Further approaches to computing fundamental characteristics of birth-death processes

Abstract

General and unifying approaches are discussed for computing fundamental characteristics of both continuous-time and discrete-time birth-death processes. In particular, an exponential family framework is used to derive explicit expressions, in terms of continued fractions, for joint generating functions of first-passage times and a whole collection of associated random quantities, and a random sum representation is used to obtain formulae for means, variances and covariances of stopped reward functions defined on a birth-death process.