Approximation of the first passage time distribution for the birth-death processes

DOI10.1088/1742-5468/AB2709MaRDI QIDQ3303375zbMATH OpenOpenAlexFDO

Authors V. Gontis, Aleksejus Kononovicius

Publication date 11 August 2020

Published in Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1902.00924

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Abstract: We propose a general method to obtain approximation of the first passage time distribution for the birth-death processes. We rely on the general properties of birth-death processes, Keilson's theorem and the concept of Riemann sum to obtain closed-form expressions. We apply the method to the three selected birth-death processes and the sophisticated order-book model exhibiting long-range memory. We discuss how our approach contributes to the competition between spurious and true long-range memory models.

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Cites work

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Cited in

(4)

• First passage times of birth-death processes and simple random walks
• Bessel-like birth-death process
• Long-range memory test by the burst and inter-burst duration distribution
• The first-passage-time moments for the Hougaard process and its Birnbaum-Saunders approximation

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