Related papers: An Optional Stopping-like theorem for large stoppi…

Given a random time, we characterize the set of martingales for which the stopping theorems still hold. We also investigate how the stopping theorems are modified when we consider arbitrary random times. To this end, we introduce some…

This paper gives a necessary and sufficient condition for a sequence of birth and death chains to converge abruptly to stationarity, that is, to present a cut-off. The condition involves the notions of spectral gap and mixing time. Y. Peres…

From the perspective of expectations of randomly stopped sums, Wald's equation and the Optional Sampling Theorem identify situations in which the stopping time can be decoupled from the stopping place, acting as if the two were independent.…

Under very general conditions the hitting time of a set by a stochastic process is a stopping time. We give a new simple proof of this fact. The section theorems for optional and predictable sets are easy corollaries of the proof.

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…

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…

The cutoff phenomenon describes a case where a Markov chain exhibits a sharp transition in its convergence to stationarity. In 1996, Diaconis surveyed this phenomenon, and asked how one could recognize its occurrence in families of finite…

We consider families of discrete time birth and death chains on trees, and show that in presence of a drift towards the root of the tree, the chains exhibit cut-off behavior along the drift and escape behavior in the opposite direction.

In this paper we present, in the context of Diaconis' paradigm, a general method to detect the cutoff phenomenon. We use this method to prove cutoff in a variety of models, some already known and others not yet appeared in literature,…

In this paper we present methods for the synthesis of polynomial invariants for probabilistic transition systems. Our approach is based on martingale theory. We construct invariants in the form of polynomials over program variables, which…

A well-known theorem usually attributed to Keilson states that, for an irreducible continuous-time birth-and-death chain on the nonnegative integers and any d, the passage time from state 0 to state d is distributed as a sum of d…

In this paper we study the long term evolution of a continuous time Markov chain formed by two interacting birth-and-death processes. The interaction between the processes is modelled by transition rates which are functions with suitable…

An aperiodic and irreducible Markov chain on a finite state space converges to its stationary distribution. When convergence to equilibrium is measured by total variation distance, there exists an optimal coupling and a maximal coupling…

This paper is concerned with a central limit theorem for quadratic variation when observations come as exit times from a regular grid. We discuss the special case of a semimartingale with deterministic characteristics and finite activity…

A birth-death chain is a discrete-time Markov chain on the integers whose transition probabilities $p_{i,j}$ are non-zero if and only if $|i-j|=1$. We consider birth-death chains whose birth probabilities $p_{i,i+1}$ form a periodic…

In this paper, we develop new optional stopping theorems for scenarios where the stopping rules are defined by bounded continuity regions. Moreover, we establish a wide variety of inequalities on the supremums and infimums of functions of…

The $L^p$ maximal inequalities for martingales are one of the classical results in probability theory. Here we establish the sharp moderate maximal inequalities for upward skip-free Markov chains, which include the $L^p$ maximal…

Birth-death processes form a natural class where ideas and results on large deviations can be tested. In this paper, we derive a large deviation principle under the assumption that the rate of a jump down (death) is growing asymptotically…

In this article, we provide different representations for a time-fractional birth and death process $N_{\alpha}(t)$, whose transition probabilities are governed by a time-fractional system of differential equations. More specifically, we…

Using a bondholder who seeks to determine when to sell his bond as our motivating example, we revisit one of Larry Shepp's classical theorems on optimal stopping. We offer a novel proof of Theorem 1 from from \cite{Shepp}. Our approach is…