Almost triangular Markov chains on N

Abstract

A transition matrix ${\left[\begin{array}{c}{\mathsf{U}}_{i,j}\end{array}\right]}_{i,j\ge 0}$ on $\mathbb{N}$ is said to be almost upper triangular if ${\mathsf{U}}_{i,j}>0\Rightarrow j\ge i-1$, so that the increments of the corresponding Markov chains are at least $-1$; a transition matrix ${\left[\begin{array}{c}{\mathsf{L}}_{i,j}\end{array}\right]}_{i,j\ge 0}$ is said to be almost lower triangular if ${\mathsf{L}}_{i,j}>0\Rightarrow j\le i+1$, and then, the increments of the corresponding Markov chains are at most $+1$.

In the present paper, we characterize the recurrence, positive recurrence and invariant distribution for almost triangular transition matrices class. The upper case appears to be the simplest in many ways, with existence and uniqueness of invariant measures, when in the lower case, existence, as well as uniqueness, are not guaranteed. We present the time-reversal connection between upper and lower almost triangular transition matrices, which provides classes of integrable lower triangular transition matrices.

These results encompass the case of birth and death processes (BDP) that are famous (discrete or continuous time) Markov processes taking their values in $\mathbb{N}$, which are simultaneously almost upper and almost lower triangular, and whose study has been initiated by Karlin & McGregor in the 1950’s. They found invariant measures, criteria for recurrence, null recurrence, among others; their approach relies on some profound connections they discovered between the theory of BDP, the spectral properties of their transition matrices, the moment problem, and the theory of orthogonal polynomials. Our approach is mainly combinatorial and uses elementary algebraic methods; it is somehow more direct and does not use the same tools.