Sumita, Ushio; Masuda, Yasushi - In: Stochastic Processes and their Applications 20 (1985) 1, pp. 133-147
For continuous time birth-death processes on {0,1,2,...}, the first passage time T+n from n to n + 1 is always a mixture of (n + 1) independent exponential random variables. Furthermore, the first passage time T0,n+1 from 0 to (n + 1) is always a sum of (n + 1) independent exponential random...
