The Formal Theory of Birth - and - Death Processes , Lattice Path Combinatorics , and Continued Fractions

Classic works of Karlin-McGregor and Jones-Magnus have established a general correspondence between continuous-time birth-and-death processes and continued fractions of the Stieltjes-Jacobi type together with their associated orthogonal polynomials. This fundamental correspondence is revisited here in the light of the basic relation between weighted lattice paths and continued fractions otherwise known from combinatorial theory. Given that trajectories of the embedded Markov chain of a birth-and-death process are lattice paths, Laplace transforms of a number of transient characteristics can be obtained systematically in terms of a fundamental continued fraction and its family of convergent polynomials. Applications include the analysis of evolutions in a strip, upcrossing and downcrossing times under ooring and ceiling conditions, as well as time, area, or number of transitions while a geometric condition is satis ed. Key-words: Lattice path combinatorics, continued fractions, orthogonal polynomials, birth-and-death process, rst passage time, excursions, transient characteristics.