Abstract:The purpose of this book is to present the theory of general irreducible Markov chains and to point out the connection between this and the Perron-Frobenius theory of nonnegative operators. The author begins by providing some basic material designed to make the book self-contained, yet his principal aim throughout is to emphasize recent developments. The technique of embedded renewal processes, common in the study of discrete Markov chains, plays a particularly important role. The examples discussed indicate a… Show more
“…The foundations of a theory of general state space Markov chains are described in [50], and although the theory is much more refined now, this is still the best source of much basic material. The next generation of results is developed in [51] and more current treatments are contained in [52].…”
“…The foundations of a theory of general state space Markov chains are described in [50], and although the theory is much more refined now, this is still the best source of much basic material. The next generation of results is developed in [51] and more current treatments are contained in [52].…”
“…If (1.2) holds, then whenever (X n−1 , X n−1 ) ∈ C ×C, we can use Nummelin splitting [20,18,24] to jointly update X n and X n in such a way that X n = X n with probability at least . Thus, we have managed to "force" X n = X n with non-zero probability, as desired.…”
Summary. We describe the importance and widespread use of Markov chain Monte Carlo (MCMC) algorithms, with an emphasis on the ways in which theoretical analysis can help with their practical implementation. In particular, we discuss how to achieve rigorous quantitative bounds on convergence to stationarity using the coupling method together with drift and minorisation conditions. We also discuss recent advances in the field of adaptive MCMC, where the computer iteratively selects from among many different MCMC algorithms. Such adaptive MCMC algorithms may fail to converge if implemented naively, but they will converge correctly if certain conditions such as Diminishing Adaptation are satisfied.
“…Under (A1), the environment ω is an ergodic sequence (see e.g. [10, p. 338] or [19,Theorem 6.15]). Condition (A3) guarantees, by convexity, the existence of a unique κ in (1.4).…”
We obtain non-Gaussian limit laws for one-dimensional random walk in a random environment in the case that the environment is a function of a stationary Markov process. This is an extension of the work of Kesten, M. Kozlov and Spitzer [13] for random walks in i.i.d. environments. The basic assumption is that the underlying Markov chain is irreducible and either with finite state space or with transition kernel dominated above and below by a probability measure. MSC2000: primary 60K37, 60F05; secondary 60J05, 60J80.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.