First passage times of birth-death processes and simple random walks
type: Item
instance of: scholarly article
title: First passage times of birth-death processes and simple random walks
zbMATH Open document ID: 0649.60092
DOI: 10.1016/0304-4149(88)90027-0
author: Yasushi Masuda
published in: Stochastic Processes and their Applications
publication date: 1988-01-01T00:00:00Z
review text: Although attached to a graduate school of management, this author reports on some research in essentially pure mathematics. It is known that the first passage time of a birth- death process from n to \(n+1\) has a completely monotone density, however, the discrete analogue for a simple random walk does not hold. In this paper, first passage times of simple random walks from n to \(n+1\) and from 0 to n are characterized. This discrepancy between the first passage time structures of a birth-death process and simple random walks is also analyzed.
Mathematics Subject Classification ID: 60J80
Mathematics Subject Classification ID: 60G50
zbMATH DE Number: 4060481
zbMATH Keywords: complete monotonicity
zbMATH Keywords: uniformization
zbMATH Keywords: generalized phase type distributions
zbMATH Keywords: first passage time of a birth- death process
zbMATH Keywords: birth-death process
Wikidata QID: Q57549489
reviewed by: Charles J. Mode
MaRDI profile type: Publication
full work available at URL: 0304-4149(88)90027-0
OpenAlex ID: W2090755663
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description: scientific article; zbMATH DE number 4060481