Abstract
A well-known theorem usually attributed to Keilson states that, for an irreducible continuous-time birth-and-death chain on the nonnegative integers and any d, the passage time from state 0 to state d is distributed as a sum of d independent exponential random variables. Until now, no probabilistic proof of the theorem has been known. In this paper we use the theory of strong stationary duality to give a stochastic proof of a similar result for discrete-time birth-and-death chains and geometric random variables, and the continuous-time result (which can also be given a direct stochastic proof) then follows immediately. In both cases we link the parameters of the distributions to eigenvalue information about the chain. We also discuss how the continuous-time result leads to a proof of the Ray–Knight theorem.
Intimately related to the passage-time theorem is a theorem of Fill that any fastest strong stationary time T for an ergodic birth-and-death chain on {0,…,d} in continuous time with generator G, started in state 0, is distributed as a sum of d independent exponential random variables whose rate parameters are the nonzero eigenvalues of −G. Our approach yields the first (sample-path) construction of such a T for which individual such exponentials summing to T can be explicitly identified.
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Special note: The editorial review of this article, and that of [9], was manged by former Editor-in-Chief Arunava Mukherjea, who acted in the role of Editor-in-Chief. The two articles were submitted to Journal of Theoretical Probability in order to form a natural three-article sequence with [5].
Research of J.A. Fill was supported by NSF grant DMS–0406104 and by The Johns Hopkins University’s Acheson J. Duncan Fund for the Advancement of Research in Statistics.
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Fill, J.A. The Passage Time Distribution for a Birth-and-Death Chain: Strong Stationary Duality Gives a First Stochastic Proof. J Theor Probab 22, 543–557 (2009). https://doi.org/10.1007/s10959-009-0235-5
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DOI: https://doi.org/10.1007/s10959-009-0235-5
Keywords
- Markov chains
- Birth-and-death chains
- Passage time
- Strong stationary duality
- Anti-dual
- Eigenvalues
- Stochastic monotonicity
- Ray–Knight theorem