Limiting conditional distributions for birth-death processes

被引:17
|
作者
Kijima, M
Nair, MG
Pollett, PK
VanDoorn, EA
机构
[1] CURTIN UNIV TECHNOL,SCH MATH & STAT,PERTH,WA 6001,AUSTRALIA
[2] UNIV QUEENSLAND,DEPT MATH,ST LUCIA,QLD 4072,AUSTRALIA
[3] UNIV TWENTE,FAC APPL MATH,NL-7500 AE ENSCHEDE,NETHERLANDS
关键词
invariant measures; quasi-stationary distributions;
D O I
10.2307/1427866
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
In a recent paper [16], one of us identified all of the quasi-stationary distributions for a non-explosive, evanescent birth-death process for which absorption is certain, and established conditions for the existence of the corresponding limiting conditional distributions. Our purpose is to extend these results in a number of directions. We shall consider separately two cases depending on whether or not the process is evanescent. In the former case we shall relax the condition that absorption is certain. Furthermore, we shall allow for the possibility that the minimal process might be explosive, so that the transition rates alone will not necessarily determine the birth-death process uniquely. Although we shall be concerned mainly with the minimal process, our most general results hold for any birth-death process whose transition probabilities satisfy both the backward and the forward Kolmogorov differential equations.
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页码:185 / 204
页数:20
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