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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

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Laplace transform of sum of random variables in first hitting time problem

Let me refer to the example here. Suppose $X$ is a birth-death (BD) process (represents population size) that evolves by: $X \to X+1$ if a birth occurs with rate $\mu$, $X \to X-1$ if a death occurs w …
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