On first passage time structure of random walks

DOI10.1016/0304-4149(85)90021-3MaRDI QIDQ1063939zbMATH OpenOpenAlexWikidataFDO

Authors Ushio Sumita, Yasushi Masuda

Publication date 1985

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(85)90021-3

zbMATH Keywords

birth-death processesconditional first passage timesexponential random variablesfirst passage timesstrong unimodality

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Review text

For continuous time birth-death processes on \({\mathbb{N}}\) the first passage time \(\tau_{n,n+1}\) from n to \(n+1\) is always a mixture of \(n+1\) exponential random variables. Furthermore the first passage time \(\tau_{0,n}\) is the sum of n independent exponential random variables. For a discrete time birth-death process the results are similar, replacing the exponential distributions by appropriate geometric ones. However if one allows the process to stay with certain probabilities in the same state, the above may not be true. The authors give necessary and sufficient conditions on the transition probabilities such that \(\tau_{n,n+1}\), \(\tau_{0,n}\) is a mixture, sum of geometric random variables.

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Cites work

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Cited in

(27)

• First passage times for correlated random walks and some generalizations
• First passage times of birth-death processes and simple random walks
• Characterization of the class of upward first passage time distributions of birth and death processes and related results
• A characterization of first passage time distributions for random walks
• Analysis of random walks using orthogonal polynomials
• First passage time distribution for linear functions of a random walk
• Mean and variance of first passage time of non-homogeneous random walk
• First passage time distribution in random walks with absorbing boundaries
• First-passage times for random walks in the triangular array setting
• First-passage times and related moments for continuous-time birth-death chains
• Computing lower and upper expected first-passage and return times in imprecise birth-death chains
• scientific article; zbMATH DE number 4018087 (Why is no real title available?)
• First-passage exponents of multiple random walks
• Stochastic models in seed dispersals: random walks and birth-death processes
• On conditional passage time structure of birth-death processes
• scientific article; zbMATH DE number 3879859 (Why is no real title available?)
• scientific article; zbMATH DE number 4044897 (Why is no real title available?)
• Autoregressive processes and first-hit probabilities for randomized random walks
• Diffusion of a set of random walkers in Euclidean media. First passage times
• Random Processes
• First-Passage Times over Moving Boundaries for Asymptotically Stable Walks
• First-passage time asymptotics over moving boundaries for random walk bridges
• From first-passage times of random walks in confinement to geometry-controlled kinetics
• Limit distribution of the first passage time of a regenerating random walk with reflection
• Kemeny's constant and global mean first passage time of random walks on octagonal cell network
• Exponential moments of first passage times and related quantities for random walks
• The passage time distribution for a birth-and-death chain: Strong stationary duality gives a first stochastic proof

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