An orthogonal-polynomial approach to first-hitting times of birth-death processes (Q2360642)

The authors establish a representation for the Laplace transform \(\mathbb E e^{s T_{ij}}\) of the hitting time \(T_{ij}\) for every pair \((i,j)\) of states in a birth-death process. They also study the asymptotics of the Laplace transform if either \(i\) or \(j\) tends to \(\infty\). The authors employ tools from the theory of orthogonal polynomials. Slightly less general results have been recently obtained by different methods by Gong, Mao and Zhang [\textit{Y. Gong} et al., J. Theor. Probab. 25, No. 4, 950--980 (2012; Zbl 1259.60101)].