A Markov chain X with finite state space {0,...,N} and
tridiagonal transition matrix is considered, where transitions
from i to i-1 occur with probability (i/N)(1-p(i/N)) and
transitions from i to i+1 occur with probability
(1-i/N)p(i/N). Here p:[0,1]→[0,1] is a given function.
It is shown that if p is continuous with p(x)≤p(1) for all
x∈[0,1] then, for each N, a dual process Y to X (with
respect to a specific duality function) exists if and only if
1-p is completely monotone with p(0)=0. A probabilistic
interpretation of Y in terms of an ancestral process of a mixed
multitype Moran model with a random number of types is presented.
It is shown that, under weak conditions on p, the process Y,
properly time and space scaled, converges to an
Ornstein--Uhlenbeck process as N tends to ∞. The
asymptotics of the stationary distribution of Y is studied as
N tends to ∞. Examples are presented involving selection
mechanisms.
results.
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