Non-explosivity of limits of conditioned birth and death processes

Abstract

Let X be a birth and death process on with absorption at zero and suppose that X is suitably recurrent, irreducible and non-explosive. In a recent paper, Roberts and Jacka (1994) showed that as T → ∞ the process conditioned to non-absortion until time T converges weakly to a time-homogeneous Markov limit, X∞, which is itself a birth and death process. However the question of the possibility of explosiveness of X∞ remained open. The major result of this paper establishes that X∞ is always non-explosive.