Exponentiality of first passage times of continuous time Markov chains

DOI10.1007/S10440-013-9854-ZMaRDI QIDQ404917zbMATH OpenOpenAlexFDO

Authors Romain Bourget, Loïc Chaumont, Natalia Sapoukhina

Publication date 4 September 2014

Published in Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1105.5310

zbMATH Keywords

exponential decayfirst passage timequasi stationary distribution

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Population dynamics (general) (92D25)

Abstract: Let $(X,p_x)$ be a continuous time Markov chain with finite or countable state space $S$ and let $T$ be its first passage time in a subset $D$ of $S$. It is well known that if $mu$ is a quasi-stationary distribution relatively to $T$, then this time is exponentially distributed under $p_{m}u$. However, quasi-stationarity is not a necessary condition. In this paper, we determine more general conditions on an initial distribution $mu$ for $T$ to be exponentially distributed under $p_{m}u$. We show in addition how quasi-stationary distributions can be expressed in terms of any initial law which makes the distribution of $T$ exponential. We also study two examples in branching processes where exponentiality does imply quasi-stationarity.

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Cited in

(4)

• First passage time and extremum properties of Markov and independent processes
• Asymptotic Exponentiality of the Distribution of First Exit Times for a Class of Markov Processes with Applications to Quickest Change Detection
• Total Positivity of Markov Chains and the Failure Rate Character of Some First Passage Times
• Exponential and gamma form for tail expansions of first-passage distributions in semi-markov processes

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