A note on first passage times in birth and death and nonnegative diffusion processes

Cyrus Derman, Sheldon M. Ross and Zvi Schechner

Naval Research Logistics Quarterly, 1983, vol. 30, issue 2, 283-285

Abstract: Consider a birth and death process starting in state 0. Keilson has shown by analytical arguments that the time of first passage into state n has an increasing failure rate (IFR) distribution. We present a probabilistic proof for this. In addition, our proof shows that for a nonnegative diffusion process, the first passage time from state 0 to any state x is IFR.

Date: 1983
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Persistent link: https://EconPapers.repec.org/RePEc:wly:navlog:v:30:y:1983:i:2:p:283-285

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