Percolation Grimmett

Copyright © 1999. Springer Berlin / Heidelberg. All rights reserved.
Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

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Springer-Verlag Berlin Heidelberg GmbH

Geoffrey Grimmett
Percolation
Second Edition
With 121 Figures
Springer

Geoffrey Grimmett
Statistical Laboratory
University of Cambridge
16 Mill Lane
Cambridge CB2 1SB
United Kingdom
e-mail: G.R.Grimmett@statslab.cam.ac.uk
The first edition was published in 1989 as a monograph under the same title
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Preface to the Second Edition
Quite apart from the fact that percolation theory has its origin in an honest ap-
plied problem, it is a source of fascinating problems of the best kind for which
a mathematician can wish: problems which are easy to state with a minimum of
preparation, but whose solutions are apparently difficult and require new methods.
At the same time, many of the problems are of interest to or proposed by statistical
physicists and not dreamed up merely to demonstrate ingenuity.
As a mathematical subject, percolation is a child of the 1950s. Following the
presentation by Hammersley and Morton (1954) of a paper on Monte Carlo meth-
ods to the Royal Statistical Society, Simon Broadbent contributed the following
to the discussion:
"Another problem of excluded volume, that of the random maze, may
be defined as follows: A square (in two dimensions) or cubic (in three)
lattice consists of "cells" at the interstices joined by "paths" which are
either open or closed, the probability that a randomly-chosen path is open
being p. A "liquid" which cannot flow upwards or a "gas" which flows
in all directions penetrates the open paths and fills a proportion Ar (p) of
the cells at the rth level. The problem is to determine Ar (p) for a large
lattice. Clearly it is a non-decreasing function of p and takes the values
o at p = 0 and 1 at p = 1. Its value in the two-dimension case is not
greater than in three dimensions.

It appears likely from the solution of a simplified version of the
problem that as r -+ 00 Ar(p) tends strictly monotonically to A(p), a
unique and stable proportion of cells occupied, independent of the way
the liquid or gas is introduced into the first level. No analytical solution
for a general case seems to be known."
This discussion led to a fruitful partnership between Broadbent and Hammer-

sley, and resulted in their famous paper of 1957. The subsequent publications of
Hammersley initiated the mathematical study of the subject.
Much progress has been made since, and many of the open problems of the
last decades have been solved. With such solutions we have seen the evolution
of new techniques and questions, and the consequent knowledge has shifted the

Vlll Preface to the Second Edition
ground under percolation. The mathematics of percolation is now fairly mature,

although there are major questions which remain largely unanswered. Percolation
technology has emerged as a cornerstone of the theory of disordered physical
systems, and the methods of this book are now being applied and extended in a
variety of important settings.
The quantity of literature related to percolation seems to grow hour by hour,
mostly in the physics journals. It has become difficult to get to know the subject
from scratch, and one of the principal purposes of this book is to remedy this.
Percolation has developed a reputation for being hard as well as important. Nev-
ertheless, it may be interesting to note that the level of mathematical preparation
required to read this book is limited to some elementary probability theory and
real analysis at the undergraduate level. Readers knowing a little advanced prob-
ability theory, ergodic theory, graph theory, or mathematical physics will not be
disadvantaged, but neither will their knowledge aid directly their understanding
of most of the hard steps.
This book is about the mathematics of percolation theory, with the emphasis
upon presenting the shortest rigorous proofs of the main facts. I have made certain
sacrifices in order to maximize the accessibility of the theory, and the major one has
been to restrict myself almost entirely to the special case of bond percolation on the
cubic lattice Zd. Thus there is only little discussion of such processes as continuum,
mixed, inhomogeneous, long-range, first-passage, and oriented percolation. Nor
have I spent much time or space on the relationship of percolation to statistical
physics, infinite particle systems, disordered media, reliability theory, and so on.
With the exception of the two final chapters, I have tried to stay reasonably close
to core material of the sort which most graduate students in the area might aspire
to know. No critical reader will agree entirely with my selection, and physicists
may sometimes feel that my intuition is crooked.
Almost all the results and arguments of this book are valid for all bond and site
percolation models, subject to minor changes only; the principal exceptions are
those results of Chapter 11 which make use of the self-duality of bond percolation
on the square lattice. I have no especially convincing reason for my decision to
study bond percolation rather than the more general case of site percolation, but
was swayed in this direction by historical reasons as well as the consequential
easy access to the famous exact calculation of the critical probability of bond
percolation on the square lattice. In addition, unlike the case of site models, it is
easy to formulate a bond model having interactions which are long-range rather
than merely nearest-neighbour. Such arguments indicate the scanty importance
associated with this decision.
Here are a few words about the contents of this book. In the introductory
Chapter 1 we prove the existence of a critical value Pc for the edge-probability p,
marking the arrival on the scene of an infinite open cluster. The next chapter con-
tains a general account of three basic techniques-the FKG and BK inequalities,
and Russo's formula-together with certain other useful inequalities, some drawn
from reliability theory. Chapter 3 contains a brief account of numerical equalities

Preface to the Second Edition ix
and inequalities for critical points, together with a general method for establish-
ing strict inequalities. This is followed in Chapter 4 by material concerning the
number of open clusters per vertex. Chapters 5 and 6 are devoted to subcriti-
cal percolation (with P < Pc). These chapters begin with the Menshikov and
Aizenman-Barsky methods for identifying the critical point, and they continue
with a systematic study of the subcritical phase. Chapters 7 and 8 are devoted to
supercritical percolation (with P > Pc). They begin with an account of dynamic
renormalization, the proof that percolation in slabs characterizes the supercritical
phase, and a rigorous static renormalization argument; they continue with a deeper
account of this phase. Chapter 9 contains a sketch of the physical approach to the
critical phenomenon (when p = Pc), and includes an attempt to communicate to
mathematicians the spirit of scaling theory and renormalization. Rigorous results
are currently limited and are summarized in Chapter 10, where may be found the
briefest sketch of the Rara-Slade mean field theory of critical percolation in high
dimensions. Chapter 11 is devoted to percolation in two dimensions, where the
technique of planar duality leads to the famous exact calculation that Pc = for !
bond percolation on Z2. The book terminates with two chapters of pencil sketches
of related random processes, including continuum percolation, first-passage per-
colation, random electrical networks, fractal percolation, and the random-cluster
model.
The first edition of this book was published in 1989. The second edition
differs from the first through the reorganization of certain material, and through the
inclusion of fundamental new material having substantial applications in broader
contexts. In particular, the present volume includes accounts of strict inequalities
between critical points, the relationship between percolation in slabs and in the
whole space, the Burton-Keane proof of the uniqueness ofthe infinite cluster, the
lace expansion and mean field theory, and numerous other results of significance.
A full list of references is provided, together with pointers in the notes for each
chapter.
A perennial charm of percolation is the beauty and apparent simplicity of its
open problems. It has not been possible to do full justice here to work currently
in progress on many such problems. The big challenge at the time of writing is
to understand the proposal that critical percolation models in two dimensions are
conformally invariant. Numerical experiments support this proposal, but rigorous
verification is far from complete. While a full account of conformal invariance
must await a later volume, at the ends of Chapters 9 and 11 may be found lists of
references and a statement of Cardy's formula.
Most of the first edition of this book was written in draft form while I was visiting
Cornell University for the spring semester of 1987, a visit assisted by a grant from
the Fulbright Commission. It is a pleasure to acknowledge the assistance of Rick
Durrett, Michael Fisher, Rarry Kesten, Roberto Schonmann, and Frank Spitzer
during this period. The manuscript was revised during the spring semester of
1988, which I spent at the University of Arizona at Tucson with financial support
from the Center for the Study of Complex Systems and AFOSR contract no.

x Preface to the Second Edition
F49620-86-C-0130. One of the principal benefits of this visit was the opportunity
for unbounded conversations with David Barsky and Chuck Newman. Rosine
Bonay was responsible for the cover design and index of the first edition.
In writing the second edition, I have been aided by partial financial support
from the Engineering and Physical Sciences Research Council under contract
GRILl 5425. I am grateful to Sarah Shea-Simonds for her help in preparing the
lEXscript of this edition, and to Alexander Holroyd and Gordon Slade for reading
and commenting on parts of it.
I make special acknowledgement to John Hammersley; not only did he oversee
the early life of percolation, but also his unashamed love of a good problem has
been an inspiration to many.
Unstinting in his help has been Harry Kesten. He read and commented in detail
on much of the manuscript of the first edition, his suggestions for improvements
being so numerous as to render individual acknowledgements difficult. Without
his support the job would have taken much longer and been done rather worse,
if at all.
G.R.G.
Cambridge
January 1999

Contents
1 What is Percolation? 1
1.1 Modelling a Random Medium. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Why Percolation? ................... . . . . . . . . . . . . . . . . . . . . . . . 3
1.3 Bond Percolation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.4 The Critical Phenomenon . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 13
1.5 The Main Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 20
1.6 Site Percolation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 24
1. 7 Notes. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 29
2 Some Basic Techniques 32

2.1 Increasing Events .......................................... 32
2.2 The FKG Inequality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 34
2.3 The BK Inequality. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 37
2.4 Russo's Formula........................................... 41
2.5 Inequalities of Reliability Theory .. . . . . . . . . . . . . . . . . . . . . . . . . .. 46
2.6 Another Inequality ......................................... 49
2.7 Notes. . . . . . . . . . . . . . . . . . . .. . .. . .. . . . . ... . . . .. . . . . .. . .. . . ... 51
3 Critical Probabilities 53
3.1 Equalities and Inequalities.................................. 53
3.2 Strict Inequalities .......................................... 57
3.3 Enhancements............................................. 63
3.4 Bond and Site Critical Probabilities. . . . .. . .. . . . . . . . ... .. . . . .. 71
3.5 Notes. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 75
4 The Number of Open Clusters per Vertex 77

4.1 Definition. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 77
4.2 Lattice Animals and Large Deviations . . . . . . . . . . . . . . . . . . . . . . .. 79
4.3 Differentiability of K • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • •• 84
4.4 Notes. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 86

xii Contents
5 Exponential Decay 87
5.1 Mean Cluster Size.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . ... 87
5.2 Exponential Decay of the Radius Distribution beneath Pc . . . . . .. 88
5.3 Using Differential Inequalities ............................... 102
5.4 Notes ..................................................... 114
6 The Subcritical Phase 117

6.1 The Radius of an Open Cluster .............................. 117
6.2 Connectivity Functions and Correlation Length ................ 126
6.3 Exponential Decay of the Cluster Size Distribution ............ 132
6.4 Analyticity ofK and X ...................................... 142
6.5 Notes ..................................................... 144
7 Dynamic and Static Renormalization 146

7.1 Percolation in Slabs ........................................ 146
7.2 Percolation of Blocks ....................................... 148
7.3 Percolation in Half-Spaces .................................. 162
7.4 Static Renormalization ...................................... 176
7.5 Notes ..................................................... 196
8 The Supercritical Phase 197

8.1 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 197
8.2 Uniqueness of the Infinite Open Cluster ...................... 198
8.3 Continuity of the Percolation Probability ...................... 202
8.4 The Radius of a Finite Open Cluster. . . . . . . . . . . . . . . . . . . . . . . . .. 205
8.5 Truncated Connectivity Functions and Correlation Length ...... 213
8.6 Sub-Exponential Decay of the Cluster Size Distribution ........ 215
8.7 Differentiability of e, Xf, and K •.....••.•••••••••••..•••..••• 224
8.8 Geometry of the Infinite Open Cluster. . . . . . . . . . . . . . . . . . . . . . .. 226
8.9 Notes. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 229
9 Near the Critical Point: Scaling Theory 232

9.1 Power Laws and Critical Exponents .......................... 232
9.2 Scaling Theory ............................................. 239
9.3 Renormalization ........................................... 244
9.4 The Incipient Infinite Cluster ................................ 249
9.5 Notes ..................................................... 252
10 Near the Critical Point: Rigorous Results 254

10.1 Percolation on a Tree . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 254
10.2 Inequalities for Critical Exponents ........................... 262
10.3 Mean Field Theory ......................................... 269
10.4 Notes ..................................................... 278

Contents xiii
11 Bond Percolation in Two Dimensions 281

11.1 Introduction............................................... 281
11.2 Planar Duality ............................................. 283
11.3 The Critical Probability Equals ~ ............................ 287
11.4 Tail Estimates in the Supercritical Phase . . . . . . . . . . . . . . . . . . . . .. 295
11.5 Percolation on Subsets of the Square Lattice .................. 303
11.6 Central Limit Theorems. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 309
11. 7 Open Circuits in Annuli. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 314
11.8 Power Law Inequalities ..................................... 324
11.9 Inhomogeneous Square and Triangular Lattices ................ 331
11.10 Notes ..................................................... 345
12 Extensions of Percolation 349

12.1 Mixed Percolation on a General Lattice. . . . . . . . . . . . . . . . . . . . . .. 349
12.2 AB Percolation ............................................ 351
12.3 Long-Range Percolation in One Dimension ................... 351
12.4 Surfaces in Three Dimensions ............................... 359
12.5 Entanglement in Percolation ................................. 362
12.6 Rigidity in Percolation ...................................... 364
12.7 Invasion Percolation ........................................ 366
12.8 Oriented Percolation ........................................ 367
12.9 First-Passage Percolation .................................... 369
12.10 Continuum Percolation ..................................... 371
13 Percolative Systems 378

13.1 Capacitated Networks ...................................... 378
13.2 Random Electrical Networks ................................ 380
13.3 Stochastic Pin-Ball ......................................... 382
13.4 Fractal Percolation ......................................... 385
13.5 Contact Model ............................................. 390
13.6 Random-Cluster Model ..................................... 393
Appendix I. The Infinite-Volume Limit for Percolation 397

Appendix II. The Subadditive Inequality 399
List of Notation 401
References 404
Index of Names 435
Subject Index 439

Chapter 1
What is Percolation?
1.1 Modelling a Random Medium
Suppose we immerse a large porous stone in a bucket of water. What is the

probability that the centre of the stone is wetted? In fonnulating a simple stochastic
model for such a situation, Broadbent and Hammersley (1957) gave birth to the
'percolation model'. In two dimensions their model amounts to the following.
Let Z2 be the plane square lattice and let p be a number satisfying 0 .:s p .:s 1. We
examine each edge of Z2 in tum, and declare this edge to be open with probability p
and closed otherwise, independently of all other edges. The edges of Z2 represent
the inner passageways of the stone, and the parameter p is the proportion of
passages which are broad enough to allow water to pass along them. We think of
the stone as being modelled by a large, finite subsection of Z2 (see Figure 1.1),
perhaps those vertices and edges of Z2 contained in some specified connected
sub graph of Z2. On immersion of the stone in water, a vertex x inside the stone
is wetted if and only if there exists a path in Z2 from x to some vertex on the
boundary of the stone, using open edges only. Percolation theory is concerned
primarily with the existence of such 'open paths'.
If we delete the closed edges, we are left with a random subgraph of Z2; we
shall study the structure of this subgraph, particularly with regard to the way in
which this structure depends on the numerical value of p. It is not unreasonable
to postulate that the fine structure of the interior passageways of the stone is on a
scale which is negligible when compared with the overall size of the stone. In such
circumstances, the probability that a vertex near the centre of the stone is wetted
by water permeating into the stone from its surface will behave rather similarly to
the probability that this vertex is the endvertex of an infinite path of open edges
in Z2. That is to say, the large-scale penetration of the stone by water is related to
the existence of infinite connected clusters of open edges.

2 What is Percolation? [1.1]
• • •
•
I
x
Figure 1.1. A sketch of the structure of a two-dimensional porous stone. The lines indicate
the open edges; closed edges have been omitted. On immersion of the stone in water, vertex
x will be wetted by the invasion of water, but vertex y will remain dry.
When can such infinite clusters exist? Simulations are handy indicators of
the likely structure of the lattice, and Figure 1.2 contains such pictures for four
different values of p. When P = 0.25, the connected clusters of open edges are
isolated and rather small. As p increases, the sizes of clusters increase also, and
there is a critical value of p at which there forms a cluster which pervades the
entire picture. In loose terms, as we throw in more and more open edges, there
comes a moment when large-scale connections are formed across the lattice. The
pictures in Figure 1.2 are of course finite. If we were able to observe the whole
of the infinite lattice Z2, we would see that all open clusters are finite when p is
small, but that there exists an infinite open cluster for large values of p. In other
words, there exists a critical value Pc for the edge-density p such that all open
clusters are finite when p < Pc, but there exists an infinite open cluster when
p > Pc (such remarks should be interpreted 'with probability 1'). Drinkers of
Pernod are familiar with this type of phenomenon-the transparence of a glass
of Pernod is undisturbed by the addition of a small amount of water, but in the
process of adding the water drop by drop, there arrives an instant at which the
mixture becomes opaque.
The occurrence of a 'critical phenomenon' is central to the appeal of percolation.
In physical terms, we might say that the wetting of the stone is a 'surface effect'
when the proportion p of open edges is small, and a 'volume effect' when p
is large.

[1.2] Why Percolation? 3
The above process is called 'bond percolation on the square lattice', and it is
the most studied to date of all percolation processes. It is a very special process,
largely because the square lattice has a certain property of self-duality which turns
out to be extremely valuable. More generally, we begin with some periodic lattice
in, say, d dimensions together with a number P satisfying 0 :::: P :::: 1, and we
declare each edge of the lattice to be open with probability p and closed otherwise.
The resulting process is called a 'bond' model since the random blockages in the
lattice are associated with the edges. Another type of percolation process is the
'site' percolation model, in which the vertices rather than the edges are declared
to be open or closed at random, the closed vertices being thought of as junctions
which are blocked to the passage of fluid. It is well known that every bond model
may be reformulated as a site model on a different lattice, but that the converse
is false (see Section 1.6). Thus site models are more general than bond models.
They are illustrated in Figure 1.9.
We may continue to generalize in several directions such as (i) 'mixed' models,
in which both edges and vertices may be blocked, (ii) inhomogeneous models, in
which different edges may have different probabilities of being open, (iii) long-
range models, in which direct flow is possible between pairs of vertices which are
very distant (in the above formulation, this may require a graph with large or even
infinite vertex degrees), (iv) dependent percolation, in which the states of different
edges are not independent, and so on. Mathematicians have a considerable talent in
the art of generalization, and this has not been wasted on percolation theory. Such
generalizations are often of considerable mathematical and physical interest; we
shall however take the opposite route in this book. With few exceptions, we shall
restrict ourselves to bond percolation on the d-dimensional cubic lattice Zd where
d 2: 2, and the main reason for this is as follows. As the level of generality rises,
the accessibility of results in percolation theory is often diminished. Arguments
which are relatively simple to explain in a special case can become concealed in
morasses of geometrical and analytical detail when applied to some general model.
This is not always the case, as illustrated by the proofs of exponential decay when
p < Pc (see Chapter 5) and of the uniqueness of the infinite open cluster when
it exists (see Chapter 8). It is of course important to understand the limitations

of an argument, but there may also be virtue in trying to describe something of
the theory when stripped of peripheral detail. Bond percolation on Zd is indeed a
special case, but probably it exhibits the majority of properties expected of more
general finite-range percolation-type models.
1.2 Why Percolation?
As a model for a disordered medium, percolation is one of the simplest, incorporat-

ing as it does a minimum of statistical dependence. Its attractions are manyfold.
First, it is easy to formulate but not unrealistic in its qualitative predictions for
random media. Secondly, for those with a greater interest in more complicated

(b) p = 0.49
Figure 1.2. Realizations of bond percolation on a 50 x 60 section of the square lattice for
four different values of p. The pictures have been created using the same sequence of pseu-
dorandom numbers, with the result that each graph is a subgraph of the next. Readers with good

(c) p = 0.51
(d) p = 0.75
eyesight may care to check that there exist open paths joining the left to the right side when
p = 0.51 but not when p = 0.49. The (random) value of p at which such paths appear for
this realization is 0.5059 ....

processes, it is a playground for developing mathematical techniques and insight.

Thirdly, it is well endowed with beautiful conjectures which are easy to state but
apparently rather hard to settle.
There is a fourth reason of significance. A great amount of effort has been
invested in recent years towards an understanding of complex interacting random
systems, including disordered media and other physical models. Such processes
typically involve families of dependent random variables which are indexed by
Zd for some d ~ 2. To develop a full theory of such a system is often beyond the
current methodology. Instead, one may sometimes obtain partial results by making
a comparison with another process which is better understood. It is sometimes
possible to make such a comparison with a percolation model. In this way, one
may derive valuable results for the more complex system; these results may not
be the best possible, but they may be compelling indicators of the directions to be
pursued.
Here is an example. Consider a physical model having a parameter T called
'temperature'. It may be suspected that there exists a critical value Tc marking
a phase transition. While this fact may itself be unproven, it may be possible to
prove by comparison that the behaviour of the process for small T is qualitatively
different from that for large T.
It has been claimed that percolation theory is a cornerstone of the theory of
disordered media. As evidence to support this claim, we make brief reference to
four types of disordered physical systems, emphasizing the role of percolation for
each.
A. Disordered electrical networks. It may not be too difficult to calculate the

effective electrical resistance of a block of either material A or of material B, but
what is the effective resistance of a mixture of these two materials? If the mixture
is disordered, it may be reasonable to assume that each component of the block is
chosen at random to be of type A or of type B, independently of the types of all
other components. The resulting effective resistance is a random variable whose
distribution depends on the proportion p of components oftype A. It seems to be
difficult to say much of interest about the way in which this distribution depends
on the numerical value of p. An extreme example arises when material B is a
perfect insulator, and this is a case for which percolation comes to the fore. We
illustrate this in a special example.
Let Un be the square section {O, 1, ... ,n} x {O, 1, ... ,n} of the square lattice,
and let Sn and Tn be the bottom and top sides of Un,
Sn = {(m, 0) : 0 :::: m :::: n}, Tn = {(m, n) : 0 :::: m :::: n}.
We tum Un into an electrical network as follows. We examine each edge of Un

in tum, and replace it by a wire of resistance 1 ohm with probability p, otherwise
removing the connection entirely; this is done independently of all other edges. We
now replace Sn and Tn by silver bars and we apply a potential difference between

• ~
~
--
--
----- •
Figure 1.3. A realization of a random electrical network. Each remaining edge has unit
resistance.
these bars; see Figure 1.3. What is the effective resistance Rn of the network?
The value of Rn depends on the density and geometry of the set of edges having
unit resistance, and such matters lie in the domain of percolation theory. We shall
see in Section 13.2 that Rn = 00 for all large n (almost surely) if p < 1,
whereas
Rn is bounded uniformly away from 0 and 00 if p > 1.
B. Ferromagnetism. One of the most studied critical phenomena of theoretical
physics is that of the ferromagnet. We position a lump of an appropriate metal
in a magnetic field and we observe the way in which the magnetization of the
metal varies according to imposed oscillations in the external field. Suppose that
we increase the external field from 0 to some given value, and then decrease it
back to O. If the temperature is sufficiently large, the metal retains no residual
magnetization, whereas at low temperatures the metal keeps some of its induced
magnetization. There exists a critical value Tc of the temperature, called the
Curie point, marking the borderline between the existence and non-existence of
so called 'spontaneous magnetization'. A standard mathematical model for this
phenomenon is the 'Ising model'. We give no definition of the Ising model here,
but make instead some general remarks. In the Ising model on the lattice Zd, each
vertex of Zd may be in either of two states labelled 0 and 1. A configuration is
an assignment ()) = (()) (x) : x E Zd) of 0 or I to each vertex of the lattice. We
consider probability measures on the set Q of configurations taken in conjunction
with some suitable a-field of subsets of Q; in particular, we are concerned with a
class of measures having a type of 'spatial Markov' property: conditional on the
states of all vertices outside any finite connected subgraph G of Zd, the states of

vertices of G depend only on those of vertices in its 'external boundary'. Taken

in conjunction with certain other conditions (positivity and translation invariance
of the conditional probabilities, and positive correlation of increasing events), this
property characterizes the class of measures of interest for the model. It turns
out that there are two parameters which specify the conditional probabilities: the
'external magnetic field' h, and the strength J of interaction between neighbours.
If J = 0, the states of different vertices are independent, and the process is
equivalent to site percolation (see Section 1.6).
The relationship between the Ising model and bond percolation is rather strong.
It turns out that they are linked via a type of 'generalized percolation' called
the 'random-cluster model'. Through studying the random-cluster model, one
obtains conclusions valid simultaneously for percolation and the Ising model.
This important discovery was made around 1970 by Fortuin and Kasteleyn, and
it has greatly influenced part of the current view of disordered physical systems.
See Section 13.6 for a brief account of the random-cluster model.
C. Epidemics and fires in orchards. In an early review of percolation and related

topics, Frisch and Hammersley (1963) proposed the use of percolation in modelling
the spread of blight in a large orchard. The problem is as follows. Hypothetical
trees are grown at the vertices of a square lattice. We suppose that there is a
probability p that a healthy tree will be infected by a neighbouring blighted tree,
where p is a known function of the distance between neighbouring trees. To
prevent a single blighted tree from endangering a significant proportion of the
whole orchard, it is necessary to choose the lattice spacing to be large enough that
p is smaller than the critical probability of bond percolation on 7L,2.
In a forest fire, trees which are completely destroyed by fire cannot threaten
their neighbours. Similarly, individuals who have recovered from some disease
may gain protection from a recurrence of the disease. Such observations may be
incorporated into a more complicated model which takes into account the passage
of time. Suppose that each tree may be in any of three states: 1 (live and not
on fire), 0 (burning), and -1 (burned). We suppose that the tree at vertex x
bums for a random time Tx after catching fire, where (Tx : x E 7L,2) is a family
of independent, identically distributed random variables. A burning tree emits
sparks in the manner of a Poisson process with rate ex, and each spark hits one of
the neighbouring trees chosen at random; the spark sets fire to that tree so long as
it is neither burned nor already on fire. At time 0, an arsonist sets light to the tree
at the origin. It turns out that the set C of trees which are ultimately burned in
the ensuing conflagration may be identified as the set of vertices reachable from
the origin by open paths of a certain percolation-type process; this process differs
from ordinary bond percolation in that the states of two different edges may be
dependent if the edges have a vertex in common. See Section 13.5, as well as
Cox and Durrett (1988), van den Berg, Grimmett, and Schinazi (1998), and the
references therein.

[1.3] Bond Percolation 9
D. Wafer-scale integration. In the manufacture of microchips, silicon wafers

are engraved with copies of the required circuitry, these copies being laid out
in a square grid. The wafer is then broken up into the individual chips, many
of which are usually found to be faulty. After elimination of the faulty chips,
the remaining non-defective chips are used to build processors. There are sound
engineering and computing reasons for preferring to leave the wafer intact, making
use of the non-defective chips in the positions in which they occurred in the wafer.
Interconnections may be made between functioning units by using channels built
between the rows and columns of the grid of chips. Such questions arise as the
following:
(i) How long is the longest linear chain of functioning units which may be
created using interconnections each of length not exceeding 8 lattice units
and laid in such a way that each channel of the wafer contains no more than
two such interconnections?
(ii) Find the minimal interconnection length in a wiring pattern which creates
a square grid of size k x k of functioning chips out of a wafer containing
n x n units in all.
Greene and El Gamal (1984) answer such questions under the hypothesis that
each chip is non-defective with probability p, independently of all other chips.
Under this assumption, the set of functioning chips may be identified as the set of
open vertices in a site percolation process on 71.,2, and thus the theory of percolation
is relevant.
1.3 Bond Percolation
In this section we shall establish the basic definitions and notation of bond perco-
lation on 7I.,d. We begin with some graph theory. Throughout most of this book, the
letter d stands for the dimension of the process; generally d 2: 2, but we assume
for the moment only that d 2: 1. We write 71., = { ... , -1, 0, 1, ... } for the set
of all integers, and 7I.,d for the set of all vectors x = (XI, X2, ... , Xd) with integral
coordinates. For X E 7I.,d we generally write Xi for the ith coordinate of x. The
(graph-theoretic) distance 8 (x , y) from x to y is defined by
d
(1.1) 8(x, y) =L IXi - yd,
i=1
and we write Ix I for the distance 8 (0, x) from the origin to x. We shall sometimes
have use for another distance function on 7I.,d, and shall write
(1.2) IIxll = max{lxil : 1 :s i :s d},

noting that
Ilxll :s Ixl :s dllxll.

We may tum 'l,d into a graph, called the d-dimensional cubic lattice, by adding
edges between all pairs x, y of points of Zd with 8 (x, y) = 1. We denote this
lattice by ][.d, and we write Zd for the set of vertices of ][.d, and lEd for the set of
its edges. In graph-theoretic terms, we write IL.d = (Zd, lEd). We shall often think
of ILd as a graph embedded in R d , the edges being straight line segments between
their endvertices. If 8(x, y) = 1, we say that x and yare adjacent; in this case,
we write x '" y and we represent the edge from x to y as (x, y). The edge e is
incident to the vertex x if x is an endvertex of e. Letters such as u, v, w, x, y
usually represent vertices, and letters such as e, f usually represent edges. We
denote the origin of Zd by O.
Next we introduce probability. Let p and q satisfy 0 ::s p ::s 1 and p +
q = 1. We declare each edge of ILd to be open with probability p and closed
otherwise, independently of all other edges. More formally, we consider the
following probability space. As sample space we take n = OeelEd{O, I}, points
of which are represented as w = (w(e) : e E lEd) and called configurations;
the value w(e) = 0 corresponds to e being closed, and w(e) = 1 corresponds
to e being open. We take :F to be the a-field of subsets of n generated by the
finite-dimensional cylinders. Finally, we take product measure with density p on
(Q, :F); this is the measure
where J-Le is Bernoulli measure on to, I}, given by

J-Le(w(e) = 0) = q, J-Le(w(e) = 1) = p.
We write Pp for this product measure, and E p for the corresponding expectation
operator. We shall occasionally need a more general construction in which dif-
ferent edges may have different probabilities of being open. Such a construction
begins with a family p = (p(e) : e E lEd) with 0 ::s p(e) ::s 1 for all e. The
appropriate probability space is now (n, :F, Pp) where Pp = OeelEd J-Le and
J-Le(w(e) = 0) = 1 - p(e), J-Le(w(e) = 1) = p(e)

for each e.
We write A (or occasionally A C ) for the complement of an event A, and IA for
the indicator function of A:
I if wE A,
IA(w) = { 0
ifw ¢ A.
The expression Ep(X; A) denotes the mean of X on the event A; that is to say,
Ep(X; A) = Ep(XIA).
The following notation will be of value later. Let f be an edge of ll,d. We write
p! for Bernoulli product measure on Oe:e# f {O, I}, the set of configurations of all

[1.3] Bond Percolation 11
edges of the lattice other than f. We think of p!

as being the measure associated
with percolation on lLd with the edge f deleted.
There is a natural partial order on the set Q of configurations, given by WI :s W2
if and only if WI (e) :s w2(e) for all e E lEd.
There is a one-()ne correspondence between Q and the set of subsets of JEd.
For W E Q, we define
(1.3) K(w) = {e E lEd : wee) = I};

thus K (w) is the set of open edges of the lattice when the configuration is w.
Clearly, WI :s W2 if and only if K (wd <;; K (W2).
The following device can be useful. Suppose that (X(e) : e E lEd) is a family
of independent random variables indexed by the edge set JEd, where each X (e)
is uniformly distributed on [0, 1]. We may couple together all bond percolation
processes on lL d as p ranges over the interval [0, I] in the following way. Let p
satisfy 0 :s p :s 1 and define '7p (E Q) by
(104)
e _ {I if X(e) < p,
'7p( ) - 0 if X(e) 2: p.
We say that the edge e is p-open if '7p(e) = 1. The random vector '7p has
independent components and marginal distributions given by
P('7p(e) = 0) = 1 - p, P('7p(e) = 1) = p.
We may think of '7p as being the random outcome of the bond percolation process
on lL d with edge-probability p. It is clear that '7Pl :s '7P2 whenever PI :s P2,
which is to say that we may couple together the two percolation processes with
edge-probabilities PI and P2 in such a way that the set of open edges of the first
process is a subset of the set of open edges of the second. More generally, as p
increases from 0 to 1, the configuration '7p runs through typical configurations of
percolation processes with all edge-probabilities.

A path of lL d is an alternating sequence xo, eo, x I, el, ... , en-I, Xn of distinct
vertices Xi and edges ei = (Xi, Xi+ I); such a path has length n and is said to connect
Xo tox n . AcircuitoflLd isanalternatingsequencexo, eo, XI, el, ... , en-I, Xn , en,
Xo of vertices and edges such that XO, eo, ... , en-I, Xn is a path and en = (xn, xo);
such a circuit has length n + 1. We call a path or circuit open if all of its edges
are open, and closed if all of its edges are closed. Two sub graphs of lLd are called
edge-disjoint if they have no edges in common, and disjoint if they have neither
edges nor vertices in common.
Consider the random subgraph of lLd containing the vertex set 7l,d and the open
edges only. The connected components of this graph are called open clusters. We
write C (x) for the open cluster containing the vertex x, and we call C (x) the open
cluster at x. The vertex set of C (x) is the set of all vertices of the lattice which

are connected to x by open paths, and the edges of C (x) are the open edges of L d
which join pairs of such vertices. By the translation invariance of the lattice and of
the probability measure Pp , the distribution of C(x) is independent of the choice
of x. The open cluster C (0) at the origin is therefore typical of such clusters, and
we represent this cluster by the single letter C. Occasionally we shall use the term
C (x) to represent the set ofvertices joined to x by open paths, rather than the graph
of this open cluster. We shall be interested in the size of C(x), and we denote by
lC(x) I the number of vertices in C(x). We note that C(x) = {x} whenever x is
incident to no open edge.
If A and B are sets of vertices of Ld, we shall write 'A ~ B' if there exists
an open path joining some vertex in A to some vertex in B; if A n B #- 0 then
A ~ B trivially. Thus, for example, C(x) = {y E Zd : x ~ y}. We shall write
'A + B' if there exists no open path from any vertex of A to any vertex of B,
and 'A ~ B off D' if there exists an open path joining some vertex in A to some
vertex in B which uses no vertex in the set D.
If A is a set of vertices of the lattice, we write aA for the surface of A, being
the set of vertices in A which are adjacent to some vertex not in A.
Our notation for boxes is the following. A box is a subset of Zd of the form
B(a, b) = {x E Zd : ai ::s Xi ::s bi for all i}, where a and b lie in Zd; we some-
times write
B(a, b) = nd
i=1
[ai, bd
as a convenient shorthand. We often think of B (a, b) as a subgraph of the lattice

Ld suitably endowed with the edges which it inherits from the lattice. We denote
by B(n) the box with side-length 2n and centre at the origin:
(1.5) B(n) = [-n,n]d = {x E Zd: IIxll::s n}.
We may tum B(n) into a graph by adding the edges which it inherits from Ld. If x
is a vertex of the lattice, we write B(n, x) for the box x + B(n) having side-length
2n and centre at x.
r
We write La J and a1 for the integer part of the real number a, and the least
integer not less than a, respectively. If (an : n ~ l)and(bn : n ~ 1) are sequences
of real numbers, we write an "" b n if an/bn -+ 1 as n -+ 00, and an ~ b n if
logan/logbn -+ 1 as n -+ 00. Similarly, we write f(p) "" g(p) (respectively
f(p) ~ g(p» as p -+ 7r if f(p)/g(p) -+ 1 (respectively log f(p)jlogg(p) -+
1) as p -+ 7r. Finally, we write f(p) x g(p) as p -+ 7r if f(p)/ g(p) is bounded
away from 0 and 00 on a neighbourhood of 7r .


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Copyright © 1999. Springer Berlin / Heidelberg. All rights reserved.

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

Springer-Verlag Berlin Heidelberg GmbH

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

Cataloging-in-Publication Data applied for

Mathematics Subject Classification (1991): 60K35, 82B43

© Springer-Verlag Berlin Heidelberg 1989, 1999

Cover design: MetaDesign plus GmbH, Berlin

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

c:> ••••••• c:> ••••••• <:>.

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

greater than in three dimensions.

This discussion led to a fruitful partnership between Broadbent and Hammer-

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

ground under percolation. The mathematics of percolation is now fairly mature,

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

2 Some Basic Techniques 32

4 The Number of Open Clusters per Vertex 77

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

6 The Subcritical Phase 117

7 Dynamic and Static Renormalization 146

8 The Supercritical Phase 197

9 Near the Critical Point: Scaling Theory 232

10 Near the Critical Point: Rigorous Results 254

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

11 Bond Percolation in Two Dimensions 281

12 Extensions of Percolation 349

13 Percolative Systems 378

Appendix I. The Infinite-Volume Limit for Percolation 397

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

1.1 Modelling a Random Medium

Suppose we immerse a large porous stone in a bucket of water. What is the

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

it exists (see Chapter 8). It is of course important to understand the limitations

1.2 Why Percolation?

As a model for a disordered medium, percolation is one of the simplest, incorporat-

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

processes, it is a playground for developing mathematical techniques and insight.

A. Disordered electrical networks. It may not be too difficult to calculate the

Sn = {(m, 0) : 0 :::: m :::: n}, Tn = {(m, n) : 0 :::: m :::: n}.

We tum Un into an electrical network as follows. We examine each edge of Un

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

vertices of G depend only on those of vertices in its 'external boundary'. Taken

C. Epidemics and fires in orchards. In an early review of percolation and related

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

D. Wafer-scale integration. In the manufacture of microchips, silicon wafers

1.3 Bond Percolation

(1.2) IIxll = max{lxil : 1 :s i :s d},

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

where J-Le is Bernoulli measure on to, I}, given by

J-Le(w(e) = 0) = 1 - p(e), J-Le(w(e) = 1) = p(e)

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.

edges of the lattice other than f. We think of p!

(1.3) K(w) = {e E lEd : wee) = I};

percolation processes with all edge-probabilities.

Grimmett, G. R. (1999). Percolation. Springer Berlin / Heidelberg.