Ergodic Behavior of Markov Processes

With Applications to Limit Theorems

von Alexei Kulik

257 Seiten, Hardcover

Kurzbeschreibung des Verlags

The general topic of this book is the ergodic behavior of Markov processes. A detailed introduction to methods for proving ergodicity and upper bounds for ergodic rates is presented in the first part of the book, with the focus put on weak ergodic rates, typical for Markov systems with complicated structure. The second part is devoted to the application of these methods to limit theorems for functionals of Markov processes. The book is aimed at a wide audience with a background in probability and measure theory. Some knowledge of stochastic processes and stochastic differential equations helps in a deeper understanding of specific examples.

Contents　 Part I: Ergodic Rates for Markov Chains and Processes Markov Chains with Discrete State Spaces General Markov Chains: Ergodicity in Total Variation MarkovProcesseswithContinuousTime Weak Ergodic Rates

Part II: Limit Theorems The Law of Large Numbers and the Central Limit Theorem Functional Limit Theorems

• Reihe: De Gruyter Studies in Mathematics
• Themen: Mathematik und Naturwissenschaften Mathematik Wahrscheinlichkeitsrechnung und Statistik
• ISBN: 9783110458701
• Sprache: Englisch
• Erscheinungsdatum: 23.11.2017
• Größe: 24 x 17 cm
• Verlag: De Gruyter