Mathematics – Probability
Scientific paper
2007-07-27
Mathematics
Probability
To appear in Journal of Theoretical Probability. Main change with this version: small corrections to final section
Scientific paper
A well-known theorem usually attributed to Keilson states that, for an irreducible continuous-time birth-and-death chain on the nonnegative integers and any d, the passage time from state 0 to state d is distributed as a sum of d independent exponential random variables. Until now, no probabilistic proof of the theorem has been known. In this paper we use the theory of strong stationary duality to give a stochastic proof of a similar result for discrete-time birth-and-death chains and geometric random variables, and the continuous-time result (which can also be given a direct stochastic proof) then follows immediately. In both cases we link the parameters of the distributions to eigenvalue information about the chain. We also discuss how the continuous-time result leads to a proof of the Ray-Knight theorem. Intimately related to the passage-time theorem is a theorem of Fill that any fastest strong stationary time T for an ergodic birth-and-death chain on {0, >..., d} in continuous time with generator G, started in state 0, is distributed as a sum of d independent exponential random variables whose rate parameters are the nonzero eigenvalues of the negative of G. Our approach yields the first (sample-path) construction of such a T for which individual such exponentials summing to T can be explicitly identified.
No associations
LandOfFree
The passage time distribution for a birth-and-death chain: Strong stationary duality gives a first stochastic proof does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with The passage time distribution for a birth-and-death chain: Strong stationary duality gives a first stochastic proof, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and The passage time distribution for a birth-and-death chain: Strong stationary duality gives a first stochastic proof will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-271444