Numerical instability in B&D models
Probability
2021-07-09 v1
Abstract
When computing the expected value of time till extinction of a Birth and Death process, the usual textbook approach results in an extreme case of numerical ill-conditioning, which prevents us from getting accurate answers beyond the first few low-lying states; in this brief note we present a potential solution, together with a novel derivation of related formulas.
Keywords
Cite
@article{arxiv.2107.03454,
title = {Numerical instability in B&D models},
author = {Jan Vrbik},
journal= {arXiv preprint arXiv:2107.03454},
year = {2021}
}