Extinction Times for Birth-Death Processes: Exact Results, Continuum Asymptotics, and the Failure of the Fokker--Planck Approximation

We consider extinction times for a class of birth-death processes commonly found in applications, where there is a control parameter which defines a threshold. Below the threshold, the population quickly becomes extinct; above, it persists for a long time. We give an exact expression for the mean time to extinction in the discrete case and its asymptotic expansion for large values of the population scale. We have results below the threshold, at the threshold, and above the threshold, and we observe that the Fokker--Planck approximation is valid only quite near the threshold. We compare our asymptotic results to exact numerical evaluations for the susceptible-infected-susceptible epidemic model, which is in the class that we treat. This is an interesting example of the delicate relationship between discrete and continuum treatments of the same problem.