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First passage times of birth-death processes and simple random walks

It is known that the first passage time of a birth death process from n to n+1 has a completely monotone density, however, the discrete analogue for a simple random walk does not hold. In this paper, first passage times of simple random walks from n to n+1 and from 0 to n are characterized. This discrepancy between the first passage time structures of birth-death process and simple random walks is also analyzed.
Year of publication:
1988
Authors: Masuda, Yasushi
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 29.1988, 1, p. 51-63
Publisher: Elsevier
Keywords: simple random walks birth death processes complete monotonicity uniformization generalized phase type distributions
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008875779
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