Exponentiality of first passage times of continuous time Markov chains

Romain Bourget (1, 2) , Loïc Chaumont (1) , Natalia Sapoukhina (2)

1 LAREMA - Laboratoire Angevin de Recherche en Mathématiques
2 PAVE - INH : Pathologie végétale : biodiversité, écologie, interactions bioagresseurs-plantes

Let $(X,\p_x)$ be a continuous time Markov chain with finite or countable state space $S$ and let $T$ be its first passage time in a subset $D$ of $S$. It is well known that if $\mu$ is a quasi-stationary distribution relatively to $T$, then this time is exponentially distributed under $\p_\mu$. However, quasi-stationarity is not a necessary condition. In this paper, we determine more general conditions on an initial distribution $\mu$ for $T$ to be exponentially distributed under $\p_\mu$. We show in addition how quasi-stationary distributions can be expressed in terms of any initial law which makes the distribution of $T$ exponential. We also study two examples in branching processes where exponentiality does imply quasi-stationarity.

Mots clés: First passage time; exponential decay; quasi stationary distribution.

Mots clés: quasi stationary distribution

Domaines: Probabilités [math.PR]

Romain Bourget, Loïc Chaumont, Natalia Sapoukhina. Exponentiality of first passage times of continuous time Markov chains. 2012. ⟨hal-00595912v5⟩