Stochastic LU factorizations, Darboux transformations and urn models

DOI10.1017/JPR.2018.55MaRDI QIDQ4555295zbMATH OpenOpenAlexWikidataFDO

Authors Manuel D. De La Iglesia, F. Alberto Grünbaum

Publication date 19 November 2018

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1706.02617

zbMATH Keywords

Darboux transformationLU factorizationorthogonal polynomialrandom walkurn model

Mathematics Subject Classification ID

Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: We consider UL (and LU) decompositions of the one-step transition probability matrix of a random walk with state space the nonnegative integers, with the condition that both upper and lower triangular matrices in the factorization are also stochastic matrices. We give conditions on the free parameter of the UL factorization in terms of certain continued fraction such that this stochastic factorization is possible. By inverting the order of multiplication (also known as a Darboux transformation) we get a new family of random walks where it is possible the identify the spectral measures in terms of a Geronimus transformation. The same can be done for the LU factorization but now without a free parameter. Finally, we apply our results in two examples, the random walk with constant transition probabilities and the random walk generated by the Jacobi orthogonal polynomials. In both situations we give urn models associated with all the random walks in question.

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Cited in

(12)

• Two stochastic models of a random walk in the \(\mathrm U(n)\)-spherical duals of \(U(n+1)\)
• Absorbing-reflecting factorizations for birth-death chains on the integers and their Darboux transformations
• Birth-death chains on a spider: spectral analysis and reflecting-absorbing factorization
• The spectral matrices associated with the stochastic Darboux transformations of random walks on the integers
• Stochastic Darboux transformations for quasi-birth-and-death processes and urn models
• Quasi-birth-and-death processes and multivariate orthogonal polynomials
• Probabilistic Transforms for Combinatorial Urn Models
• An urn model for the Jacobi-Piñeiro polynomials
• QBD processes associated with Jacobi-Koornwinder bivariate polynomials and urn models
• The bilateral birth–death chain generated by the associated Jacobi polynomials
• Spectral quantization of discrete random walks on half-line and orthogonal polynomials on the unit circle
• Uniform multiple orthogonal polynomials and Markov chains

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