Non-local solvable birth-death processes

DOI10.1007/S10959-021-01087-4zbMATH Open1498.60336arXiv2007.13656OpenAlexW3138511269MaRDI QIDQ2135209FDOQ2135209

Authors: Enrica Pirozzi, Giacomo Ascione, Nikolai N. Leonenko 

Publication date: 4 May 2022

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: In this paper we study strong solutions of some non-local difference-differential equations linked to a class of birth-death processes arising as discrete approximations of Pearson diffusions by means of a spectral decomposition in terms of orthogonal polynomials and eigenfunctions of some non-local derivatives. Moreover, we give a stochastic representation of such solutions in terms of time-changed birth-death processes and study their invariant and their limit distribution. Finally, we describe the correlation structure of the aforementioned time-changed birth-death processes.

Full work available at URL: https://arxiv.org/abs/2007.13656

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zbMATH Keywords

subordinatorBernstein functionclassical orthogonal polynomial of discrete variable

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Queueing theory (aspects of probability theory) (60K25) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45)

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Cited In (7)

• Fractional immigration-death processes
• Queuing models with Mittag-Leffler inter-event times
• A sojourn-based approach to semi-Markov reinforcement learning
• Time-non-local Pearson diffusions
• Non-classical diffusion equations related to birth-death processes with two boundaries
• On a super-diffusive, nonlinear birth and death process
• On local asymptotic normality for birth and death on a flow

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