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Научный руководитель HDI Lab, профессор Эрик Мулин прочитал мини-курс "Introduction to Markov chains and Markov processes".

Краткое содержание мини-курса и рекомендованные главы из книги Markov Chains by Douc, R., Moulines, E., Priouret, P., Soulier, P.

  • Chapter 1 : basic definitions and constructions, invariant distribution, reversibility
  • Chapter 2 : examples of Markov chains
Suggested reading: beginning of Chapter 3 [Strong Markov properties], Chapter 4 [a glimpse at potential theory, Comparison theorem, Dynkin formula]
  • Chapter 18: Uniform and V-uniform ergodicity by operator methods
Suggested reading: Chapter 19: coupling for irreducible kernel [the 4 first sections] 
If you want to understand more what is a small set : Chapter 9 [first section]