An introduction to Markov processes.
The theme of the book is an introduction to Markov processes, both discrete and continuous in time, on a countable state space. The book consists of six chapters. In the first chapter, ``Random walks, a good place to begin, the author discusses nearest neighbour random walks on the square \(d\)-dimensional lattice \(\mathbb Z\): the distribution at time \(n\), passage times, times of first return and, in particular, recurrence and transience. The second chapter, ``Doeblin's theory for Markov chains introduces Markov chains and investigates their long time behaviour. Doeblin's theorem and the mean ergodic theorem, recurrence properties and individual ergodic theorems are the topics covered in this chapter. The next chapter presents ``More about the ergodic theory of Markov chains and discusses communicating class properties such as recurrence, transience and periodicity. In the first three chapters Markov chains, i.e., Markov processes discrete in time have been considered, now in Chapters 4 and 5, the author additionally investigates Markov processes continuous in time. In Chapter 4, ``Markov processes in continuous time, he starts with Poisson processes and then discusses Markov processes with bounded and unbounded rates. The last part of this chapter is devoted to an examination of the ergodic behaviour of Markov processes of the type introduced before. Chapter 5 deals with ``Reversible Markov processes, first discrete in time, then continuous in time. Issues covered are the spectral gap \(\beta\), reversibility, Gibbs states, Glauber dynamics and simulated annealing. The last chapter, rather as an appendix, provides ``Some mild measure theory. Each chapter ends with a set of exercises. The book is well-written, in a conversational style. A level of solid undergraduate mathematics background is assumed of the readership. On the website of the author one can find a list of errata.
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