Finite Markov Processes and Their Applications
Title | Finite Markov Processes and Their Applications PDF eBook |
Author | Marius Iosifescu |
Publisher | Courier Corporation |
Pages | 305 |
Release | 2014-07-01 |
Genre | Mathematics |
ISBN | 0486150585 |
A self-contained treatment of finite Markov chains and processes, this text covers both theory and applications. Author Marius Iosifescu, vice president of the Romanian Academy and director of its Center for Mathematical Statistics, begins with a review of relevant aspects of probability theory and linear algebra. Experienced readers may start with the second chapter, a treatment of fundamental concepts of homogeneous finite Markov chain theory that offers examples of applicable models. The text advances to studies of two basic types of homogeneous finite Markov chains: absorbing and ergodic chains. A complete study of the general properties of homogeneous chains follows. Succeeding chapters examine the fundamental role of homogeneous infinite Markov chains in mathematical modeling employed in the fields of psychology and genetics; the basics of nonhomogeneous finite Markov chain theory; and a study of Markovian dependence in continuous time, which constitutes an elementary introduction to the study of continuous parameter stochastic processes.
Finite Markov Chains and Algorithmic Applications
Title | Finite Markov Chains and Algorithmic Applications PDF eBook |
Author | Olle Häggström |
Publisher | Cambridge University Press |
Pages | 132 |
Release | 2002-05-30 |
Genre | Mathematics |
ISBN | 9780521890014 |
Based on a lecture course given at Chalmers University of Technology, this 2002 book is ideal for advanced undergraduate or beginning graduate students. The author first develops the necessary background in probability theory and Markov chains before applying it to study a range of randomized algorithms with important applications in optimization and other problems in computing. Amongst the algorithms covered are the Markov chain Monte Carlo method, simulated annealing, and the recent Propp-Wilson algorithm. This book will appeal not only to mathematicians, but also to students of statistics and computer science. The subject matter is introduced in a clear and concise fashion and the numerous exercises included will help students to deepen their understanding.
An Introduction to Markov Processes
Title | An Introduction to Markov Processes PDF eBook |
Author | Daniel W. Stroock |
Publisher | Springer Science & Business Media |
Pages | 213 |
Release | 2013-10-28 |
Genre | Mathematics |
ISBN | 3642405231 |
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.
Elements of the Theory of Markov Processes and Their Applications
Title | Elements of the Theory of Markov Processes and Their Applications PDF eBook |
Author | A. T. Bharucha-Reid |
Publisher | Courier Corporation |
Pages | 485 |
Release | 2012-04-26 |
Genre | Mathematics |
ISBN | 0486150356 |
This graduate-level text and reference in probability, with numerous applications to several fields of science, presents nonmeasure-theoretic introduction to theory of Markov processes. The work also covers mathematical models based on the theory, employed in various applied fields. Prerequisites are a knowledge of elementary probability theory, mathematical statistics, and analysis. Appendixes. Bibliographies. 1960 edition.
Markov Decision Processes with Applications to Finance
Title | Markov Decision Processes with Applications to Finance PDF eBook |
Author | Nicole Bäuerle |
Publisher | Springer Science & Business Media |
Pages | 393 |
Release | 2011-06-06 |
Genre | Mathematics |
ISBN | 3642183247 |
The theory of Markov decision processes focuses on controlled Markov chains in discrete time. The authors establish the theory for general state and action spaces and at the same time show its application by means of numerous examples, mostly taken from the fields of finance and operations research. By using a structural approach many technicalities (concerning measure theory) are avoided. They cover problems with finite and infinite horizons, as well as partially observable Markov decision processes, piecewise deterministic Markov decision processes and stopping problems. The book presents Markov decision processes in action and includes various state-of-the-art applications with a particular view towards finance. It is useful for upper-level undergraduates, Master's students and researchers in both applied probability and finance, and provides exercises (without solutions).
Poisson Point Processes and Their Application to Markov Processes
Title | Poisson Point Processes and Their Application to Markov Processes PDF eBook |
Author | Kiyosi Itô |
Publisher | Springer |
Pages | 54 |
Release | 2015-12-24 |
Genre | Mathematics |
ISBN | 981100272X |
An extension problem (often called a boundary problem) of Markov processes has been studied, particularly in the case of one-dimensional diffusion processes, by W. Feller, K. Itô, and H. P. McKean, among others. In this book, Itô discussed a case of a general Markov process with state space S and a specified point a ∈ S called a boundary. The problem is to obtain all possible recurrent extensions of a given minimal process (i.e., the process on S \ {a} which is absorbed on reaching the boundary a). The study in this lecture is restricted to a simpler case of the boundary a being a discontinuous entrance point, leaving a more general case of a continuous entrance point to future works. He established a one-to-one correspondence between a recurrent extension and a pair of a positive measure k(db) on S \ {a} (called the jumping-in measure and a non-negative number m
Finite Markov Chains and Their Applications
Title | Finite Markov Chains and Their Applications PDF eBook |
Author | Raymond Somers |
Publisher | |
Pages | 0 |
Release | 1963 |
Genre | |
ISBN |