Limit theorems for pure death processes coming down from infinity

Abstract

We consider a pure death process $(Z(t), t\ge0)$ with death rates $\lambda_n$ satisfying the condition $\sum_{n=2}^\infty \lambda_n^{-1}<\infty$ of coming from infinity, $Z(0)=\infty$, down to an absorbing state $n=1$. We establish limit theorems for $Z(t)$ as $t\to0$, which strengthen the results that can be extracted from [1]. We also prove a large deviation theorem assuming that $\lambda_n$ regularly vary as $n\to\infty$ with an index $ \beta>1$. It generalises a similar statement with $\beta=2$ obtained in [4] for $\lambda_n={n\choose 2}$.