相关论文: Approximation of the first passage time distributi…
For a birth-death process subject to catastrophes, defined on the state-space $S=\{r,r+1,r+2,...\}$, with $r$ a positive integer or zero, the first-visit time to a state $k\in S$ is considered and the Laplace transform of its probability…
The birth-death process is a special type of continuous-time Markov chain with index set $\mathbb{N}$. Its resolvent matrix can be fully characterized by a set of parameters $(\gamma, \beta, \nu)$, where $\gamma$ and $\beta$ are…
This paper analyzes a method to approximate the first passage time probability density function which turns to be particularly useful if only sample data are available. The method relies on a Laguerre-Gamma polynomial approximation and…
We consider birth-and-death processes of objects (animals) defined in ${\bf Z}^d$ having unit death rates and random birth rates. For animals with uniformly bounded diameter we establish conditions on the rate distribution under which the…
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorithm based on a random walk. Such an algorithm was already introduced in both the Brownian context and in the Ornstein-Uhlenbeck context. Here…
It has been known for a long time that for birth-and-death processes started in zero the first passage time of a given level is distributed as a sum of independent exponentially distributed random variables, the parameters of which are the…
The simple (linear) birth-and-death process is a widely used stochastic model for describing the dynamics of a population. When the process is observed discretely over time, despite the large amount of literature on the subject, little is…
The time of the first occurrence of a threshold crossing event in a stochastic process, known as the first passage time, is of interest in many areas of sciences and engineering. Conventionally, there is an implicit assumption that the…
The Inverse First Passage time problem seeks to determine the boundary corresponding to a given stochastic process and a fixed first passage time distribution. Here, we determine the numerical solution of this problem in the case of a two…
Since diffusion processes arise in so many different fields, efficient tech-nics for the simulation of sample paths, like discretization schemes, represent crucial tools in applied probability. Such methods permit to obtain approximations…
In a first part, we prove a Lyapunov-type criterion for the $\xi\_1$-positive recurrence of absorbed birth and death processes and provide new results on the domain of attraction of the minimal quasi-stationary distribution. In a second…
The time to first crossing for the Poisson counting process with respect to a linear moving barrier with offset is a classic problem, although key results remain scattered across the literature and their equivalence is often unclear. Here…
In this paper, we introduce a general numerical method to approximate the reproduction numbers of a large class of multi-group, age-structured, population models with a finite age span. To provide complete flexibility in the definition of…
In a recent paper in the Journal of Theoretical Probability Gong, Mao and Zhang, using the theory of Dirichlet forms, extended Karlin and McGregor's classical results on first-hitting times of a birth-death process on the nonnegative…
We develop a theory of first passage processes in stochastic non-equilibrium systems of birth-death type using two closely related epidemiological models as examples. Our method employs the probability generating function technique in…
In this paper we study strong solutions of some non-local difference-differential equations linked to a class of birth-death processes arising as discrete approximations of Pearson diffusions by means of a spectral decomposition in terms of…
We made a first attempt to associate a probabilistic description of stochastic processes like birth-death processes with spacetime geometry in the Schwarzschild metrics on distance scales from the macro- to the micro-domains. We idealize an…
In this paper, we use a linear birth and death process with immigration to model infectious disease propagation when contamination stems from both person-to-person contact and contact with the environment. Our aim is to estimate the…
This paper studies the quasi-stationary distributions for a single death process (or downwardly skip-free process) with killing defined on the non-negative integers, corresponding to a non-conservative transition rate matrix. The set…
We analyze the Gaussian approximation as a method to obtain the first and second moments of a stochastic process described by a master equation. We justify the use of this approximation with ideas coming from van Kampen's expansion approach…