Exactly solvable discrete time Birth and Death processes

We present 15 explicit examples of discrete time Birth and Death processes which are exactly solvable. They are related to the hypergeometric orthogonal polynomials of Askey scheme having discrete orthogonality measures. Namely, they are the Krawtchouk, three different kinds of q-Krawtchouk, (dual, q)-Hahn, (q)-Racah, Al-Salam-Carlitz II, q-Meixner, q-Charlier, dual big q-Jacobi and dual big q-Laguerre polynomials. The birth and death rates are determined by the difference equations governing the polynomials. The stationary distributions are the normalised orthogonality measures of the polynomials. The transition probabilities are neatly expressed by the normalised polynomials and the corresponding eigenvalues. This paper is simply the discrete time versions of the known solutions of the continuous time birth and death processes.

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