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

By James Allen Fill. 2007

68 citations recorded by the source corpus.

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.

Subfields: Artificial Intelligence, Mathematical Physics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/c57a7010e2c40f9f8f9badc00c19d1503d558938

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Artificial Intelligence

In Mathematical Physics

In Statistics and Probability

Citations in the corpus

On Hitting Times and Fastest Strong Stationary Times for Skip-Free and More General Chains (2007, background): “In Section 1 of [6] it was shown how that paper’s main continuous-time theorem (Theorem 1.”
On Times to Quasi-stationarity for Birth and Death Processes (2009, background): “In two recent papers [10, 11], Fill gives another proof of Proposition 1, but it relies on a nontrivial linear algebra result of Micchelli and Willoughby [20].”