Speed of stability for birth-death processes (Q610719): Difference between revisions

Consider a general continuous-time birth and death process on the nonnegative integers. Let the transition probabilities be denoted by \(p_{ij}(t)\). As is well-known, \(p_{ij} \to:\pi_j\) as \(t\to\infty\). Distinguishing between different combinations of boundary conditions at zero and infinity, the author undertakes a thorough study of the exponential convergence rate, i.e., of \[ \alpha^*:= \sup\{\alpha:|p_{ij}(t)- \pi_j|= O(\exp[-\alpha t])\text{ as }t\to\infty\text{ for all }i,\,j\}. \] Dual variational formulas are derived, from which criteria for the positivity of \(\alpha^*\) as well as approximation procedures for estimates of \(\alpha^*\) are deduced. Numerous examples are provided.