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Markov Chains and Invariant Probabilities (Hardcover, 2003 ed.)
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Markov Chains and Invariant Probabilities (Hardcover, 2003 ed.)
Series: Progress in Mathematics, 211
Expected to ship within 10 - 15 working days
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This book is about discrete-time, time-homogeneous, Markov chains
(Mes) and their ergodic behavior. To this end, most of the material
is in fact about stable Mes, by which we mean Mes that admit an
invariant probability measure. To state this more precisely and
give an overview of the questions we shall be dealing with, we will
first introduce some notation and terminology. Let (X,B) be a
measurable space, and consider a X-valued Markov chain ~. = {~k' k
= 0, 1, ... } with transition probability function (t.pJ.) P(x, B),
i.e., P(x, B) := Prob (~k+1 E B I ~k = x) for each x E X, B E B,
and k = 0,1, .... The Me ~. is said to be stable if there exists a
probability measure (p.m.) /.l on B such that (*) VB EB. /.l(B) =
Ix /.l(dx) P(x, B) If (*) holds then /.l is called an invariant
p.m. for the Me ~. (or the t.p.f. P).
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