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Quantitative Finance · Glossary

What is Birth–death process?

Also known as: birth--death process

Definition 8.6 Quantitative Methods · Chapter 8 — Markov Chains and Queues

A birth–death process is a continuous-time chain on {0,1,2,… }\{0, 1, 2, \dots\} whose only jumps are n→n+1n \to n + 1 at rate λn\lambda_n and n→n−1n \to n - 1 at rate μn\mu_n.

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