Intertwining of birth-and-death processes

0357433 - ÚTIA 2011 RIV CZ eng J - Journal Article
Swart, Jan M.
Intertwining of birth-and-death processes.
Kybernetika. Roč. 47, č. 1 (2011), s. 1-14. ISSN 0023-5954
R&D Projects: GA ČR GA201/09/1931
Institutional research plan: CEZ:AV0Z10750506
Keywords : Intertwining of Markov processes * birth and death process * averaged Markov process * first passage time * coupling * eigenvalues
Subject RIV: BA - General Mathematics
Impact factor: 0.454, year: 2011
http://library.utia.cas.cz/separaty/2011/SI/swart-intertwining of birth-and-death processes.pdf

It has been known for a long time that for birth-and-death processes started in zero the first passage time of a given level is distributed as a sum of independent exponentially distributed random variables, the parameters of which are the negatives of the eigenvalues of the stopped process. Recently, Diaconis and Miclo have given a probabilistic proof of this fact by constructing a coupling between a general birth-and-death process and a process whose birth rates are the negatives of the eigenvalues, ordered from high to low, and whose death rates are zero, in such a way that the latter process is always ahead of the former, and both arrive at the same time at the given level. In this note, we extend their methods by constructing a third process, whose birth rates are the negatives of the eigenvalues ordered from low to high and whose death rates are zero, which always lags behind the original process and also arrives at the same time.
Permanent Link: http://hdl.handle.net/11104/0195710