Article ID Journal Published Year Pages File Type
1152523 Statistics & Probability Letters 2011 6 Pages PDF
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
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