Speed of stability for birth-death processes
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Abstract: This paper is a continuation of the study on the stability speed for Markov processes. It extends the previous study of the ergodic convergence speed to the non-ergodic one, in which the processes are even allowed to be explosive or having general killings. At the beginning stage, this paper is concentrated on the birth-death processes. According to the classification of the boundaries, there are four cases plus one having general killings. In each case, some dual variational formulas for the convergence rate are presented, from which the criterion for the positivity of the rate and an approximating procedure of estimating the rate are deduced. As the first step of the approximation, the ratio of the resulting bounds is usually no more than 2. The criteria as well as basic estimates for more general types of stability are also presented. Even though the paper contributes mainly to the non-ergodic case, there are some improvements in the ergodic one. To illustrate the power of the results, a large number of examples are included.
Consider a general continuous-time birth and death process on the nonnegative integers. Let the transition probabilities be denoted by \(p_{ij}(t)\). As is well-known, \(p_{ij} \to:\pi_j\) as \(t\to\infty\). Distinguishing between different combinations of boundary conditions at zero and infinity, the author undertakes a thorough study of the exponential convergence rate, i.e., of \[ \alpha^*:= \sup\{\alpha:|p_{ij}(t)- \pi_j|= O(\exp[-\alpha t])\text{ as }t\to\infty\text{ for all }i,\,j\}. \] Dual variational formulas are derived, from which criteria for the positivity of \(\alpha^*\) as well as approximation procedures for estimates of \(\alpha^*\) are deduced. Numerous examples are provided.
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