The Passage Time Distribution for a Birth-and-Death Chain: Strong Stationary Duality Gives a First Stochastic Proof

James Allen Fill ()
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James Allen Fill: The Johns Hopkins University

Journal of Theoretical Probability, 2009, vol. 22, issue 3, 543-557

Abstract: Abstract A well-known theorem usually attributed to Keilson states that, for an irreducible continuous-time birth-and-death chain on the nonnegative integers and any d, the passage time from state 0 to state d is distributed as a sum of d independent exponential random variables. Until now, no probabilistic proof of the theorem has been known. In this paper we use the theory of strong stationary duality to give a stochastic proof of a similar result for discrete-time birth-and-death chains and geometric random variables, and the continuous-time result (which can also be given a direct stochastic proof) then follows immediately. In both cases we link the parameters of the distributions to eigenvalue information about the chain. We also discuss how the continuous-time result leads to a proof of the Ray–Knight theorem. Intimately related to the passage-time theorem is a theorem of Fill that any fastest strong stationary time T for an ergodic birth-and-death chain on {0,…,d} in continuous time with generator G, started in state 0, is distributed as a sum of d independent exponential random variables whose rate parameters are the nonzero eigenvalues of −G. Our approach yields the first (sample-path) construction of such a T for which individual such exponentials summing to T can be explicitly identified.

Keywords: Markov chains; Birth-and-death chains; Passage time; Strong stationary duality; Anti-dual; Eigenvalues; Stochastic monotonicity; Ray–Knight theorem; 60J25; 60J35; 60J10; 60G40 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s10959-009-0235-5

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