Applying Brownian motion to the study of birth-death chains

Research output: Contribution to journalArticleResearchpeer-review

2 Citations (Scopus)

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 languageEnglish
Pages (from-to)1173 - 1178
Number of pages6
JournalStatistics and Probability Letters
Volume81
Issue number8
DOIs
Publication statusPublished - 2011

Cite this