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HITTING TIME DISTRIBUTIONS FOR BIRTH–DEATH PROCESSES WITH BILATERAL ABSORBING BOUNDARIES
Published online by Cambridge University Press: 13 September 2016
Abstract
For the birth–death process on a finite state space with bilateral boundaries, we give a simpler derivation of the hitting time distributions by h-transform and φ-transform. These transforms can then be used to construct a quick derivation of the hitting time distributions of the minimal birth–death process on a denumerable state space with exit/regular boundaries.
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- Type
- Research Article
- Information
- Probability in the Engineering and Informational Sciences , Volume 31 , Issue 3 , July 2017 , pp. 345 - 356
- Copyright
- Copyright © Cambridge University Press 2016
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