Stochastic monotonicity of birth–death processes

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Abstract
A birth–death process {x(t): t ≥ 0} with state space the set of non-negative integers is said to be stochastically increasing (decreasing) on the interval (t 1, t 2) if Pr {x(t) > i} is increasing (decreasing) with t on (t 1, t 2) for all i = 0, 1, 2, ···. We study the problem of finding a necessary and sufficient condition for a birth–death process with general initial state probabilities to be stochastically monotone on an interval. Concrete results are obtained when the initial distribution vector of the process is a unit vector. Fundamental in the analysis, and of independent interest, is the concept of dual birth–death processes.

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