Markov Chains (eBook, PDF)
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This book covers the classical theory of Markov chains on general state-spaces as well as many recent developments. The theoretical results are illustrated by simple examples, many of which are taken from Markov Chain Monte Carlo methods. The book is self-contained while all the results are carefully and concisely proven. Bibliographical notes are added at the end of each chapter to provide an overview of the literature.Part I lays the foundations of the theory of Markov chain on general state-spaces. Part II covers the basic theory of irreducible Markov chains starting from the definition of ...

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