Pathological birth-and-death processes and the spectral theory of strings (Q883617)

The transition probability function \(P_{i,j}(t)\) of a birth and death process satisfies the following conditions: \( P_{i, i+1}(t) = \alpha_it + o(t),\) \(P_{i, i-1}(t) = \beta_it + o(t),\) as \( t\downarrow 0,\) \(P_{i,j}(t) \geqslant 0,\) \(\sum_{j=0}^{\infty}P_{i,j}(t),\) \(t \geqslant 0.\) In general the matrix function \(P(t) = (( P_{i,j}(t)))\) is not completely determined by the constants \(\alpha_i\) and \(\beta_i\). \textit{W. Ledermann} and \textit{G. E. H. Reuter} [Phil. Trans. Roy. Soc. London, Ser. A 246, 32--369 (1954; Zbl 0059.11704)] have shown that the problem of determining \(P_{i,j}(t)\) is always solvable. \textit{S. Karlin} and \textit{J. L. McGregor} [Trans. Am. Math. Soc. 85, 489--546 (1957; Zbl 0091.13801)] have shown if this problem has more than one solution, then there exists a continuum of ordinary solutions satisfying the Chapman-Kolmogorov equation \[ P_{i,j}(s + t) = \sum_{k=0}^{\infty}P_{i,k}(s) P_{k,j}(t). \] They also discovered the existence of pathological processes, i.e., birth and death processes for which the Chapman-Kolmogorov equation does not hold. The author employs Krein's spectral theory of strings to explain the probabilistic nature of the pathological solutions.