Applying Brownian motion to the study of birth-death chains

DOI10.1016/J.SPL.2011.03.013MaRDI QIDQ553033zbMATH OpenOpenAlexFDO

Authors Greg Markowsky

Publication date 26 July 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1103.4208

zbMATH Keywords

Markov chainBrownian motionlocal timebirth-death chain

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Brownian motion (60J65) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Local time and additive functionals (60J55)

Abstract: Basic properties of Brownian motion are used to derive two results concerning birth-death chains. First, the probability of extinction is calculated. Second, sufficient conditions on the transition probabilities of a birth-death chain are given to ensure that the expected value of the chain converges to a limit. The theory of Brownian motion local time figures prominently in the proof of the second result.

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Cites work

• scientific article; zbMATH DE number 417052 (Why is no real title available?)
• Markov Chains
• Markov Processes, Gaussian Processes, and Local Times

Cited in

(2)

• Symmetry in the Green's function for birth-death chains
• Birth-death chains and the local time of Brownian motion

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