Abstract
For the birth–death process on a finite state space with bilateral boundaries, we give a simpler derivation of the hitting time distributions by h-transform and φ-transform. These transforms can then be used to construct a quick derivation of the hitting time distributions of the minimal birth–death process on a denumerable state space with exit/regular boundaries.
Publisher
Cambridge University Press (CUP)
Subject
Industrial and Manufacturing Engineering,Management Science and Operations Research,Statistics, Probability and Uncertainty,Statistics and Probability
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