Limit theorems for Markov chains and stochastic properties of dynamical systems by quasi-compactness / Hubert Hennion, Loïc Hervé.

Format:

Book

Author/Creator:

Hennion, Hubert, 1944-

Contributor:

Hervé, Loïc, 1963-

Series:

Lecture notes in mathematics (Springer-Verlag) ; 1766.

Lecture notes in mathematics, 0075-8434 ; 1766

Language:

English

Subjects (All):

Markov processes.

Limit theorems (Probability theory).

Differentiable dynamical systems.

Stochastic processes.

Physical Description:

vii, 145 pages ; 24 cm.

Place of Publication:

Berlin ; New York : Springer-Verlag, 2001.

Summary:

This book shows how techniques from the perturbation theory of operators, applied to a quasi-compact positive kernel, may be used to obtain limit theorems for Markov chains or to describe stochastic properties of dynamical systems. A general framework for this method is given and then applied to treat several specific cases. An essential element of this work is the description of the peripheral spectra of a quasi-compact Markov kernel and of its Fourier-Laplace perturbations. This is first done in the ergodic but non-mixing case. This work is extended by the second author to the non-ergodic case. The only prerequisites for this book are a knowledge of the basic techniques of probability theory and of notions of elementary functional analysis.

Notes:

Includes bibliographical references and indexes.

ISBN:

3540424156

OCLC:

47805084