The recurrence and transience of two-dimensional linear birth and death processes

Abstract

A two-dimensional linear birth and death process is a continuous-time Markov chain Y(·) with state space (Z₊)² which can jump from the point (n, m) to one of its four neighbors, with rates that are linear functions of n and m. Criteria are extended for determining whether such a process has a positive probability or zero probability of escaping to infinity. In the transient case considered, the projections of the imbedded Markov chain {X_n} of the successive states visited by Y(·) on a suitable pair of orthonormal vectors v and w are shown to be regularly varying sequences with index 1. Specifically, (X_n, v)∽δn and (X_n, w)∽ kn/log n for positive constants δ and k.