Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152523 | Statistics & Probability Letters | 2011 | 6 Pages |
Abstract
Basic properties of Brownian motion are used to derive two results concerning birth–death chains. First, the probability of extinction is calculated. Second, sufficient conditions on the transition probabilities of a birth–death chain are given to ensure that the expected value of the chain converges to a limit. The theory of Brownian motion local time figures prominently in the proof of the second result.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Greg Markowsky,