Markov Chains and Stochastic Stability

Meyn and Tweedie is back! The bible on Markov chains in general state spaces has been brought up to date to reflect developments in the field since 1996 - many of them sparked by publication of the first edition. The pursuit of more efficient simulation algorithms for complex Markovian models, or algorithms for computation of optimal policies for controlled Markov models, has opened new directions for research on Markov chains. As a result, new applications have emerged across a wide range of topics including optimisation, statistics, and economics. New commentary and an epilogue by Sean Meyn summarise recent developments and references have been fully updated. This second edition reflects the same discipline and style that marked out the original and helped it to become a classic: proofs are rigorous and concise, the range of applications is broad and knowledgeable, and key ideas are accessible to practitioners with limited mathematical background.

Reviews & endorsements

"As Glynn puts it in his prologue, "This second edition remains true to the remarkable standards of scholarship established by the first edition... This new edition does a splendid job of making clear the most important [new] developments and pointing the reader in the direction of key references to be studied in each area." The reviewer fully agrees with this assessment."
M. Iosifescu, Mathematical Reviews

Customer reviews

Product details

• Edition: 2nd Edition
• Date Published: April 2009
• format: Paperback
• isbn: 9780521731829
• length: 624 pages

• dimensions: 247 x 174 x 32 mm
• weight: 1.12kg
• contains: 4 b/w illus.
• availability: Available