Переходные вероятности марковского процесса на отрезке, лежащем в четверти плоскости

Abstract

The paper considers a quadratic birth-death Markov process. The points on a line segment located within a quarter-plane represent the states of the random process. We designate the set of vectors that have integer non-negative coordinates as our quarter plane. The process is defined by infinitesimal characteristics, or transition probability densities. These characteristics are determined by a quadratic function of the coordinates at the segment points with integer coordinates. The boundary points of the segment are absorbing; at these points, the random process stops. We investigated a critical case when process jumps are equally probable at the moment of exiting a point. We derived expressions describing transition probabilities of the Markov process as a spectral series. We used a two-dimensional exponential generating function of transition probabilities and a two-dimensional generating function of transition probabilities. The first and second systems of ordinary differential Kolmogorov equations for Markov process transition probabilities are reduced to second-order mixed type partial differential equations for a double generating function. We solve the resulting system of linear equations using separation of variables. The spectrum obtained is discrete. The eigen-functions are expressed in terms of hypergeometric functions. The particular solution constructed is a Fourier series, whose coefficients are derived by means of expo-nential expansion. We employed sums of functional series known in the theory of special functions to construct the exponential expansion required