Orthogonal polynomials in the spectral analysis of Markov processes. Birth-death models and diffusion

DOI10.1017/9781009030540OpenAlexW3161136830MaRDI QIDQ5155136FDOQ5155136

Authors: Manuel D. De La Iglesia 

Publication date: 6 October 2021

Full work available at URL: https://doi.org/10.1017/9781009030540

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zbMATH Keywords

Laplace transformbirth-death processesBrownian motionMarkov processesMarkov chainsrandom walksdiffusion processesclassical orthogonal polynomialsAskey schemeFavard's theoremcontinuous Hahnbirth-death chainscontinuous Dual HahnDerman-Vere-Jones transformationKarlin-McGregor integral representationStiletjes transformUpadhyaya transform

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Computational methods in Markov chains (60J22) Applications of continuous-time Markov processes on discrete state spaces (60J28) Numerical analysis or methods applied to Markov chains (65C40) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Markov semigroups and applications to diffusion processes (47D07) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60) Population dynamics (general) (92D25) Brownian motion (60J65) Discrete-time Markov processes on general state spaces (60J05) Continuous-time Markov processes on general state spaces (60J25) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Laplace transform (44A10) Transition functions, generators and resolvents (60J35) Moment problems (44A60) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to special functions (33-01)

Cited In (14)

• QBD processes associated with Jacobi-Koornwinder bivariate polynomials and urn models
• One-dimensional continuous-time quantum Markov chains: qubit probabilities and measures
• Spectral analysis of bilateral birth–death processes: some new explicit examples
• Determinantal approach to multiple orthogonal polynomials and the corresponding integrable equations
• Stochastic processes with orthogonal polynomial eigenfunctions
• Hermite-Padé approximation, multiple orthogonal polynomials, and multidimensional Toda equations
• A recurrence relation for generalised connection coefficients
• On the Spectra of Certain Birth and Death Processes
• The bilateral birth–death chain generated by the associated Jacobi polynomials
• Exactly solvable discrete time birth and death processes
• Spectral quantization of discrete random walks on half-line and orthogonal polynomials on the unit circle
• Quantum Markov chains on the line: matrix orthogonal polynomials, spectral measures and their statistics
• Birth-death chains on a spider: spectral analysis and reflecting-absorbing factorization
• An urn model for the Jacobi-Piñeiro polynomials

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