John-von-Neumann Vorlesung: Lyapunov functions for Markov chains

Vorlesung:
Termine:

Mittwochs, 14:00 bis 17:00 Uhr, Raum 2.02.11 (Seminarraum) im Parkring 11 in Garching-Hochbrück

Beginn: 05.12.2012

Dozent:Prof. Dr. Marina Vachkovskaia
Inhalt:

The main topic of the course will be the analysis of the asymptotic behavior of Markov chains using Lyapunov function method. We will present explicit criteria of recurrence/transience ergodicity/null recurrence for general situations, and apply these to various examples. Examples will include non-homogeneous random walks, Jackson networks and other.

Sprache:Englisch
Literatur:

G. Fayolle, V,A. Malyshev, M.V. Menshikov "Topics in the constructive theory of countable Markov chains".

Skript:-
Prüfung:

Klausur (schriftlich), Dauer: 60 Minuten

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