On first passage time structure of random walks

DOI10.1016/0304-4149(85)90021-3zbMath0574.60071OpenAlexW1976383288WikidataQ57549497 ScholiaQ57549497MaRDI QIDQ1063939

Ushio Sumita, Yasushi Masuda

Publication date: 1985

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(85)90021-3

zbMATH Keywords

first passage timesbirth-death processesexponential random variablesstrong unimodalityconditional first passage times

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Related Items (5)

Computing lower and upper expected first-passage and return times in imprecise birth-death chains ⋮ First passage times of birth-death processes and simple random walks ⋮ A characterization of first passage time distributions for random walks ⋮ Stochastic models in seed dispersals: random walks and birth–death processes ⋮ Analysis of random walks using orthogonal polynomials

Cites Work

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• The Classification of Birth and Death Processes
• On conditional passage time structure of birth-death processes
• Uniform stochastic ordering and related inequalities
• On the unimodality of passage time densities in birth-death processes
• Conditional Expectation of the Duration in the Classical Ruin Problem
• The Classical Ruin Problem with Equal Initial Fortunes
• Some Results for Discrete Unimodality
• Log-concavity and log-convexity in passage time densities of diffusion and birth-death processes
• Total Positivity, Absorption Probabilities and Applications
• First Passage and Recurrence Distributions

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