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On hitting times and fastest strong stationary times for birth-and-death chains and other skip-free chains

Wednesday 26th March 2008 - 11:40 to 12:10
INI Seminar Room 1

An (upward) skip-free Markov chain with the set of nonnegative integers as state space is a chain for which upward jumps may be only of unit size; there is no restriction on downward jumps. In a 1987 paper generalizing a well-known theorem (usually attributed to Keilson) for birth-and-death chains, Brown and Shao determined, for an irreducible continuous-time skip-free chain and any d, the passage time distribution from state 0 to state d. When the nonzero eigenvalues nu_j of the generator are all real, their result states that the passage time is distributed as the sum of d independent exponential random variables with rates nu_j. We give another proof of their theorem. In the case of birth-and-death chains, our proof leads to an explicit representation of the passage time as a sum of independent exponential random variables. Diaconis and Miclo also recently obtained such a representation, but our construction is much simpler.

We obtain similar (and new) results for a fastest strong stationary time T of an ergodic continuous-time skip-free chain with stochastically monotone time-reversal started in state 0, and we also obtain discrete-time analogs of all our results.

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University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons