Past exam of the mathematics course of the University of Cambridge / 2015 / ii / Paper 1 / 24K / a

A birth-death chain on ${\mathbb{N}}_0$ has generator entries $q_{n,n+1}={\lambda }_n$, $q_{n,n-1}={\mu }_n$ for $n\ge 1$, ${\mu }_0=0$, $q_{nn}=-({\lambda }_n+{\mu }_n)$, and zero elsewhere. Assume the usual conservative nonexplosive chain. The detailed balance for a birth-death process are ${\pi }_n{\lambda }_n={\pi }_{n+1}{\mu }_{n+1}$.

If they hold, each incoming term cancels an outgoing term, giving $\pi Q=0$ and thus invariance. Conversely the invariance equation at zero gives ${\pi }_0{\lambda }_0={\pi }_1{\mu }_1$. At state $n$, write the stationarity equation as equality of the neighbouring probability currentsInduction from the zero boundary current gives detailed balance for a birth-death process for every edge. Thus invariant measures are exactly the detailed-balance measures in this standard birth–death setting. The argument is the generator characterization; a stationary probability law additionally needs finite normalization. For potentially explosive processes, formal generator balance alone would require additional boundary qualifications.