.- Some Mild Measure Theory.- Notation.- References.- Index.