Shell Polynomials and Dual Birth-Death Processes
This paper aims to clarify certain aspects of the relations between birth-death processes, measures solving a Stieltjes moment problem, and sets of parameters defining polynomial sequences that are orthogonal with respect to such a measure. Besides giving an overview of the basic features of these r...
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Erik A. van Doorn 2019-02-15T19:05:54Z 2019-02-15T19:05:54Z 2016 Shell Polynomials and Dual Birth-Death Processes / Erik A. van Doorn // Symmetry, Integrability and Geometry: Methods and Applications. — 2016. — Т. 12. — Бібліогр.: 24 назв. — англ. 1815-0659 2010 Mathematics Subject Classification: 42C05; 60J80; 44A60 DOI:10.3842/SIGMA.2016.049 https://nasplib.isofts.kiev.ua/handle/123456789/147745 This paper aims to clarify certain aspects of the relations between birth-death processes, measures solving a Stieltjes moment problem, and sets of parameters defining polynomial sequences that are orthogonal with respect to such a measure. Besides giving an overview of the basic features of these relations, revealed to a large extent by Karlin and McGregor, we investigate a duality concept for birth-death processes introduced by Karlin and McGregor and its interpretation in the context of shell polynomials and the corresponding orthogonal polynomials. This interpretation leads to increased insight in duality, while it suggests a modification of the concept of similarity for birth-death processes. This paper is a contribution to the Special Issue on Orthogonal Polynomials, Special Functions and Applications. The full collection is available at http://www.emis.de/journals/SIGMA/OPSFA2015.html. en Інститут математики НАН України Symmetry, Integrability and Geometry: Methods and Applications Shell Polynomials and Dual Birth-Death Processes Article published earlier |
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This paper aims to clarify certain aspects of the relations between birth-death processes, measures solving a Stieltjes moment problem, and sets of parameters defining polynomial sequences that are orthogonal with respect to such a measure. Besides giving an overview of the basic features of these relations, revealed to a large extent by Karlin and McGregor, we investigate a duality concept for birth-death processes introduced by Karlin and McGregor and its interpretation in the context of shell polynomials and the corresponding orthogonal polynomials. This interpretation leads to increased insight in duality, while it suggests a modification of the concept of similarity for birth-death processes.
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Shell Polynomials and Dual Birth-Death Processes / Erik A. van Doorn // Symmetry, Integrability and Geometry: Methods and Applications. — 2016. — Т. 12. — Бібліогр.: 24 назв. — англ. |
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Symmetry, Integrability and Geometry: Methods and Applications SIGMA 12 (2016), 049, 15 pages
Shell Polynomials and Dual Birth-Death Processes?
Erik A. VAN DOORN
Department of Applied Mathematics, University of Twente,
P.O. Box 217, 7500 AE Enschede, The Netherlands
E-mail: e.a.vandoorn@utwente.nl
URL: http://wwwhome.math.utwente.nl/~doornea/
Received January 02, 2016, in final form May 14, 2016; Published online May 18, 2016
http://dx.doi.org/10.3842/SIGMA.2016.049
Abstract. This paper aims to clarify certain aspects of the relations between birth-death
processes, measures solving a Stieltjes moment problem, and sets of parameters defining
polynomial sequences that are orthogonal with respect to such a measure. Besides giving
an overview of the basic features of these relations, revealed to a large extent by Karlin
and McGregor, we investigate a duality concept for birth-death processes introduced by
Karlin and McGregor and its interpretation in the context of shell polynomials and the
corresponding orthogonal polynomials. This interpretation leads to increased insight in
duality, while it suggests a modification of the concept of similarity for birth-death processes.
Key words: orthogonal polynomials; birth-death processes; Stieltjes moment problem; shell
polynomials; dual birth-death processes; similar birth-death processes
2010 Mathematics Subject Classification: 42C05; 60J80; 44A60
1 Introduction
In what follows a measure will always be a finite positive Borel measure on the real axis with
infinite support and finite moments of all (positive) orders. It will be convenient to assume
throughout that the measure is normalized so that it becomes a probability measure. The
Hamburger moment problem associated with a measure ψ is said to be determined (ψ is det(H),
for short) if ψ is uniquely determined by its moments; otherwise, it is said to be indeterminate
(ψ is indet(H)). Similar terminology will be used for the Stieltjes moment problem associated
with ψ, in which we limit our scope to measures with support on the nonnegative real axis,
with det(S) (indet(S)) replacing det(H) (indet(H)).
Chihara [9] showed that when a measure is indet(H) and has left-bounded support, there is
a unique solution of the associated moment problem with the property that the minimum of its
support is maximal. We will refer to this solution as the natural solution. It will be convenient
to qualify a measure as natural also if it is the solution of a determined moment problem. Note
that the natural solution of an indeterminate Hamburger moment problem may be the unique
solution of a Stieltjes moment problem.
Our point of departure is a measure ψ on the nonnegative real axis with moments
mn(ψ) :=
∫
[0,∞)
xnψ(dx), n ≥ 0.
By assumption m0(ψ) = 1. In what follows we allow ψ to be indet(S) (and hence indet(H))
but assume in this case that ψ is the natural solution of the associated moment problem. The
(monic) polynomials that are orthogonal with respect to ψ will be denoted by Pn.
?This paper is a contribution to the Special Issue on Orthogonal Polynomials, Special Functions and Applica-
tions. The full collection is available at http://www.emis.de/journals/SIGMA/OPSFA2015.html
mailto:e.a.vandoorn@utwente.nl
http://wwwhome.math.utwente.nl/~doornea/
http://dx.doi.org/10.3842/SIGMA.2016.049
http://www.emis.de/journals/SIGMA/OPSFA2015.html
2 E.A. van Doorn
As is well known there exist unique constants cn ∈ R and dn+1 > 0, n ≥ 1, such that the
polynomials Pn satisfy the three-terms recurrence relation
Pn(x) = (x− cn)Pn−1(x)− dnPn−2(x), n > 1,
P1(x) = x− c1, P0(x) = 1. (1.1)
Since the support of ψ is a subset of the nonnegative real axis we actually have cn > 0, and
there is a more refined result (see, for instance, Chihara [10, Corollary to Theorem I.9.1]) to the
effect that there are numbers µ0 ≥ 0 and λn > 0, µn+1 > 0 for n ≥ 0, such that
cn = λn−1 + µn−1 and dn+1 = λn−1µn, n ≥ 1. (1.2)
(Further results in this vein can be found in [14].) Since λn and µn may be interpreted as the
birth rates and death rates, respectively, of a birth-death process on the nonnegative integers,
we will refer to a collection of such constants as a set of birth and death rates (or a rate set, for
short). More information on birth-death processes and their rates will be given in later sections,
but at this stage we note that, by Karlin and McGregor [16, Lemma 1 and Lemma 6 on p. 527]
(see also [14, Theorem 1.3]), we must have µ0 = 0 unless ψ has a finite moment of order −1,
that is,
m−1(ψ) :=
∫
[0,∞)
x−1ψ(dx) <∞, (1.3)
in which case µ0 may be any number in the interval [0, 1/m−1(ψ)]. Evidently, once µ0 has been
chosen, the other rates are fixed.
In the remainder of this section we will assume that (1.3) is satisfied, so that, in particular,
ψ({0}) = 0. Defining the measure φ(0) by
φ(0)([0, x]) :=
1
m−1(ψ)
∫
[0,x]
y−1ψ(dy), x ≥ 0, (1.4)
and letting, for a > 0,
φ(a) :=
1
a+ 1
(
aδ0 + φ(0)
)
, (1.5)
where δ0 is the Dirac measure with mass 1 at 0, we observe that, for any a ≥ 0, φ(a) is a proba-
bility measure on the nonnegative real axis. As a consequence there exists a sequence of (monic)
polynomials
{
S
(a)
n
}
that are orthogonal with respect to φ(a). Since, for all a ≥ 0,
ψ([0, x]) = (a+ 1)m−1(ψ)
∫
[0,x]
yφ(a)(dy), x ≥ 0,
we will, following Chihara [13], refer to the polynomials S
(a)
n as shell polynomials corresponding
to the orthogonal polynomial sequence {Pn}. In the terminology of [10, Section I.7] the polyno-
mials Pn are, for any a ≥ 0, the kernel polynomials with K-parameter 0 corresponding to
{
S
(a)
n
}
.
Information on the status of the moment problem associated with φ(a) is given in the next
theorem.
Theorem 1.1 (Chihara [8, Theorem 2]).
(i) The measure φ(0) is det(H).
(ii) The measure φ(a), a > 0, is det(S) if and only if the measure ψ is det(S).
Shell Polynomials and Dual Birth-Death Processes 3
Evidently, φ(a) cannot be a natural measure if it is indet(S), but we will see that φ(a) neverthe-
less has a certain significance in this case, in particular in the context of birth-death processes.
Before introducing our findings it will be useful to state already some facts about the relations
between birth-death processes, rate sets, and measures that will be expounded in Section 3.
Fact 1.2. A birth-death process uniquely defines a rate set.
Fact 1.3. A birth-death process uniquely defines a measure on [0,∞) through Karlin and
McGregor’s representation formula (3.3) for the transition functions of a birth-death process.
This measure is natural or of a type known as Nevanlinna extremal.
Fact 1.4. A rate set {λn, µn} uniquely defines, through (1.2), a natural measure on [0,∞)
with respect to which the polynomials Pn of (1.1) are orthogonal. Conversely, a natural mea-
sure on [0,∞), with monic orthogonal polynomials Pn and moment m−1 of order −1, defines,
through (1.1) and (1.2), a rate set {λn, µn}, which, if m−1 =∞, is unique and satisfies µ0 = 0.
If m−1 <∞ the measure defines an infinite family of rate sets indexed by the value of µ0, which
can be any number in the interval [0, 1/m−1].
Fact 1.5. A rate set {λn, µn} uniquely defines a birth-death process if and only if at least one
of the following conditions prevails:
(i) the natural measure defined by the rate set is det(S);
(ii) µ0 > 0 and the natural measure defined by the rate set has m−1 = µ−10 .
Otherwise, there is an infinite, one-parameter family of birth-death processes with the given
rates. Two members of this family may be identified as extreme, and are known as the minimal
process (associated with the natural measure) and the maximal process.
Fact 1.2 is a trivial consequence of the definition of a birth-death process in Section 3.1;
Facts 1.3 and 1.4 follow from the seminal work of Karlin and McGregor [16] (Fact 1.4 also
summarizes earlier observations in this section); for Fact 1.5 we refer to [16] again and, for the
second part, to [22]. Note that, by Fact 1.4, our measure ψ defines infinitely many rate sets,
since m−1(ψ) <∞ by assumption.
Our main goal in this paper is to interpret and characterize the measures φ(a), a ≥ 0, and the
relation between the measures ψ and φ(a), in the context of birth-death processes. Concretely,
we will display a one-to-one correspondence between the measures φ(a), a ≥ 0, and the rate sets
with µ0 > 0 defined by ψ (to which we will refer as ψ-rate sets for short). Moreover, if φ(a)
is det(S), then the birth-death process (uniquely) defined by φ(a) and the (unique) birth-death
process whose rate set is the ψ-rate set corresponding to φ(a) are shown to be dual to each other
in sense of Karlin and McGregor [17, Section 6]. As a result the duality concept for birth-death
processes can be extended to families of birth-death processes that are similar in the sense
of [18], after a slight modification of the definition of similarity.
When φ(a) is indet(S) – and hence, by Theorem 1.1, a > 0 – the situation is more compli-
cated since the duality concept for birth-death processes can be applied only to minimal and
maximal processes when a rate set does not define a birth-death process uniquely (see [22]).
However, we will see that in this case φ(a) is Nevanlinna extremal (as stated already by Berg
and Christiansen [3]) and corresponds to a maximal birth-death process, which happens to be
dual to the minimal process whose rate set is the ψ-rate set corresponding to φ(a). We will also
present a counterpart of this result.
In the next section we will collect some further notation, terminology and preliminary results
about shell polynomials, rate sets, and measures, while in Section 3 the relevant properties of
birth-death processes are set forth and put in proper perspective. Our findings are detailed in
Section 4.
4 E.A. van Doorn
2 Preliminaries
2.1 Shell polynomials and rate sets
Applying [10, Corollary to Theorem I.9.1] to the polynomials S
(a)
n , we conclude that, for any
a ≥ 0, there exist constants µ
(a)
0 ≥ 0 and λ
(a)
n > 0, µ
(a)
n+1 > 0 for n ≥ 0, such that
S(a)
n (x) =
(
x− λ(a)n−1 − µ
(a)
n−1
)
S
(a)
n−1(x)− λ
(a)
n−2µ
(a)
n−1S
(a)
n−2(x), n > 1,
S
(a)
1 (x) = x− λ(a)0 − µ
(a)
0 , S
(a)
0 (x) = 1. (2.1)
If φ(a) is natural and m−1(φ
(a)) =∞ (so in particular if φ(a) is det(S) and a > 0) then, by [16,
Lemma 1 and Lemma 6 on p. 527)] again, we must have µ
(a)
0 = 0. In other circumstances µ
(a)
0
may also be chosen positive, but it will be convenient to set µ
(a)
0 = 0 by definition in what
follows.
We can now relate the parameters in the recurrence relation (2.1) for the polynomials S
(a)
n
to the parameters cn and dn in the recurrence relation (1.1). Indeed, since the polynomials Pn
are the kernel polynomials with K-parameter 0 corresponding to
{
S
(a)
n
}
, we have, by [10, Theo-
rem I.9.1],
cn = λ
(a)
n−1 + µ(a)n and dn+1 = λ(a)n µ(a)n , n ≥ 1.
Subsequently defining birth rates λn and death rates µn by
λn = µ
(a)
n+1 and µn = λ(a)n , n ≥ 0, (2.2)
it follows that we have regained (1.2). So we see that we can parametrize the birth and death
rates in the representation (1.2) by the value of µ0, but also by the size a of the atom at 0 of the
measure φ(a) of (1.4) and (1.5), since the value of a uniquely identifies the shell polynomials S
(a)
n
corresponding to {Pn}, and hence, through (2.1) (where µ
(a)
0 = 0) and (2.2), the birth and death
rates.
The next theorem gives an explicit one-to-one relation between µ0 and a, and shows that the
question of whether the alternative representation yields all possibilities can be answered in the
affirmative, provided we allow 0 ≤ a ≤ ∞ and interpret λ
(∞)
n and µ
(∞)
n as limits as a → ∞ of
the corresponding quantities with superindex (a). We will see in Section 2.2 that the theorem is
an immediate corollary of a theorem of Chihara [8].
Theorem 2.1. Let ψ be a natural measure satisfying (1.3) and let µ0 be determined by a
via (1.4), (1.5), (2.1) (with µ
(a)
0 = 0) and (2.2). Then, for 0 ≤ a ≤ ∞,
µ0 =
1
(a+ 1)m−1(ψ)
,
whence µ0 can have any value in the interval [0, 1/m−1(ψ)].
Note that, as a→∞, φ(a) converges strongly to δ0, so we cannot (and need not) extend the
definition of S
(a)
n to include the case a = ∞. An interpretation of λ
(∞)
n and µ
(∞)
n as birth and
death rates of a birth-death process on the nonnegative integers is possible, but does not fit in
the setting described around (1.2) since λ
(∞)
0 = µ
(∞)
0 = 0.
Let us mention at this point that (2.2) displays the duality concept for birth-death processes
that will be further discussed in Section 3.2 and plays a crucial role in Section 4.
Shell Polynomials and Dual Birth-Death Processes 5
2.2 Chain sequences and rate sets
We first recall some definitions and basic results (see Chihara [10, Section III.5] and [12] for
more information). A sequence {an}∞n=1 is a chain sequence if there exists a second sequence
{gn}∞n=0 such that
(i) 0 ≤ g0 < 1, 0 < gn < 1, n ≥ 1,
(ii) an = (1− gn−1)gn, n ≥ 1.
The sequence {gn} is called a parameter sequence for {an}. If both {gn} and {hn} are parameter
sequences for {an}, then
gn < hn, n ≥ 0 ⇐⇒ g0 < h0.
Every chain sequence {an} has a minimal parameter sequence, uniquely determined by the
condition g0 = 0, and a maximal parameter sequence {Mn}, characterized by the fact that
M0 > g0 for any other parameter sequence {gn}. For every x, 0 ≤ x ≤ M0, there is a unique
parameter sequence {gn} for {an} such that g0 = x.
Linking the parameters in the three-terms recurrence relation (1.1) to birth and death rates
is an alternative for the approach involving chain sequences chosen by Chihara in, for instance,
[8, 10]. Indeed, letting
an =
dn+1
cncn+1
, n ≥ 1,
we see that the sequence {an}∞n=1 is a chain sequence, since an = (1− gn−1)gn if we choose
gn =
µn
λn + µn
, n ≥ 0, (2.3)
for any set of birth rates λn and death rates µn satisfying (1.2). So (2.3) gives a one-to-
one correspondence between a parameter sequence for the chain sequence {an} and a rate set
satisfying (1.2). Since 0 ≤ µ0 ≤ 1/m−1(ψ), we can also characterize the maximal parameter
sequence for {an} by
M0 =
1
c1m−1(ψ)
.
Invoking [8, Theorem 2] we can now conclude that it implies Theorem 2.1, for on comparing
our (1.5) with [8, equation (3.3)] and making appropriate identifications, we find that a =
(µ0m−1(ψ))
−1 − 1, as required.
2.3 Spectral properties and Nevanlinna extremal measures
In this subsection we will introduce some notation and terminology concerning the natural
measure ψ introduced in Section 1 and, if ψ is indet(S), related measures called Nevanlinna
extremal.
Of interest to us will be the quantities ξi, recurrently defined by
ξ1 := inf supp(ψ), (2.4)
and
ξi+1 := inf{supp(ψ) ∩ (ξi,∞)}, i ≥ 1. (2.5)
6 E.A. van Doorn
where supp(ψ) denotes the support (or spectrum) of the measure ψ. We further define
σ := lim
i→∞
ξi, (2.6)
the first accumulation point of supp(ψ) if it exists, and infinity otherwise. So (suppψ) is discrete
with no finite limit point if and only if σ =∞. It is clear from the definition of ξi that, for all
i ≥ 1,
ξi+1 ≥ ξi ≥ 0,
and
ξi = ξi+1 ⇐⇒ ξi = σ.
Note that we must have σ = 0 if ξ1 = 0 and ψ({0}) = 0. Also, ψ must be det(S) if ξ1 = 0.
From Karlin and McGregor [16] (see also Chihara [11]) we know that
ψ is indet(S) ⇐⇒
∞∑
n=0
(
πn +
1
λnπn
)
<∞, (2.7)
where
π0 := 1 and πn :=
λ0λ1 · · ·λn−1
µ1µ2 · · ·µn
, n ≥ 1, (2.8)
and {λn, µn} is the rate set with µ0 = 0 satisfying (1.2). We note, parenthetically, that for a rate
set with µ0 > 0 the right-hand side of (2.7) is sufficient, but not necessary for the corresponding
natural measure to be indet(S) (see [11]).
It is well known that σ =∞ if ψ is indet(S). (A necessary and sufficient condition for σ =∞
in terms of any rate set satisfying (1.2) has recently been revealed in [24].) Moreover, if ψ is
indet(S) there are infinitely many solutions of the Stieltjes moment problem associated with ψ.
We shall be interested in particular in solutions known as Nevanlinna extremal (or N -extremal,
for short), which may be defined as follows (see, for example, Berg and Valent [7, Section 1] and,
for more background information, Shohat and Tamarkin [21, pp. 51–60] and Berg and Valent
[6, Section 2]). Let
ρ(x) :=
{ ∞∑
n=0
p2n(x)
}−1
, x ∈ R,
where pn(x) are the orthonormal polynomials corresponding to ψ. Then ρ(x) is positive for all
real x and equals, if x ≥ 0, the maximal mass any solution can concentrate at x. Supposing
that a solution of the Stieltjes moment problem locates positive mass at the point x, then that
solution is an N -extremal solution if and only if the point mass at x equals ρ(x).
Some pertinent properties of N -extremal solutions are the following. There is a one-to-one
correspondence between the real numbers in the interval [0, ξ1] and the N -extremal solutions of
the Stieltjes moment problem associated with ψ. For ξ ∈ [0, ξ1] we denote the corresponding N -
extremal solution by ψξ. The spectrum of ψξ is discrete and consists of the point ξ and exactly
one point in each of the intervals (ξi, ξi+1], i ≥ 1. Evidently, we have ψξ1 = ψ and supp(ψξ1)
= {ξ1, ξ2, . . . }. The spectral points of two different N -extremal solutions strictly separate each
other.
We finally note that the natural measure ψ can be identified with the solution of the associ-
ated Stieltjes moment problem that is related to the Friedrichs extension of some semi-bounded
operator (see Pedersen [19] for details). The parametrization in [19] (and in [6, 7]) of the
N -extremal solutions of the indeterminate Stieltjes moment problem associated with ψ differs
from ours and is effectuated by a number in an interval [α, 0]; the solution corresponding to the
parameter value α (< 0) is our natural solution ψ (= ψξ1).
Shell Polynomials and Dual Birth-Death Processes 7
3 Birth-death processes
3.1 Basic properties
In this paper a birth-death process X ≡ {X(t), t ≥ 0}, say, will always be a continuous-time
Markov chain taking values in N := {0, 1, . . .} with the property that only transitions to neigh-
bouring states are permitted. The process has upward transition (or birth) rates λn, n ∈ N , and
downward transition (or death) rates, µn, n ∈ N , all strictly positive except µ0, which might be
equal to 0. When µ0 = 0 the process is irreducible, but when µ0 > 0 the process may escape
from N , via 0, to an absorbing state −1. The q-matrix of transition rates of X , restricted to
the states in N , will be denoted by Q, that is,
Q =
−(λ0 + µ0) λ0 0 0 0 . . .
µ1 −(λ1 + µ1) λ1 0 0 . . .
0 µ2 −(λ2 + µ2) λ2 0 . . .
. . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . . .
, (3.1)
and X will be referred to as a Q-process. The process X will be identified with its transition
functions
pij(t) := Pr{X(t) = j |X(0) = i}, i, j ∈ N , t ≥ 0,
and we write P (·) := (pij(·), i, j ∈ N ). Besides the usual probabilistic requirements and the
Chapman–Kolmogorov equations
P (s+ t) = P (s)P (t), s ≥ 0, t ≥ 0,
imposed by the Markov property, the transition functions of X will be assumed to satisfy both
the Kolmogorov backward equations
P ′(t) = QP (t), t ≥ 0,
and forward equations
P ′(t) = P (t)Q, t ≥ 0,
with initial condition P (0) = I, the identity matrix. It follows in particular that P ′(0) = Q,
establishing Fact 1.2. We refer to Anderson [1] for more information on continuous-time Markov
chains in general and birth-death processes in particular.
A matrix of the type (3.1) is always the q-matrix of a birth-death process, but not necessarily
of a unique process. Karlin and McGregor [16] have shown that the Q-process X is uniquely
determined by Q – that is, by its rates – if and only if the series
∞∑
n=0
(
πn +
1
λnπn
)
, (3.2)
where πn is given by (2.8), diverges. If µ0 = 0 then, in view of (2.7) (where µ0 = 0 is assumed),
the series diverges if and only if ψ is det(S), where ψ denotes the (natural) measure defined by
the rate set {λn, µn}. If µ0 > 0 then, by [16, Theorem 15], the series (3.2) diverges if and only
if ψ is det(S) or m−1(ψ) = 1/µ0.
If the series (3.2) converges there is an infinite, one-parameter family of Q-processes, which
includes two members – the minimal and the maximal Q-process – with matrices of transition
8 E.A. van Doorn
functions Pmin(·) and Pmax(·) that are uniquely defined by the requirement that any Q-process
with matrix of transition functions P (·) satisfies
Pmin(t) ≤ P (t) ≤ Pmax(t), i, j ∈ N , t ≥ 0,
where ≤ denotes componentwise inequality. After introducing duality for birth-death processes
in the next subsection we will able to identify the parameter characterizing the individual Q-
processes.
Given the birth rates λn and death rates µn of X we can define positive numbers cn and dn
by (1.2) and, subsequently, polynomials Pn by the recurrence relation (1.1). By Favard’s theo-
rem the polynomials Pn are orthogonal with respect to a finite positive Borel measure on the
real axis (with finite moments of all positive orders), and it is shown in [16] and [8] that, in fact,
there is such a measure with support on the nonnegative real axis. As before we will assume that
the measure is normalized to be a probability measure. So we conclude that a set of birth and
death rates uniquely defines a natural measure on the nonnegative real axis, thus confirming
the first part of Fact 1.4.
Actually, the natural measure that is defined by the rates λn and µn – and hence by the
matrix Q – is precisely the measure ψ appearing in Karlin and McGregor’s [16] spectral repre-
sentation for the transition functions of the unique (if the series (3.2) diverges) or minimal (if
the series (3.2) converges) Q-process, namely,
pij(t) = (−1)i+j
j∏
k=1
1
λk−1µk
∫ ∞
0
e−xtPi(x)Pj(x)ψ(dx), i, j ∈ N , t ≥ 0, (3.3)
where an empty product is defined to be 1. If the series (3.2) converges the representation (3.3)
still holds for any Q-process, provided ψ is replaced by the appropriate N -extremal solution
of the Stieltjes moment problem associated with the rate set. If µ0 = 0 every N -extremal
measure ψξ, 0 ≤ ξ ≤ ξ1, corresponds to a birth-death process. The N -extremal measures
corresponding to a birth-death process with µ0 > 0 will be identified in the next subsection. In
any case, the preceding remarks confirm Fact 1.3.
For completeness’ sake we recall from Section 1 that a natural measure on the nonnegative
real axis corresponds to an infinite family of rate sets, indexed by the value of µ0, if (and only
if) the measure has a finite moment of order −1.
3.2 Dual birth-death processes
Our point of departure in this subsection is a birth-death process X that is uniquely defined
by its birth rates λn and death rates µn, where µ0 > 0. Following Karlin and McGregor [17,
Section 6], we define the process X d to be a birth-death process on N with birth rates λdn and
death rates µdn given by µd0 := 0 and
λdn := µn, µdn+1 := λn, n ≥ 0. (3.4)
Accordingly, we let
πd0 := 1 and πdn :=
λd0λ
d
1 · · ·λdn−1
µd1µ
d
2 · · ·µdn
=
µ0µ1 · · ·µn−1
λ0λ1 · · ·λn−1
, n ≥ 1,
and note that
πdn+1 = µ0(λnπn)
−1 and
(
λdnπ
d
n
)−1
= µ−10 πn, n ≥ 0.
Shell Polynomials and Dual Birth-Death Processes 9
Hence divergence of the series (3.2) is equivalent to divergence of the series
∞∑
n=0
(
πdn +
1
λdnπ
d
n
)
, (3.5)
so that X d is uniquely defined by its rates if and only if X is uniquely defined by its rates.
So within the setting of birth-death processes that are uniquely defined by their rates, the
mapping (3.4) establishes a one-to-one correspondence between processes with µ0 = 0 and those
with µ0 > 0. The processes X and X d are therefore called each other’s dual.
The transition functions of X d satisfy a representation formula analogous to (3.3), involving
birth-death polynomials P dn and a unique natural probability measure ψd on the nonnegative
real axis with respect to which the polynomials P dn are orthogonal. Still assuming divergence
of (3.2) (and hence of (3.5)), we have, by [16, Lemma 3],
ψd([0, x]) = 1− µ0m−1(ψ) + µ0
∫
[0,x]
y−1ψ(dy), x ≥ 0, (3.6)
where ψ is the (natural) measure defined by X (which must have m−1(ψ) < ∞ since µ0 > 0).
With ξdi and σd denoting the quantities defined by (2.4), (2.5) and (2.6) if we replace ψ by ψd,
we thus have σd = σ,
ξd1 = 0 and ξdi+1 = ξi, i > 1, if µ0m−1(ψ) < 1,
and
ξdi = ξi, i ≥ 1, if µ0m−1(ψ) = 1.
Interestingly, with pdij(t) denoting the transition functions of the dual process, we also have∑
j≥k
pdij(t) =
∑
j<i
pk−1,j(t), i, k ∈ N , t ≥ 0. (3.7)
provided the summations are interpreted to include probability mass, if any, having escaped
from N to the absorbing state −1 or to infinity (see [22] and the references there for details).
This property makes duality a useful tool in the analysis of birth-death processes (see, for
example, [23]).
If the series (3.2) (and hence the series (3.5)) converges, the situation is more complicated
since the rate sets {λn, µn} and {λdn, µdn} are associated with infinite families of birth-death
processes. The following facts have been established in [22]. First, there is the separation result
0 < ξdi < ξi < ξdi+1, i ≥ 1,
where ξi and ξ
d
i now represent the spectral points of the natural measures ψ = ψξ1 and ψd = ψd
ξd1
that are uniquely defined by the rate sets {λn, µn} and {λdn, µdn}, respectively. (Recall that
σ = σd =∞.)
Secondly, the N -extremal measure ψξ is associated with a birth-death process (in the sense
of Section 3.1) if and only if ξd1 ≤ ξ ≤ ξ1, while the N -extremal solution ψdξ is associated with
a birth-death process for all ξ satisfying 0 ≤ ξ ≤ ξd1 . The birth-death processes associated with
the N -extremal solutions ψξ1 = ψ and ψd
ξd1
= ψd are minimal processes, whereas the birth-death
processes corresponding to the N -extremal solutions ψξd1
and ψd0 are maximal processes.
10 E.A. van Doorn
Thirdly, (3.6) (and (3.7)) remain valid if (and only if) either ψd is replaced by ψd0 or ψ by ψξd1
,
that is, we have
ψd0([0, x]) = 1− µ0m−1(ψ) + µ0
∫
[0,x]
y−1ψ(dy), x ≥ 0, (3.8)
and
ψd([0, x]) = 1− µ0m−1(ψξd1 ) + µ0
∫
[0,x]
y−1ψξd1
(dy), x ≥ 0.
It follows that the duality concept for rate sets can be extended to birth-death processes also
if they are not uniquely defined by their rates, provided one restricts oneself to minimal and
maximal processes, and links a minimal process to a maximal process.
We finally remark that a probabilistic interpretation of minimal and maximal processes in-
volves the character of the boundary at infinity (which is not specified by the rates). This
boundary may be completely absorbing (the minimal process), completely reflecting (the maxi-
mal process), or something in between. Evidently, the distinction is relevant only if the process
can explode, that is, reach infinity in finite time.
3.3 Similar birth-death processes
Consider, besides the birth-death process X of Section 3.1, another birth-death process X̃ , with
birth rates λ̃n and death rates µ̃n, coefficients π̃n and transition functions p̃ij(·). The processes X
and X̃ are said to be similar if there are constants cij , i, j ∈ N , such that
p̃ij(t) = cijpij(t), i, j ∈ N , t ≥ 0.
The next theorem shows that, under certain regularity conditions, similarity imposes strong
restrictions on the birth and death rates.
Theorem 3.1. Let the birth-death processes X and X̃ be either uniquely determined by their
rates or minimal. If X and X̃ are similar, then their birth and death rates are related as
λ̃n + µ̃n = λn + µn, λ̃nµ̃n+1 = λnµn+1, n ∈ N , (3.9)
while their transition functions satisfy
p̃ij(t) =
√
πiπ̃j
π̃iπj
pij(t), i, j ∈ N , t ≥ 0.
Conversely, if X and X̃ are birth-death processes with rates related as in (3.9) then X and X̃
are similar.
In the more restricted setting in which X and X̃ are uniquely determined by their rates
the statements of this theorem were given in [18, Theorems 1 and 2]. Since the additional
restrictions are not used in the proof of the necessity of (3.9) for similarity of X and X̃ , the
question remains whether (3.9) is sufficient for similarity of X and X̃ when the processes are not
uniquely defined by their rates (but minimal). This, however, follows immediately from Karlin
and McGregor’s representation formula (3.3), since, considering the remarks preceding (3.3),
the polynomials and natural measure associated with X must be identical to those of X̃ if (3.9)
prevails. Interestingly, Fralix [15] recently established a sufficient condition for similarity in the
setting of continuous-time Markov chains (conjectured earlier by Pollett [20]), which amounts
to (3.9) when applied to birth-death processes.
Shell Polynomials and Dual Birth-Death Processes 11
On relating the results of Theorem 3.1 to (1.1) and (1.2) we see that a family of similar
birth-death processes is characterized by the fact that all members are associated with the
same orthogonal polynomial sequence {Pn} – and hence with the same (natural) orthogonalizing
measure ψ – while each individual member may be characterized by the value of µ0, which can be
any number in [0, 1/m−1(ψ)]. So a family of similar birth-death processes has either one member
(if m−1(ψ) = ∞) or infinitely many members (if m−1(ψ) < ∞). Note that there is always
a member in the family with µ0 = 0, the representative of the family. By [16, equation (2.4),
Lemma 6 on p. 527] we have
µ0 = 0 =⇒ m−1(ψ) =
∞∑
n=0
1
λnπn
,
so to decide whether the representative of a family is the only member of the family is, given
the birth and death rates of the representative, a trivial task.
4 Results
Having collected all we need, we are ready to draw conclusions. To start with, consider a rate set
{λn, µn} with µ0 > 0 and the natural measure ψ that, by Fact 1.4, is defined by this set. Since,
by Fact 1.4 again, m−1(ψ) <∞ and µ0 ≤ 1/m−1(ψ), we can choose a = (µ0m−1(ψ))
−1 − 1 ≥ 0
and thus link the rate set {λn, µn} to the measure φ(a) defined in (1.4) and (1.5).
Let us first assume that the rate set {λn, µn} is such that the series (3.2) diverges, whence it
corresponds to a unique birth-death process X . Then, by Fact 1.5, there are two possibilities.
The first is that ψ is det(S), in which case, by Theorem 1.1, φ(a) is also det(S). The second
possibility is that ψ is indet(S) and m−1(ψ) = 1/µ0. But then a = 0, so that, by Theorem 1.1,
φ(a) = φ(0) is det(S) again. So, in any case, φ(a) is det(S) and hence natural. If a = 0 it is
possible for φ(a) to define an infinite family of rate sets, but, as agreed upon in Section 2.1, we
will always associate with φ(a) the unique rate set {λ(a)n , µ
(a)
n } with µ(a)0 = 0 determined by the
parameters in the recurrence relation (2.1) for the shell polynomials S
(a)
n . So we have now linked
the rate set {λn, µn} with µ0 > 0 to a rate set {λ(a)n , µ
(a)
n } with µ
(a)
0 = 0, which, by Fact 1.5,
uniquely defines a birth-death process X (a). But on comparing (2.2) and (3.4), we see that
λ(a)n = λdn and µ(a)n = µdn, n ≥ 0,
so that, actually, X (a) = X d, the dual process of X . Indeed, on comparing (1.4) and (1.5)
with (3.6), we also observe that φ(a) = ψd, as required. We summarize our findings in the next
theorem.
Theorem 4.1. Let {λn, µn} with µ0 > 0 be a rate set for which the series (3.2) diverges, X the
birth-death process defined by this set, and ψ the corresponding measure. Then φ(a), defined
by (1.4) and (1.5), is det(S) for all a ≥ 0, while, for a = (µ0m−1(ψ))
−1 − 1, it is the measure
corresponding to X d, the dual process of X .
Note that the (not so obvious) condition µ0m−1(ψ) ≤ 1, which a rate set associated with
the natural measure ψ with m−1(ψ) <∞ should satisfy, has a very natural counterpart for the
measure of the dual process, namely a ≥ 0.
Evidently, (3.4) establishes a one-to-one correspondence between rate sets with µ0 = 0 and
those with µ0 > 0. So, as long as we work in the setting of rate sets that uniquely define
a birth-death process, the above procedure mapping the rate set {λn, µn} with µ0 > 0 to the
rate set {λ(a)n , µ
(a)
n } with µ(a)0 = 0, via the corresponding birth-death processes, must reflect this
correspondence. In other words, every measure φ that corresponds to a rate set with µ0 = 0,
12 E.A. van Doorn
must be of the form φ(a) of (1.4) and (1.5) for some a ≥ 0, with ψ being the measure of the dual
process. Here are the details of this correspondence.
Consider a rate set {λ̃n, µ̃n} with µ̃0 = 0 for which the analogue of the series (3.2) diverges.
Let X̃ be the birth-death process uniquely defined by this rate set, P̃n the corresponding polyno-
mials and φ̃ the corresponding measure, which, in view of the analogue of (2.7), must be det(S).
Then, letting
a =
φ̃({0})
1− φ̃({0})
and φ(0) =
φ̃− φ̃({0})δ0
1− φ̃({0})
,
φ̃ can be represented as
φ̃ =
1
a+ 1
(
aδ0 + φ(0)
)
.
Defining the (probability) measure ψ by
ψ([0, x]) =
1
m1(φ(0))
∫
[0,x]
yφ(0)(dy), x ≥ 0, (4.1)
we can apply some results of Berg and Thill [4, 5] to conclude the following.
Lemma 4.2. The measure ψ defined by (4.1) is the natural solution of the corresponding moment
problem.
Proof. If φ̃({0}) > 0 then, by [5, Lemma 5.4], ψ must be det(S), and hence natural, since φ̃
is det(S). If φ̃({0}) = 0 (so that φ̃ = φ̃(0)) and ψ is indet(S), then, by [4, Theorem 2.4], the density
index of φ̃(0) (the largest n ∈ N such that the polynomials are dense in xnφ̃(0)(dx)) equals 2,
implying that ψ has density index 1. Hence, by [4, Theorem 2.1], ψ must be natural. �
Evidently, m−1(ψ) < ∞, so we see that ψ has the properties imposed on ψ in Section 1.
Since ∫
[0,∞)
P̃1(x)φ̃(dx) =
∫
[0,∞)
(x− λ̃0)φ̃(dx) = 0,
we have m1(φ̃) = λ̃0, while
ψ([0, x]) =
1
m1(φ̃)
∫
[0,x]
yφ̃(dy) =
1
λ̃0
∫
[0,x]
yφ̃(dy), x ≥ 0,
so that m−1(ψ) = (1− φ̃({0}))/λ̃0. We can now associate a rate set {λn, µn} with ψ by letting
µ0 =
1
(a+ 1)m−1(ψ)
= λ̃0,
so that 0 < µ0 ≤ 1/m−1(ψ), and choosing λn and µn such that the polynomials Pn defined
by (1.1) and (1.2) are orthogonal with respect to ψ. Next identifying φ̃ with the measure φ(a)
defined in (1.4) and (1.5), we can identify the rates λ̃n and µ̃n with the rates λ
(a)
n and µ
(a)
n ,
respectively, appearing in the recurrence relation (2.1) for the shell polynomials corresponding
to the sequence {Pn}. On comparing (2.2) and (3.4), we thus find
λ̃n = λdn and µ̃n = µdn, n ≥ 0.
It follows that the series (3.5), and hence the series (3.2), diverges, so that the rate set {λn, µn}
defines a unique birth-death process X . Moreover, X̃ = X d, the dual process of X . In summary,
we can state the converse of Theorem 4.1 as follows.
Shell Polynomials and Dual Birth-Death Processes 13
Theorem 4.3. Let {λ̃n, µ̃n} with µ̃0 = 0 be a rate set for which the analogue of the series (3.2)
diverges, X̃ the birth-death process defined by this set, and φ̃ the corresponding measure. Then,
letting a = φ̃({0})/(1 − φ̃({0})), the measure φ̃ can be identified with φ(a), defined by (1.4)
and (1.5), where ψ is the natural measure corresponding to a birth-death process X with µ0 =
((a+ 1)m−1(ψ))
−1 > 0. Also, X̃ = X d, the dual process of X .
Still residing in the setting of birth-death processes that are uniquely defined by their rates,
we recall from Section 3.3 that a collection of birth-death processes sharing the same natural
measure ψ with finite moment of order −1 is called a family of similar processes. The individual
members of this family are identified by the value of µ0, which may be any value in the interval
0 ≤ µ0 ≤ 1/m−1(ψ). However, in view of the preceding observations, it seems more appropriate
to exclude the process with µ0 = 0 from this family and view this process as a member of a new
family of birth-death processes, which all have µ0 = 0 and a measure of the type
1
a+ 1
(aδ0 + ψ), (4.2)
where a ≥ 0, the process at hand corresponding to a = 0.
Defining families of birth-death processes in this way allows us to extend the duality concept
for individual birth-death processes to families of birth-death processes. Indeed, if ψ1 is a natural
measure with m−1(ψ1) < ∞ then there is a one-to-one correspondence between the family of
similar processes with measure ψ1 and µ0 > 0, and the family of processes with µ0 = 0 and
a measure of the type (4.2), where a ≥ 0 and ψ ≡ ψ2 is given by
ψ2([0, x]) =
1
m−1(ψ1)
∫
[0,x]
y−1ψ1(dy), x ≥ 0,
in the sense that corresponding processes are each other’s dual. Note that ψ2 is det(S) by
Theorem 1.1. If m−1(ψ2) <∞, or, equivalently, m−2(ψ1) <∞, we can view ψ2 as the producer
of a family of similar birth-death processes with µ0 > 0, which, in turn, is dual to a family of
processes with µ0 = 0 and a measure of the type (4.2), etc.
Moving beyond the setting of birth-death processes that are uniquely defined by their rates
the situation becomes more complicated, but as noted in Section 3.2 the duality concept for rate
sets can be extended, provided one restricts oneself to minimal and maximal processes, and links
a minimal process to a maximal process. We next elaborate on how this affects the measures
involved.
So consider again a rate set {λn, µn} with µ0 > 0, and the natural measure ψ defined by this
set. As before we can choose a = (µ0m−1(ψ))
−1 − 1 ≥ 0 and thus link the rate set {λn, µn} to
the measure φ(a) defined in (1.4) and (1.5). We now assume that the rate set {λn, µn} is such
that the series (3.2) converges, so that, by Fact 1.5, φ(a) is indet(S) and a > 0. Subsequently
comparing (1.5) and (3.8) we conclude that we actually have φ(a) = ψd0 . It follows that φ(a)
is N -extremal (as noted already in [3]) and corresponds to the maximal birth-death process
associated with the rate set {λdn, µdn} with µd0 = 0, given by (3.4). Summarizing we can state
the following.
Theorem 4.4. Let {λn, µn} with µ0 > 0 be a rate set for which the series (3.2) converges,
X the minimal birth-death process defined by this set, and ψ the corresponding measure. Then
µ0 < 1/m−1(ψ), and φ(a), defined by (1.4) and (1.5), is indet(S) for a > 0. Moreover, for
a = (µ0m−1(ψ))
−1 − 1, φ(a) is the measure corresponding to X d, the maximal process that is
dual to X , and hence N -extremal.
Remark 4.5. The argument given in [3] for the fact that φ(a) is N -extremal is not entirely
clear, but, in any case, a reference to [2, Theorem 8] (besides the reference to [5, Theorem 5.5]
given in [3]) is sufficient to justify the statement.
14 E.A. van Doorn
Of course there is a converse to Theorem 4.4 – the analogue of Theorem 4.3 – which, however,
we will not formulate explicitly. It may be more interesting to look at the minimal process
corresponding to the rate set {λ̃n, µ̃n} with µ̃0 = 0 which does not uniquely define a birth-death
process, since the associated measure is natural. We give the result without proof and refrain
again from formulating its converse explicitly.
Theorem 4.6. Let {λ̃n, µ̃n} with µ̃0 = 0 be a rate set for which the analogue of the series (3.2)
converges, X̃ the minimal birth-death process defined by this set, and φ̃ the corresponding mea-
sure. Then, letting a = φ̃({0})/(1 − φ̃({0})), the measure φ̃ can be identified with φ(a), defined
by (1.4) and (1.5), where ψ is the (natural) measure corresponding to a maximal birth-death
process X with µ0 = ((a + 1)m−1(ψ))
−1 > 0, and hence N -extremal. Also, X̃ = X d, the dual
process of X .
We finally remark that Theorems 4.1 and 4.4 augment the information given in [16, Lemma 2],
while Theorems 4.3 and 4.6 elaborate on [16, Lemma 3].
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Shell Polynomials and Dual Birth-Death Processes 15
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http://dx.doi.org/10.1239/jap/1085496591
http://dx.doi.org/10.1090/surv/001
http://dx.doi.org/10.2140/pjm.1987.130.379
http://dx.doi.org/10.1239/jap/1429282622
http://dx.doi.org/10.1016/j.cam.2014.08.014
1 Introduction
2 Preliminaries
2.1 Shell polynomials and rate sets
2.2 Chain sequences and rate sets
2.3 Spectral properties and Nevanlinna extremal measures
3 Birth-death processes
3.1 Basic properties
3.2 Dual birth-death processes
3.3 Similar birth-death processes
4 Results
References
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