The passage time distribution for a birth-and-death chain: Strong stationary duality gives a first stochastic proof

Abstract

A well-known theorem usually attributed to Keilson states that, for an irreducible continuous-time birth-and-death chain on the nonnegative integers and any d, the passage time from state 0 to state d is distributed as a sum of d independent exponential random variables. Until now, no probabilistic proof of the theorem has been known. In this paper we use the theory of strong stationary duality to give a stochastic proof of a similar result for discrete-time birth-and-death chains and geometric random variables, and the continuous-time result (which can also be given a direct stochastic proof) then follows immediately. In both cases we link the parameters of the distributions to eigenvalue information about the chain. We also discuss how the continuous-time result leads to a proof of the Ray-Knight theorem. Intimately related to the passage-time theorem is a theorem of Fill that any fastest strong stationary time T for an ergodic birth-and-death chain on {0, >..., d} in continuous time with generator G, started in state 0, is distributed as a sum of d independent exponential random variables whose rate parameters are the nonzero eigenvalues of the negative of G. Our approach yields the first (sample-path) construction of such a T for which individual such exponentials summing to T can be explicitly identified.