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.
Original language | English |
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Pages (from-to) | 1173 - 1178 |
Number of pages | 6 |
Journal | Statistics and Probability Letters |
Volume | 81 |
Issue number | 8 |
DOIs | |
Publication status | Published - 2011 |