First passage times of birth-death processes and simple random walks

Yasushi Masuda

Stochastic Processes and their Applications, 1988, vol. 29, issue 1, 51-63

Abstract: It is known that the first passage time of a birth death process from n to n+1 has a completely monotone density, however, the discrete analogue for a simple random walk does not hold. In this paper, first passage times of simple random walks from n to n+1 and from 0 to n are characterized. This discrepancy between the first passage time structures of birth-death process and simple random walks is also analyzed.

Keywords: simple; random; walks; birth; death; processes; complete; monotonicity; uniformization; generalized; phase; type; distributions (search for similar items in EconPapers)
Date: 1988
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Citations: View citations in EconPapers (2)

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