QBD Processes Associated with Jacobi–Koornwinder Bivariate Polynomials and Urn Models

Abstract

We study a family of quasi-birth-and-death (QBD) processes associated with the so-called first family of Jacobi–Koornwinder bivariate polynomials. These polynomials are orthogonal on a bounded region typically known as the swallow tail. We will explicitly compute the coefficients of the three-term recurrence relations generated by these QBD polynomials and study the conditions under we can produce families of discrete-time QBD processes. Finally, we show an urn model associated with one special case of these QBD processes.