A simple interpretation of two stochastic processes subject to an independent death process.
Gani, Joseph, Swift, Randall J. (2009)
Applied Mathematics E-Notes [electronic only]
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A simple interpretation of two stochastic processes subject to an independent death process.
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It has been known for a long time that for birth-and-death processes started in zero the first passage time of a given level is distributed as a sum of independent exponentially distributed random variables, the parameters of which are the negatives of the eigenvalues of the stopped process. Recently, Diaconis and Miclo have given a probabilistic proof of this fact by constructing a coupling between a general birth-and-death process and a process whose birth rates are the negatives of...