Stat 150 Stochastic Processes

Spring 2009

Lecture 13: Branching Processes

Lecturer: Jim Pitman

Consider the following branching process:

Z4 = Z3 = Z2 = Z0 =  2  2  3  2     q kk q qq    MMMMM k k q k MMM qqqq  kkkk qqq q    q q S q kk   SSSSSSS   kkkk qqq k q k q k SSS kkk q q    q M S k S M SSS q SSSS    qqqq MMMM  MM SS q   qq    

Model: Intuitively: a random genealogical tree. Or a forest of trees, e.g. 2 trees above starting from Z0 = 2 individuals at time 0. Formalism captures Zn := number of individuals at nth generation. Note that Zn = 0 = population extinct by time n. Extinction time = rst n (if any) such that (Zn = 0) = if no such n exists Z0 = initial number of individuals. (Z0 , Z1 , Z2 , . . . ) is the discrete time branching process. Mechanism: There is a xed distribution of probabilities p0 , p1 , p2 , . . . for the number of ospring of each individual. Generally, let X denote the number of ospring of a generic individual, so P(X = k ) = pk . Assumptions: Informally, each individual present at time n has some number of ospring, distributed like X , independently of all past events and all other individuals present at time n. So for each n = 0, 1, 2, . . . given Z0 , Z1 , . . . , Zn = z say, Zn+1 is the sum of z independent random variables with the same distribution as X : (Z1 |Z0 = 1) = X
d

(Z1 |Z0 = 2) = X1 + X2 ,
d d

two independent copies of X

(Zn+1 |Z0 , . . . , Zn1 , Zn = k ) = X1 + + Xk 1

Lecture 13: Branching Processes

Clearly, (Zn ) is a M.C. with state space {0, 1, 2, . . . } and state 0 is absorbing. The k th row P (k, .) of the transition matrix is the distribution of X1 + + Xk , which is k -fold convolution of the ospring distribution with itself. Basic problem: Describe general features of the B.P. and how they depend on the ospring distribution p0 , p1 , p2 , . . . and Z0 . Avoid trivial case: p1 = 1, pi = 0 for i 2, Zn = Z0 for all n. There is nothing to discuss in this case. Main Theorem: Let := npn = E[X ], Ignoring the trivial case p1 = 1, either 1, in which case P(Zn = 0 eventually) =
extinction n

1, or > 1, in which case P(Zn = 0 eventually) < 1. If the extinction event does not occur, then Zn as n . Note that Zn is roughly like n . Check: Zn /n is a martingale, hence E(Zn |Z0 = 1) = n , < 1 subcritical = 1 critical > 1 super critical Method: Use theory of P.G.F.

(s) = X (s) := E[sX ] = p0 + p1 s + p2 s2 + =

k=0

pk sk

Recall: Zn+1 (s) = E[sZn+1 ] = E[E[sZn+1 |Zn ]] =

k

P(Zn = k )E[sZn+1 |Zn = k ] P(Zn = k )[(s)]k

k

= Zn ((s)) For simplicity, take Z0 = 1. Z1 (s) = X (s) = (s) Z2 (s) = ((s)) Z3 (s) = (((s)))

Lecture 13: Branching Processes

and so on. Zn (s) = n-fold composition of with itself. Interest is in P(Zn = 0) = P1 (Z0 = 0) = ( ((0)) )
n times

= Zn (0) = coecient of s0 in this composition Graphical method for P.G.F.s: Recall (1) =
k

kpk 1k = E[X ].

Subcritical:
(s) T (((0))) ((0)) (0) 0 (0) ((0)) (1) < 1

Es

Critical:
(s) T (0) 0 (1) = 1 (s) T

Super Critical:
(1) > 1 (0) 0

Es

Es

Lecture 13: Branching Processes

However, the graph below is not a PGF since (s) = p1 + 2p2 s + 0 for 0 s 1.
(s) T (0) 0

Es

Observe that P1 (Zn = 0) as n and it is 1 = converges to a real limit in [0, 1]. This is the extinction probability P1 (Zn = 0) = ( ((0)))).
n times

Let un = P1 (Zn = 0), u1 = (0), un+1 = (un ) u = (u) because is continuous. Claim: If 1, then u (= extinction probability) is the unique root of u = (u), which is u = 1 by calculus. Case: 1 : (1) 1 is convex = (s) s for all s [0, 1]. Suppose (s) = s for some s0 < 1, then (s) = s, for all s0 s 1 by convexity. All cases: u = least root s of s = (s) by graphical argument as indicated before. 1 = this root is 1. > 1 = this root is < 1 and it is the only root < 1. Example: X Geometric(p) on {0, 1, 2, . . . }, pn = q n p, = E[X ] = q/p. p 1/2 = 1 = subcritical/critical = u = 1 p < 1/2 = > 1 = super critical = u = p/q < 1

Lecture 13: Branching Processes

Check:

(s) =
n=0

sn q n p =

p 1 sq

s = (s) = 1

p 1 sq

s s q = p = s =
2

1 4pq = s = 1 or p/q 2q