The spectral matrices associated with the stochastic Darboux transformations of random walks on the integers
Abstract
We consider UL and LU stochastic factorizations of the transition probability matrix of a random walk on the integers, which is a doubly infinite tridiagonal stochastic Jacobi matrix. We give conditions on the free parameter of both factorizations in terms of certain continued fractions such that this stochastic factorization is always possible. By inverting the order of the factors (also known as a Darboux transformation) we get new families of random walks on the integers. We identify the spectral matrices associated with these Darboux transformations (in both cases) which are basically conjugations by a matrix polynomial of degree one of a Geronimus transformation of the original spectral matrix. Finally, we apply our results to the random walk with constant transition probabilities with or without an attractive or repulsive force.
 Publication:

arXiv eprints
 Pub Date:
 July 2019
 arXiv:
 arXiv:1907.05942
 Bibcode:
 2019arXiv190705942D
 Keywords:

 Mathematics  Classical Analysis and ODEs;
 Mathematics  Probability;
 60J10;
 60J60;
 33C45;
 42C05
 EPrint:
 28 pages, 3 figures