An orthogonal-polynomial approach to first-hitting times of birth-death processes

Erik A. van Doorn

Research output: Contribution to journalArticleAcademicpeer-review

63 Downloads (Pure)

Abstract

In a recent paper in this journal, Gong, Mao and Zhang, using the theory of Dirichlet forms, extended Karlin and McGregor’s classical results on first-hitting times of a birth–death process on the nonnegative integers by establishing a representation for the Laplace transform E[exp(sTij)] of the first-hitting time Tij for any pair of states i and j, as well as asymptotics for E[exp(sTij)] when either i or j tends to infinity. It will be shown here that these results may also be obtained by employing tools from the orthogonal-polynomial toolbox used by Karlin and McGregor, in particular associated polynomials and Markov’s theorem.
Original languageEnglish
Pages (from-to)594-607
Number of pages13
JournalJournal of Theoretical Probability
Volume30
Issue number2
DOIs
Publication statusPublished - Jun 2017

    Fingerprint

Keywords

  • Orthogonal polynomials
  • Associated polynomials
  • Markov’s theorem

Cite this