The aim of this paper is to study some models of quasi-birth-and-death (QBD) processes arising from the theory of bivariate orthogonal polynomials. First we will see how to perform the spectral analysis in the general setting as well as to obtain results about recurrence and the invariant measure of these processes in terms of the spectral measure supported on some domain $Ω\subset\mathbb{R}^d$. Afterwards, we will apply our results to several examples of bivariate orthogonal polynomials, namely product orthogonal polynomials, orthogonal polynomials on a parabolic domain and orthogonal polynomials on the triangle. We will focus on linear combinations of the Jacobi matrices generated by these polynomials and produce families of either continuous or discrete-time QBD processes. Finally, we show some urn models associated with these QBD processes.
This paper aims to clarify certain aspects of the relations between birth-death processes, measures solving a Stieltjes moment problem, and sets of parameters defining polynomial sequences that are orthogonal with respect to such a measure. Besides giving an overview of the basic features of these relations, revealed to a large extent by Karlin and McGregor, we investigate a duality concept for birth-death processes introduced by Karlin and McGregor and its interpretation in the context of shell polynomials and the corresponding orthogonal polynomials. This interpretation leads to increased in…
We consider the spectral analysis of several examples of bilateral birth-death processes and compute explicitly the spectral matrix and the corresponding orthogonal polynomials. We also use the spectral representation to study some probabilistic properties of the processes, like recurrence, the invariant distribution (if it exists) or the probability current.
We consider a new way of factorizing the transition probability matrix of a discrete-time birth-death chain on the integers by means of an absorbing and a reflecting birth-death chain to the state 0 and viceversa. First we will consider reflecting-absorbing factorizations of birth-death chains on the integers. We give conditions on the two free parameters such that each of the factors is a stochastic matrix. By inverting the order of the factors (also known as a Darboux transformation) we get new families of "almost" birth-death chains on the integers with the only difference that we have new …
We consider discrete-time birth-death chains on a spider, i.e. a graph consisting of $N$ discrete half lines on the plane that are joined at the origin. This process can be identified with a discrete-time quasi-birth-death process on the state space $\mathbb{N}_0 \times \{1, 2, \dots, N\},$ represented by a block tridiagonal transition probability matrix. We prove that we can analyze this process by using spectral methods and obtain the $n$-step transition probabilities in terms of a weight matrix and the corresponding matrix-valued orthogonal polynomials (the so-called Karlin-McGregor formula…
We prove that under certain general conditions on the birth and death rates the Lebesgue-Poisson measure is a maximal irreducibility measure for the spatial birth-and-death process.
For birth and death chains, we derive bounds on the spectral gap and mixing time in terms of birth and death rates. Together with the results of Ding et al. in 2010, this provides a criterion for the existence of a cutoff in terms of the birth and death rates. A variety of illustrative examples are treated.
We consider stochastic UL and LU block factorizations of the one-step transition probability matrix for a discrete-time quasi-birth-and-death process, namely a stochastic block tridiagonal matrix. The simpler case of random walks with only nearest neighbors transitions gives a unique LU factorization and a one-parameter family of factorizations in the UL case. The block structure considered here yields many more possible factorizations resulting in a much enlarged class of potential applications. By reversing the order of the factors (also known as a Darboux transformation) we get new families…
We give a probabilistic interpretation of the associated Jacobi polynomials, which can be constructed from the three-term recurrence relation for the classical Jacobi polynomials by shifting the integer index $n$ by a real number $t$. Under certain restrictions, this will give rise to a doubly infinite tridiagonal stochastic matrix which can be interpreted as the one-step transition probability matrix of a discrete-time bilateral birth-death chain with state space on $\mathbb{Z}$. We also study the unique UL and LU stochastic factorizations of the transition probability matrix, as well as the …
In this paper we review some results on time-homogeneous birth-death processes. Specifically, for truncated birth-death processes with two absorbing or two reflecting endpoints, we recall the necessary and sufficient conditions on the transition rates such that the transition probabilities satisfy a spatial symmetry relation. The latter leads to simple expressions for first-passage-time densities and avoiding transition probabilities. This approach is thus thoroughly extended to the case of bilateral birth-death processes, even in the presence of catastrophes, and to the case of a two-dimensio…
We consider a multidimensional inhomogeneous birth-death process (BDP) and obtain bounds on the rate of convergence for the corresponding one-dimensional processes.
Asymptotic expansions for stationary and conditional quasi-stationary distributions of nonlinearly perturbed birth-death-type semi-Markov models are presented. Applications to models of population growth, epidemic spread and population genetics are discussed.
Spatial birth and death processes are obtained as solutions of a system of stochastic equations. The processes are required to be locally finite, but may involve an infinite population over the full (noncompact) type space. Conditions are given for existence and uniqueness of such solutions, and for temporal and spatial ergodicity. For birth and death processes with constant death rate, a sub-criticality condition on the birth rate implies that the process is ergodic and converges exponentially fast to the stationary distribution.
This paper considers the cycle maximum in birth-death processes as a stepping stone to characterisation of the cycle maximum in single queues and open Kelly-Whittle networks of queues. For positive recurrent birth-death processes we show that the sequence of sample maxima is stochastically compact. For transient birth-death processes we show that the sequence of sample maxima conditioned on the maximum being finite is stochastically compact. We show that the Markov chain recording the total number of customers in a Kelly-Whittle network is a birth-death process with birth and death rates deter…
The purpose of this note is twofold: firstly to improve the known results on variation of extreme eigenvalues of birth and death matrices and random walk matrices; and secondly to progress towards the solution of a thirty years old open problem concerning the variation of eigenvalues of these matrices. Keywords: Birth and death matrices, random walk matrices, eigenvalues, monotonicity
In this paper we study strong solutions of some non-local difference-differential equations linked to a class of birth-death processes arising as discrete approximations of Pearson diffusions by means of a spectral decomposition in terms of orthogonal polynomials and eigenfunctions of some non-local derivatives. Moreover, we give a stochastic representation of such solutions in terms of time-changed birth-death processes and study their invariant and their limit distribution. Finally, we describe the correlation structure of the aforementioned time-changed birth-death processes.
In this paper I shall give the complete solution of the equations governing the bilateral birth and death process on path set $\mathbb{R}_q=\{q^n,\quad n\in\mathbb{Z}\}$ in which the birth and death rates $λ_n=q^{2ν-2n}$ and $μ_n=q^{-2n}$ where $0<q<1$ and $ν>-1$ . The mathematical methods employed here are based on $q$-Bessel Fourier analysis.
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.
An elementary proof is given for a theorem showing that certain birth-death chains show martingale-like behavior at large stopping times. This is a generalization of and new proof for a theorem from a earlier paper by the author.
A sufficient condition is obtained for a discrete-time birth-death process to possess the strong ratio limit property, directly in terms of the one-step transition probabilities of the process. The condition encompasses all previously known sufficient conditions.
A method yielding simple relationships among bilateral birth-and-death processes is outlined. This allows one to relate birth and death rates of two processes in such a way that their transition probabilities, first-passage-time densities and ultimate crossing probabilities are mutually related by some product-form expressions.
We proved the explicit formulas in Laplace transform of the hitting times for the birth and death processes on a denumerable state space with $\ift$ the exit or entrance boundary. This extends the well known Keilson's theorem from finite state space to infinite state space. We also apply these formulas to the fastest strong stationary time for strongly ergodic birth and death processes, and obtain the explicit convergence rate in separation.
Spatial birth-and-death processes with a finite number of particles are obtained as unique solutions to certain stochastic equations. Conditions are given for existence and uniqueness of such solutions, as well as for continuous dependence on the initial conditions. The possibility of an explosion and connection with the heuristic generator of the process are discussed.
We finely describe the "coming down from infinity" for birth and death processes which eventually become extinct. Our biological motivation is to study the decrease of regulated populations which are initially large. Under general assumptions on the birth and death rates, we describe the behavior of the hitting time of large integers. We let two regimes appear and derive an expression of the speed of coming down from infinity. In the case of death rates with regular variations, we also get a central limit theorem and the asymptotic probability of extinction in small times. Finally, we apply ou…
A symmetric relation in the probabilistic Green's function for birth-death chains is explored. Two proofs are given, each of which makes use of the known symmetry of the Green's functions in other contexts. The first uses as primary tool the local time of Brownian motion, while the second uses the reciprocity principle from electric network theory. We also show that the the second proof extends easily to cover birth-death chains (a.k.a. state-dependent random walks) on trees.
We consider the stirring process in the interval $\La_N:=[-N,N]$ of $\mathbb Z$ with births and deaths taking place in the intervals $I_+:=(N-K,N]$, $K>0$, and respectively $I_-:=[-N,-N+K)$. We prove bounds on the truncated moments uniform in $N$ which yield strong factorization properties.
The paper considers a continuous-time birth-death process where the jump rate has an asymptotically polynomial dependence on the process position. We obtain a rough exponential asymptotics for the probability of excursions of a re-scaled process contained within a neighborhood of a given continuous non-negative function.
We consider a continuous time Markov process on $\mathbb{N}_0$ which can be interpreted as generalized alternating birth-death process in a non-autonomous random environment. Depending on the status of the environment the process either increases until the environment changes and the process starts to decrease until the environment changes again, and the process restarts to increase, and so on, or its starts decreasing, reversing its direction due to environmental changes, et cetera. The birth and death rates depend on the state (height, population size) of the birth-death process and the envi…
The spread of an advantageous mutation through a population is of fundamental interest in population genetics. While the classical Moran model is formulated for a well-mixed population, it has long been recognized that in real-world applications, the population usually has an explicit spatial structure which can significantly influence the dynamics. In the context of cancer initiation in epithelial tissue, several recent works have analyzed the dynamics of advantageous mutant spread on integer lattices, using the biased voter model from particle systems theory. In this spatial version of the M…
For birth-and-death processes, we show that every initial distribution is reproduced from the first hitting time distribution. The reproduction is done by applying to the distribution function a differential operator defined through the eigenfunction of the generator. Using the spectral theory for generalized second-order differential operators, we study asymmetric random walks.
Earlier work by Diaconis and Saloff-Coste gives a spectral criterion for a maximum separation cutoff to occur for birth and death chains. Ding, Lubetzky and Peres gave a related criterion for a maximum total variation cutoff to occur in the same setting. Here, we provide complementary results which allow us to compute the cutoff times and windows in a variety of examples.
We consider the spectrum of birth and death chains on a $n$-path. An iterative scheme is proposed to compute any eigenvalue with exponential convergence rate independent of $n$. This allows one to determine the whole spectrum in order $n^2$ elementary operations. Using the same idea, we also provide a lower bound on the spectral gap, which is of the correct order on some classes of examples.
We calculate the density and expectation for the number of lineages in a reconstructed tree with $n$ extant species. This is done with conditioning on the age of the tree as well as with assuming a uniform prior for the age of the tree.
In this note we consider a Markov chain formed by a finite system of interacting birth-and-death processes on a finite state space. We study an asymptotic behaviour of the Markov chain as its state space becomes large. In particular, we show that the appropriately scaled Markov chain converges to a diffusion process, and derive conditions for existence of the stationary distribution of the limit diffusion process in special cases.
For any distribution $π$ with support equal to $[n] = \{1, 2,..., n \}$, we study the set $\mathcal{A}_π$ of tridiagonal stochastic matrices $K$ satisfying $π(i) K[i,j] = π(j) K[j,i]$ for all $i, j \in [n]$. These matrices correspond to birth and death chains with stationary distribution $π$. We study matrices $K$ drawn uniformly from $\mathcal{A}_π$, following the work of Diaconis and Wood on the case $π(i) = \frac{1}{n}$. We analyze a `block sampler' version of their algorithm for drawing from $\mathcal{A}_π$ at random, and use results from this analysis to draw conclusions about typical mat…
It has been known for a long time that for birth-and-death processes started in zero the first passage time of a given level is distributed as a sum of independent exponentially distributed random variables, the parameters of which are the negatives of the eigenvalues of the stopped process. Recently, Diaconis and Miclo have given a probabilistic proof of this fact by constructing a coupling between a general birth-and-death process and a process whose birth rates are the negatives of the eigenvalues, ordered from high to low, and whose death rates are zero, in such a way that the latter proce…
This article investigates second order intertwinings between semigroups of birth-death processes and discrete gradients on the space of natural integers N. It goes one step beyond a recent work of Chafa{ï} and Joulin which establishes and applies to the analysis of birth-death semigroups a first order intertwining. Similarly to the first order relation, the second order intertwining involves birth-death and Feynman-Kac semigroups and weighted gradients on N, and can be seen as a second derivative relation. As our main application, we provide new quantitative bounds on the Stein factors of disc…
We present normal approximation results at the process level for local functionals defined on dynamic Poisson processes in $\mathbb{R}^d$. The dynamics we study here are those of a Markov birth-death process. We prove functional limit theorems in the so-called thermodynamic regime. Our results are applicable to several functionals of interest in the stochastic geometry literature, including subgraph and component counts in the random geometric graphs.
In this paper we study long-term evolution of a finite system of locally interacting birth-and-death processes labelled by vertices of a finite connected graph. A detailed description of the asymptotic behaviour is obtained in the case of both constant vertex degree graphs and star graphs. The model is motivated by modelling interactions between populations and is related to interacting particle systems, Gibbs models with unbounded spins, as well as urn models with interaction.
A strong negative dependence property for measures on {0,1}^n - stability - was recently developed in [5], by considering the zero set of the probability generating function. We extend this property to the more general setting of reaction-diffusion processes and collections of independent Markov chains. In one dimension the generalized stability property is now independently interesting, and we characterize the birth-death chains preserving it.
In a first part, we prove a Lyapunov-type criterion for the $ξ\_1$-positive recurrence of absorbed birth and death processes and provide new results on the domain of attraction of the minimal quasi-stationary distribution. In a second part, we study the ergodicity and the convergence of a Fleming-Viot type particle system whose particles evolve independently as a birth and death process and jump on each others when they hit $0$. Our main result is that the sequence of empirical stationary distributions of the particle system converges to the minimal quasi-stationary distribution of the birth a…
This paper is focused on a class of spatial birth and death process of the Euclidean space where the birth rate is constant and the death rate of a given point is the shot noise created at its location by the other points of the current configuration for some response function $f$. An equivalent view point is that each pair of points of the configuration establishes a random connection at an exponential time determined by $f$, which results in the death of one of the two points. We concentrate on space-motion invariant processes of this type. Under some natural conditions on $f$, we construct …
In this article, we provide different representations for a time-fractional birth and death process $N_α(t)$, whose transition probabilities are governed by a time-fractional system of differential equations. More specifically, we present two equivalent characterizations for its trajectories: the first one as a time-changed classic birth and death process, whereas the second one is a Markov renewal process. Also, we provide results for the asymptotic behavior of the process conditioned not to be killed. The most important is that the concept of quasi-limiting distribution and quasi-stationary …
We show that some classes of birth-and-death processes in continuum (Glauber dynamics) may be derived as a scaling limit of a dynamics of interacting hopping particles (Kawasaki dynamics)
Lattice birth-and-death Markov dynamics of particle systems with spins from the set of non-negative integers are constructed as unique solutions to certain stochastic equations. Pathwise uniqueness, strong existence, Markov property and joint uniqueness in law are proven, and a martingale characterization of the process is given. Sufficient conditions for the existence of an invariant distribution are formulated in terms of Lyapunov functions. We apply obtained results to discrete analogs of the Bolker--Pacala--Dieckmann--Law model and an aggregation model.
We consider a bilateral birth-death process characterized by a constant transition rate $λ$ from even states and a possibly different transition rate $μ$ from odd states. We determine the probability generating functions of the even and odd states, the transition probabilities, mean and variance of the process for arbitrary initial state. Some features of the birth-death process confined to the non-negative integers by a reflecting boundary in the zero-state are also analyzed. In particular, making use of a Laplace transform approach we obtain a series form of the transition probability from s…
We present 15 explicit examples of discrete time Birth and Death processes which are exactly solvable. They are related to the hypergeometric orthogonal polynomials of Askey scheme having discrete orthogonality measures. Namely, they are the Krawtchouk, three different kinds of q-Krawtchouk, (dual, q)-Hahn, (q)-Racah, Al-Salam-Carlitz II, q-Meixner, q-Charlier, dual big q-Jacobi and dual big q-Laguerre polynomials. The birth and death rates are determined by the difference equations governing the polynomials. The stationary distributions are the normalised orthogonality measures of the polynom…
We introduce a family of multivariate continuous-time pure birth and pure death chains, with birth and death rates defined in terms of the generalized binomial coefficients for multiplicity free actions. The state spaces for some of the introduced processes are some sets of partitions (equivalently, Young diagrams). The chains turn out to be the classical Markov processes obtained by restricting Biane's quantum Ornstein-Uhlenbeck semigroups to commutative C*-algebras related to Gelfand pairs built on Heisenberg groups.
We study a class of quantum Markov processes that, on the one hand, is inspired by the micromaser experiment in quantum optics and, on the other hand, by classical birth and death processes. We prove some general geometric properties and irreducibility for non-degenerated parameters. Furthermore, we analyze ergodic properties of the corresponding transition operators. For homogeneous birth and death rates we show how these can be fully determined by explicit calculation. As for classical birth and death chains we obtain a rich yet simple class of quantum Markov chains on an infinite space, whi…
This paper is an attempt to formalize analytically the question raised in "World Population Explained: Do Dead People Outnumber Living, Or Vice Versa?" Huffington Post, \cite{HJ}. We start developing simple deterministic Malthusian growth models of the problem (with birth and death rates either constant or time-dependent) before running into both linear birth and death Markov chain models and age-structured models.
