Quasi-birth-and-death processes and multivariate orthogonal polynomials

DOI10.1016/J.JMAA.2021.125029MaRDI QIDQ2660484zbMATH OpenOpenAlexFDO

Authors Lidia Fernández, Manuel D. De La Iglesia

Publication date 30 March 2021

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2002.04536

zbMATH Keywords

bivariate orthogonal polynomialsquasi-birth-and-death processesurn models

Mathematics Subject Classification ID

Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Abstract: The aim of this paper is to study some models of quasi-birth-and-death (QBD) processes arising from the theory of bivariate orthogonal polynomials. First we will see how to perform the spectral analysis in the general setting as well as to obtain results about recurrence and the invariant measure of these processes in terms of the spectral measure supported on some domain $Omegasubsetmathbb{R}^d$. Afterwards, we will apply our results to several examples of bivariate orthogonal polynomials, namely product orthogonal polynomials, orthogonal polynomials on a parabolic domain and orthogonal polynomials on the triangle. We will focus on linear combinations of the Jacobi matrices generated by these polynomials and produce families of either continuous or discrete-time QBD processes. Finally, we show some urn models associated with these QBD processes.

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Cited in

(10)

• Nevanlinna extremal measures for some orthogonal polynomials related to birth and death processes
• Stochastic Darboux transformations for quasi-birth-and-death processes and urn models
• Birth and death processes, orthogonal polynomials and limiting conditional distributions
• Quasi-birth-and-death processes and matrix-valued orthogonal polynomials
• An urn model for the Jacobi-Piñeiro polynomials
• Classical and quantum walks on paths associated with exceptional Krawtchouk polynomials
• QBD processes associated with Jacobi-Koornwinder bivariate polynomials and urn models
• Full classification of dynamics for one-dimensional continuous-time Markov chains with polynomial transition rates
• A review of birth-death and other Markovian discrete-time queues
• Multiple orthogonal polynomials of two real variables

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