On hitting times and fastest strong stationary times for skip-free and more general chains

DOI10.1007/S10959-009-0233-7zbMATH Open1173.60337arXiv0708.4258OpenAlexW2020507717MaRDI QIDQ842402FDOQ842402

Authors: James Allen Fill 

Publication date: 25 September 2009

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: An (upward) skip-free Markov chain with the set of nonnegative integers as state space is a chain for which upward jumps may be only of unit size; there is no restriction on downward jumps. In a 1987 paper, Brown and Shao determined, for an irreducible continuous-time skip-free chain and any d, the passage time distribution from state 0 to state d. When the nonzero eigenvalues nu_j of the generator are all real, their result states that the passage time is distributed as the sum of d independent exponential random variables with rates nu_j. We give another proof of their theorem. In the case of birth-and-death chains, our proof leads to an explicit representation of the passage time as a sum of independent exponential random variables. Diaconis and Miclo recently obtained the first such representation, but our construction is much simpler. We obtain similar (and new) results for a fastest strong stationary time T of an ergodic continuous-time skip-free chain with stochastically monotone time-reversal started in state 0, and we also obtain discrete-time analogs of all our results. In the paper's final section we present extensions of our results to more general chains.

Full work available at URL: https://arxiv.org/abs/0708.4258

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zbMATH Keywords

Markov chainsEigenvaluesAbsorption timeBirth-and-death chainsFastest strong stationary timesPassage timeSkip-free chainsStochastic monotonicityStrong stationary duality

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Transition functions, generators and resolvents (60J35)

Cites Work

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Cited In (33)

• Sharp bounds for NBUE distributions
• Spectral Theory for Skip-Free Markov Chains
• On hitting time, mixing time and geometric interpretations of Metropolis-Hastings reversiblizations
• On interweaving relations
• Total variation cutoff in birth-and-death chains
• Intertwining, excursion theory and Krein theory of strings for non-self-adjoint Markov semigroups
• ON TRANSITION PROBABILITIES OF SKIP-FREE MARKOV CHAINS
• On Markov intertwining relations and primal conditioning
• Monotonicity for continuous-time random walks
• Hitting time and mixing time bounds of Stein's factors
• Usual and stochastic tail orders between hitting times for two Markov chains
• On times to quasi-stationarity for birth and death processes
• The passage time distribution for a birth-and-death chain: Strong stationary duality gives a first stochastic proof
• Antiduality and Möbius monotonicity: generalized coupon collector problem
• Some sufficient conditions for stochastic comparisons between hitting times for skip-free Markov chains
• Strong stationary duality for Möbius monotone Markov chains
• Spectral expansions of non-self-adjoint generalized Laguerre semigroups
• On strong stationary times and approximation of Markov chain hitting times by geometric sums
• Analysis of non-reversible Markov chains via similarity orbits
• A note on the passage time of finite-state Markov chains
• Separation cutoff for upward skip-free chains
• Fluctuations analysis of finite discrete birth and death chains with emphasis on Moran models with mutations
• Hitting times and interlacing eigenvalues: a stochastic approach using intertwinings
• Hitting time distributions for denumerable birth and death processes
• Large deviation behavior for the longest head run in an IID Bernoulli sequence
• The birth-death processes with regular boundary: stationarity and quasi-stationarity
• Cutpoints of (1,2) and (2,1) random walks on the lattice of positive half line
• Duality and intertwining for discrete Markov kernels: relations and examples
• On absorption times and Dirichlet eigenvalues
• Computable Bounds on the Spectral Gap for Unreliable Jackson Networks
• Hitting time distribution for skip-free Markov chains: a simple proof
• Sharp moderate maximal inequalities for upward skip-free Markov chains
• Skip-free Markov chains

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