作者
Philippe Flajolet, Fabrice Guillemin
发表日期
2000/9
期刊
Advances in Applied Probability
卷号
32
期号
3
页码范围
750-778
出版商
Cambridge University Press
简介
Classic works of Karlin and McGregor and Jones and Magnus have established a general correspondence between continuous-time birth-and-death processes and continued fractions of the Stieltjes-Jacobi type together with their associated orthogonal polynomials. This fundamental correspondence is revisited here in the light of the basic relation between weighted lattice paths and continued fractions otherwise known from combinatorial theory. Given that sample paths of the embedded Markov chain of a birth-and-death process are lattice paths, Laplace transforms of a number of transient characteristics can be obtained systematically in terms of a fundamental continued fraction and its family of convergent polynomials. Applications include the analysis of evolutions in a strip, upcrossing and downcrossing times under flooring and ceiling conditions, as well as time, area, or number of transitions while a geometric …
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