Quasi-stationary distribution for the birth–death process with exit boundary》.pdf

J. Math. Anal. Appl. 427 (2015) 114–125 Contents lists available at ScienceDirect Journal of Mathematical Analysis and Applications /locate/jmaa Quasi-stationary distribution for the birth–death process with exit boundary Wu-Jun Gao, Yong-Hua Mao ∗ School of Mathematical Sciences, Beijing Normal University, Laboratory of Mathematics and Complex Systems, Ministry of Education, Beijing 100875, People’s Republic of China a r t i c l e i n f o a b s t r a c t Article history: We prove that there exists a unique quasi-stationary distribution for the minimal Received 18 July 2014 birth–death process with exit boundary. A spectral representation for the quasi- Available online 12 February 2015 stationary distribution is also obtained. Submitted by U. Stadtmueller © 2015 Elsevier Inc. All rights reserved. Keywords: Birth–death process Quasi-stationary distribution Exit boundary Duality Spectral representation h-Transform 1. Introduction and main results Quasi-stationary distribution (QSD) for a Markov process describes the limiting behavior of an absorbing process when the process is conditioned to survive. The existence, uniqueness and other properties of quasi-stationary distributions for various Markov processes have been studied since 1940s. For survey on QSDs, refer to van Doorn and Pollett [9], Collet, Martínez and San Martín [4]. See Pollett [17] for an almost exhaustive bibliography for QSDs. In this paper, we will study QSDs for the birth–death process with exit boundary. Consider a contin