Some bivariate stochastic models arising from group representation theory

DOI10.1016/J.SPA.2017.10.017MaRDI QIDQ1615892zbMATH OpenOpenAlexFDO

Authors Pablo Manuel Román, Manuel D. De La Iglesia

Publication date 31 October 2018

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

Full work available at URL https://arxiv.org/abs/1610.01253, http://hdl.handle.net/11336/89293

zbMATH Keywords

matrix-valued orthogonal polynomialsswitching diffusionsWright-Fisher modelsquasi-birth-and-death processes

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05)

Abstract: The aim of this paper is to study some continuous-time bivariate Markov processes arising from group representation theory. The first component (level) can be either discrete (quasi-birth-and-death processes) or continuous (switching diffusion processes), while the second component (phase) will always be discrete and finite. The infinitesimal operators of these processes will be now matrix-valued (either a block tridiagonal matrix or a matrix-valued second-order differential operator). The matrix-valued spherical functions associated to the compact symmetric pair $(mathrmSU(2)imesmathrmSU(2),mathrmdiag,mathrmSU(2))$ will be eigenfunctions of these infinitesimal operators, so we can perform spectral analysis and study directly some probabilistic aspects of these processes. Among the models we study there will be rational extensions of the one-server queue and Wright-Fisher models involving only mutation effects.

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Cited in

(6)

• QBD processes associated with Jacobi-Koornwinder bivariate polynomials and urn models
• Duality and difference operators for matrix valued discrete polynomials on the nonnegative integers
• Spectral methods for bivariate Markov processes with diffusion and discrete components and a variant of the Wright-Fisher model
• Absorbing-reflecting factorizations for birth-death chains on the integers and their Darboux transformations
• The spectral matrices associated with the stochastic Darboux transformations of random walks on the integers
• Quasi-birth-and-death processes and multivariate orthogonal polynomials

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