Markov Chains: With Stationary Transition Probabilities (Grundlehren der mathematischen Wissenschaften, 104) by Kai Lai Chung (PDF)

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From the reviews: J. Neveu, 1962 in Zentralblatt für Mathematik, 92.Band Heft 2, p. 343: “Ce livre écrit par l’un des plus éminents spécialistes en la matière, est un exposé très détaillé de la théorie des processus de Markov définis sur un espace dénombrable d’états et homogènes dans le temps (chaines stationnaires de Markov).” N.Jain, 2008 in Selected Works of Kai Lai Chung, edited by Farid AitSahlia (University of Florida, USA), Elton Hsu (Northwestern University, USA), & Ruth Williams (University of California-San Diego, USA), Chapter 1, p. 15: “This monograph deals with countable state Markov chains in both discrete time (Part I) and continuous time (Part II). […] Much of Kai Lai’s fundamental work in the field is included in this monograph. Here, for the first time, Kai Lai gave a systematic exposition of the subject which includes classification of states, ratio ergodic theorems, and limit theorems for functionals of the chain.”

User’s Reviews

Reviews from Amazon users which were colected at the time this book was published on the website:

⭐Chung is the master! Finally caught up with a copy of his book on Markov chains.Hard to believe that as an undergraduate in 1975, I used the first edition of hisintro probability text.

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