460 Subject Index
m-step transition probability matrix, 129
Malinvaud prices, 67
Markov chain
aperiodic, 132, 136, 139
as irreducible, 131–132, 136, 139, 154
central limit theorem for, 187–191
having the transition probability matrix p
and initial distribution µ, 125
hitting time of, 144
Markov properties of, 145–150
on a finite state space, 158–159
positive recurrent, 185
recurrent state of, 154, 158–176
r th return time of, 145
stopping times of, 143–150
strong law of large numbers for, 185–187
transition probability of a, on finite space,
194
Markov models under heterogeneity,
estimation of, 137–139
Markov processes
φ-irreducible and φ-recurrent, 217–219
aperiodic, 184
asymptotic stationarity, 196–201
complement theorems and details, See
Markov processes and compliment
theorems
construction of stochastic processes,
122–126
convergence of steady states for, on finite
state spaces, 133–143
different states of Markov chain, 131–133
measurable state spaces, 176–185
metric spaces, 191–196
on polish space, 210–211
properties of Markov chains, 143–150
recurrence and steady state distributions
of Markov Chains, 130, 151–176
skeleton, 277
stable in distribution, 248
stationary, 130
strong law of large numbers and central
limit theorem, using, 185–191
supplementary exercises on, 239–245
transient and recurrent chains, 150–159
transition probability of, 119
unique invariant probability of, 252,
281–282, 344, 358–359
Markov processes and compliment theorems
Alexandrov’s theorem, 219–221
Ergodicity of Harris recurrent processes,
214–217
Feller’s renewal theorem, 209–210
Finite dimensional weak convergence,
221–227
Kolmogorov distance theorem, 237–238
Prokhorov’s theorem, 234–237
Scheffe’s theorem, 228
Tychonoff’s theorem, 227
Markov property, 126, 128, 130, 203
strong, 145, 173
Markov renewal model, 412
martingale difference sequence, 353
matrix in triangular form, 307
maximal solution of the system, 241–242
maximum sustainable consumption,
25–26
maximum sustainable harvest, 25
maximum sustainable stock for technology,
61
maximum theorem, 386–388
mean value theorem, 8, 23, 43
measurability, 323, 364
change of variable, 428–430
product spaces, 426–428
subspaces, 426
support of a measure, 428
measurable space, 176, 425
metric spaces
and diagonalization argument,
423–425
compactness, 422–423
completeness, 420
infinite products of, 423–425
nonempty compact, 7
separability, 420
mild discounting, 30
minimum safe standard of conservation,
32
monetary equilibrium, 116–117
monotone maps, 255, 257, 286, 322, 362,
389
Multiplicative shocks, 266–267
Newton’s law of cooling, 170
non-decreasing maps, 286, 288, 362
non-increasing maps, 286
nonautonomous systems, 19
nonclassical optimization model, 28
nonnegative definites, 123