Extinction in Branching Processes: Ling Jiong Zhu

Outline
Introduction
Probability Generating Function
Extinction in Branching Processes
Ling Jiong Zhu
Courant Institute of Mathematical Sciences
New York University
Email: ling@cims.nyu.edu
cSplash 26 March 2011
Ling Jiong Zhu Extinction in Branching Processes
Outline
Introduction
1
Introduction
2
3
Outline
Introduction
Introduction
There are lots of dierent ways to characterize a probability
distribution. For example, for a non-negative integer valued
random variable, we can use probability generating function. For
any general random variables, we can use moment generating
function (if it exists and is nite) and characteristic function.
These auxiliary functions all uniquely determine the probability
distributions. In todays talk, we will study the probability
generating function and its application in the study of extinction in
branching processes.
Outline
Introduction
Basic Denitions
Denition
Consider a random variable X, taking values in the non-negative
integers 0, 1, 2 . . .. The probability generating function (p.g.f.) of
X is dened to be
p(z) = E
_
z
X
_
=
n=0
P(X = n)z
n
, 0 z 1.
It is easy to see that p(z) is well dened and 0 p(z) 1.
Outline
Introduction
Basic Properties
Theorem
The p.g.f. p(z), 0 z 1, uniquely determines the probability
distribution.
Proof.
Let X and Y be two random variables with the common p.g.f.
p(z), i.e. p(z) =
n=0
P(X = z)z
n
=
n=0
P(Y = z)z
n
. By
considering p(0), we have P(X = 0) = P(Y = 0). Thus, we have
n=1
P(X = z)z
n
=
n=1
P(Y = z)z
n
. Dividing both sides by z
and taking z = 0, we get P(X = 1) = P(Y = 1). Continue the
argument. We have P(X = n) = P(Y = n), for any n and hence X
and Y have the same probability distribution.
Outline
Introduction
Basic Properties
Theorem
The p.g.f. p(z), 0 z 1, uniquely determines the probability
distribution.
Proof.
Let X and Y be two random variables with the common p.g.f.
p(z), i.e. p(z) =
n=0
P(X = z)z
n
=
n=0
P(Y = z)z
n
. By
considering p(0), we have P(X = 0) = P(Y = 0). Thus, we have
n=1
P(X = z)z
n
=
n=1
P(Y = z)z
n
. Dividing both sides by z
and taking z = 0, we get P(X = 1) = P(Y = 1). Continue the
argument. We have P(X = n) = P(Y = n), for any n and hence X
and Y have the same probability distribution.
Outline
Introduction
Theorem
Let X be a random variable with p.g.f. p(z), 0 z 1. Then,
E[X] = p
(1), Var[X] = p
(1) + p
(1) p
(1)
2
.
Proof.
Notice that p
(z) =
n=0
nP(X = n)z
n1
. Hence,
p
(1) =
n=0
nP(X = n) = E[X]. Similarly,
p
(z) =
n=0
n(n 1)P(X = n)z
n2
. Hence
p
(1) = E[X(X 1)]. Therefore

Var[X] = E[X
2
] E[X]
2
= p
(1) + p
(1) p
(1)
2
.
Outline
Introduction
Theorem
Let X be a random variable with p.g.f. p(z), 0 z 1. Then,
E[X] = p
(1), Var[X] = p
(1) + p
(1) p
(1)
2
.
Proof.
Notice that p
(z) =
n=0
nP(X = n)z
n1
. Hence,
p
(1) =
n=0
nP(X = n) = E[X]. Similarly,
p
(z) =
n=0
n(n 1)P(X = n)z
n2
. Hence
p
(1) = E[X(X 1)]. Therefore

Var[X] = E[X
2
] E[X]
2
= p
(1) + p
(1) p
(1)
2
.
Outline
Introduction
Suppose that X
1
, . . . , X
n
are independent random variables with
p.g.f. p
1
(z), . . . , p
n
(z) respectively. Then, the p.g.f. of
n
i =1
X
i
is
given by
E[z
X
1
++X
n
] =
n
i =1
E[z
X
i
] =
n
i =1
p
i
(z).
In particular, if X
1
, . . . , X
n
are i.i.d. with p.g.f. p(z), then
E[z
X
1
++X
n
] = p(z)
n
.
Next, let us look at three examples.
Outline
Introduction
Example (Sum of Binomial Random Variables)
Let X Binomial(n, p) and Y Binomial(m, p) be independent.
Then, the p.g.f. of X is given by
E[z
X
] =
n
k=0
_
n
k
_
p
k
(1 p)
nk
z
k
= (pz + 1 p)
n
.
Similary, the p.g.f. of Y is (pz + 1 p)
m
and the p.g.f. of X + Y
is (pz + 1 p)
n+m
, which implies that
X + Y Binomial(n + m, p). In general, if X
i
Binomial(n
i
, p) are
independent, then
N
i =1
X
i
Binomial(
N
i =1
n
i
, p).
Outline
Introduction
Example (Sum of Poisson Random Variables)
Let X Poisson() and Y Poisson() be independent. The
p.g.f. of X is given by
E[z
X
] =
n=0
z
n
e
n
n!
= e
(1z)
.
Similary, the p.g.f. of Y is e
(1z)
and thus the p.g.f. of X + Y
is e
(+)(1z)
, which implies that X + Y Poisson( +). In
general, if X
i
Poisson(
i
) are independent, then
N
i =1
X
i
Poisson(
N
i =1
i
).
Outline
Introduction
Example (Sum of a Random Number of Random Variables)
Let X
1
, X
2
. . . be i.i.d. random variables with common p.g.f. p(z).
Let N be a non-negative integer valued random variable
independent of the X
i
s and having p.g.f. q(z). Then the p.g.f. of
X
1
+ + X
N
is given by
r (z) = E[z
X
1
++X
N
] =
n=0
E[z
X
1
++X
n
]P(N = n)
=
n=0
p(z)
n
P(N = n) = E[p(z)
N
] = q(p(z)).
Outline
Introduction
Branching Processes
We will consider a model of population growth and extinction
known as the Galton-Watson process. Consider a sequence of
random variables X
0
, X
1
, . . ., where X
n
represents the number of
individuals in the nth generation. We will assume that the
population is initiated by one individual, take X
0
= 1, and when he
dies he is replaced by k individuals with probability g
k
,
k = 0, 1, 2, . . .. These individuals behave independently and
identically to the parent individual, as do those in subsequent
generations.
Outline
Introduction
The number in the (n + 1)th generation X
n+1
is given by
X
n+1
=
_
Y
n
1
+ Y
n
2
+ + Y
n
X
n
if X
n
1,
0 if X
n
= 0.
Here, {Y
n
j
, n 1, j 1} are i.i.d. random variables with
P(Y
n
j
= k) = g
k
, independent of X
n
and Y
n
j
represents the
number of ospring of the j th individual in the nth generation.
Outline
Introduction
Assumptions of the Model
Assumptions: (i) g
0
> 0. (ii) g
0
+ g
1
< 1.
Assumption (i) ensures that the population can die out with
positive probability.
Assumption (ii) ensures that there is positive probability that the
next generation has more individuals than the previous one. In
other words, the population can grow with positive probability.
Outline
Introduction
Let G(z) =
k=0
g
k
z
k
= E[z
X
1
] and G
n
(z) = E[z
X
n
]. Clearly,
G
1
= G.
Theorem
For all n 1, G
n+1
(z) = G
n
(G(z)).
Proof.
G
n+1
(z) = E[z
X
n+1
] =
k=0
E[z
X
n+1
|X
n
= k]P(X
n
= k)
=
k=0
E[z
Y
n
1
++Y
n
k
]P(X
n
= k) =
k=0
G(z)
k
P(X
n
= k)
= E[G(z)
X
n
] = G
n
(G(z)).
Outline
Introduction
Let G(z) =
k=0
g
k
z
k
= E[z
X
1
] and G
n
(z) = E[z
X
n
]. Clearly,
G
1
= G.
Theorem
For all n 1, G
n+1
(z) = G
n
(G(z)).
Proof.
G
n+1
(z) = E[z
X
n+1
] =
k=0
E[z
X
n+1
|X
n
= k]P(X
n
= k)
=
k=0
E[z
Y
n
1
++Y
n
k
]P(X
n
= k) =
k=0
G(z)
k
P(X
n
= k)
= E[G(z)
X
n
] = G
n
(G(z)).
Outline
Introduction
Eventual Extinction
Let us now study the probability that extinction eventually occurs.
Notice that X
n
= 0 implies X
n+1
= 0. Hence, A
n
A
n+1
, where
A
n
= {X
n
= 0}. A =
n=1
A
n
is the event that extinction
eventually occurs. q = P(A) is the eventual extinction probability
and P(A
n
) represents the probability that extinction occurs by time
n. Notice that P(A
n
) = G
n
(0). Hence, we have
q = P(A) = lim
n
P(A
n
) = lim
n
G
n
(0).
Outline
Introduction
Theorem
The eventual extinction probability q is the smallest positive root
of the equation G(z) = z.
Proof.
G is continuous. Hence G(lim
n
G
n
(0)) = lim
n
G
n+1
(0),
which implies that G(q) = q. Let be any positive root of
G(z) = z. Since G is increasing, = G() G(0). Repeating n
times, we have G
n
(0) and thus lim
n
G
n
(0) = q.
Therefore, q is the smallest positive root of G(z) = z.
Outline
Introduction
Theorem
The eventual extinction probability q is the smallest positive root
of the equation G(z) = z.
Proof.
G is continuous. Hence G(lim
n
G
n
(0)) = lim
n
G
n+1
(0),
which implies that G(q) = q. Let be any positive root of
G(z) = z. Since G is increasing, = G() G(0). Repeating n
times, we have G
n
(0) and thus lim
n
G
n
(0) = q.
Therefore, q is the smallest positive root of G(z) = z.
Outline
Introduction
Let m = G
(1) be the mean number of ospring per individual.

Indeed, by some technical analysis and using the condition
g
0
+ g
1
< 1, one can show that q = 1 when m 1 and q < 1
when m > 1. In other words, when m 1, the population will
eventually extinct with probability 1 and when m > 1, there is
some positive probability that the population will survive. Thus,
m = 1 is the critical point for the dynamics.
Outline
Introduction
Extinction at Time n
Let T be the exact extinction time. Then
{T = n} = {X
n
= 0, X
n1
> 0}.
P(X
n
= 0) is the probability of extinction by time n and
P(X
n
= 0) P(X
n1
= 0) is the probability of extinction at time n.
Recall that P(X
n
= 0) = G
n
(0) for all n. Thus,
P(T = n) = G
n
(0) G
n1
(0).
One can also compute the expected extinction time E[T].
Outline
Introduction
Binary Splitting
Assume Y
n
j
satises P(Y
n
j
= 1) = p and P(Y
n
j
= 0) = q = 1 p.
Observe that
G
1
(z) = G(z) = q + pz,
G
2
(z) = G(q + pz) = q(1 + p) + p
2
z,

G
n
(z) = q(1 + p + + p
n1
) + p
n
z.
Thus, P(T = n) = G
n
(0) G
n1
(0) = qp
n1
, which implies that
T 1 Geometric(q) and therefore E[T 1] =
p
q
and E[T] =
1
q
.
Outline
Introduction
Expected Extinction Time
Recall that m = E[X
1
] =
k=1
kg
k
and let
2
= Var[X
2
1
]. Then,
the followings hold.
(i) E[T] < if m < 1;
(ii) E[T] = if m = 1 (despite extinction being denite), if
2
is
nite;
(iii) E[T] = if m > 1 (because with positive probability,
extinction never happens).
Outline
Introduction
Further Readings
Part IA Probability Lecture Notes, D. Kennedy, DPMMS,
University of Cambridge, available online at
http://www.trin.cam.ac.uk/dpk10/IA/IAprob.html
Branching Processes, K. B. Athreya and P. E. Ney, Dover, 2004
Branching Processes: Variation, Growth and Extinction of
Populations, P. Haccou, P. Jagers and V. A. Vatutin, Cambridge
University Press, 2005

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Outline

(1) = E[X(X 1)]. Therefore

(1) = E[X(X 1)]. Therefore

(1) be the mean number of ospring per individual.

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