LU-type factorizations and Darboux transformations for continuous-time birth--death processes

Abstract

We study LU-type factorizations of the infinitesimal generator of a possibly nonconservative birth--death process on ${\mathbb{N}}_0$, and characterize those for which the corresponding Darboux transformations, obtained by reversing the order of the factors, are again infinitesimal generators of birth--death processes. Two types of factorizations are considered: lower--upper (LU) and upper--lower (UL). In the LU case, the factorization is uniquely determined once the absorption rate of the Darboux-transformed process is fixed, whereas the UL factorization involves an additional free parameter. For both cases we obtain closed-form expressions for the coefficients of the factors in terms of the birth--death rates, determine the exact ranges of the parameters for which the Darboux transforms are birth--death generators, and give probabilistic interpretations of the coefficients in terms of hitting probabilities, expected passage times and occupation times. We also describe the associated spectral transformations (Christoffel and Geronimus transforms) and orthogonal polynomials, and study when the Darboux-transformed process again has a uniquely determined spectral measure: this is always the case for the UL factorization, while for the LU factorization it is characterized by the divergence of a single explicit series. The general results are illustrated with the $M/M/1$ queue, for which all the quantities involved can be computed explicitly.

34 pages