Markov Chains

J. R. Norris
University of Cambridge
~ u ~ ~ u CAMBRIDGE
::: UNIVERSITY PRESS
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© Cambridge University Press 1997
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no reproduction of any part may take place without
the written permission of Cambridge University Press.
First published 1997
Reprinted 1998
First paperback edition 1998
Printed in the United States of America
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ISBN 0-521-48181-3 hardback
ISBN 0-521-63396-6 paperback
For my parents
Contents
Preface
Introduction
1. Discrete-time- Markov chains
1.1 Definition and basic properties
1.2 Class structure
1.3 Hitting times and absorption probabilities
1.4 Strong Markov property
1.5 Recurrence and transience
1.6 Recurrence and transience of random walks
1.7 Invariant distributions
1.8 Convergence to equilibrium
1.9 Time reversal
1.10 Ergodic theorem
1.11 Appendix: recurrence relations
1.12 Appendix: asymptotics for n!
2. Continuous-time Markov chains I
2.1 Q-matrices and their exponentials
2.2 Continuous-time random processes
2.3 Some properties of the exponential distribution
ix
xiii
1
1
10
12
19
24
29
33
40
47
52
57
58
60
60
67
70
viii Contents
2.4 Poisson processes 73
2.5 Birth processes 81
2.6 Jump chain and holding times 87
2.7 Explosion 90
2.8 Forward and backward equations 93
2.9 Non-minimal chains 103
2.10 Appendix: matrix exponentials 105
3. Continuous-time Markov chains II 108
3.1 Basic properties 108
3.2 Class structure 111
3.3 Hitting times and absorption probabilities 112
3.4 Recurrence and transience 114
3.5 Invariant distributions 117
3.6 Convergence to equilibrium 121
3.7 Time reversal 123
3.8 Ergodic theorem 125
4. Further theory 128
4.1 Martingales 128
4.2 Potential theory 134
4.3 Electrical networks 151
4.4 Brownian motion 159
5. Applications 170
5.1 Markov chains in biology 170
5.2 Queues and queueing networks 179
5.3 Markov chains in resource management 192
5.4 Markov decision processes 197
5.5 Markov chain Monte Carlo 206
6. Appendix: probability and measure 217
6.1 Countable sets and countable sums 217
6.2 Basic facts of measure theory 220
6.3 Probability spaces and expectation 222
6.4 Monotone convergence and Fubini's theorem 223
6.5 Stopping times and the strong Markov property 224
6.6 Uniqueness of probabilities and independence of a-algebras 228
Further reading 232
Index 234
Preface
Markov chains are the simplest mathematical models for random phenom-
ena evolving in time. Their simple structure makes it possible to say a great
deal about their behaviour. At the same time, the class of Markov chains
is rich enough to serve in many applications. This makes Markov chains
the first and most important examples of random processes. Indeed, the
whole of the mathematical study of random processes can be regarded as a
generalization in one way or another of the theory of Markov chains.
This book is an account of the elementary theory of Markov chains,
with applications. It was conceived as a text for advanced undergraduates
or master's level students, and is developed from a course taught to un-
dergraduates for several years. There are no strict prerequisites but it is
envisaged that the reader will have taken a course in elementary probability.
In particular, measure theory is not a prerequisite.
The first half of the book is based on lecture notes for the undergradu-
ate course. Illustrative examples introduce many of the key ideas. Careful
proofs are given throughout. There is a selection of exercises, which forms
the basis of classwork done by the students, and which has been tested
over several years. Chapter 1 deals with the theory of discrete-time Markov
chains, and is the basis of all that follows. You must begin here. The
material is quite straightforward and the ideas introduced permeate the
whole book. The basic pattern of Chapter 1 is repeated in Chapter 3 for
continuous-time chains, making it easy to follow the development byanal-
ogy. In between, Chapter 2 explains how to set up the theory of continuous-
x Preface
time chains, beginning with simple examples such as the Poisson process
and chains with finite state space.
The second half of the book comprises three independent chapters in-
tended to complement the first half. In some sections the style is a lit-
tle more demanding. Chapter 4 introduces, in the context of elementary
Markov chains, some of the ideas crucial to the advanced study of Markov
processes, such as martingales, potentials, electrical networks and Brownian
motion. Chapter 5 is devoted to applications, for example to population
growth, mathematical genetics, queues and networks of queues, Markov de-
cision processes and Monte Carlo simulation. Chapter 6 is an appendix to
the main text, where we explain some of the basic notions of probability
and measure used in the rest of the book and give careful proofs of the few
points where measure theory is really needed.
The following paragraph is directed primarily at an instructor and as-
sumes some familiarity with the subject. Overall, the book is more focused
on the Markovian context than most other books dealing with the elemen-
tary theory of stochastic processes. I believe that this restriction in scope
is desirable for the greater coherence and depth it allows. The treatment
of discrete-time chains in Chapter 1 includes the calculation of transition
probabilities, hitting probabilities, expected hitting times and invariant dis-
tributions. Also treated are recurrence and transience, convergence to equi-
librium, reversibility, and the ergodic theorem for long-run averages. All
the results are proved, exploiting to the full the probabilistic viewpoint.
For example, we use excursions and the strong Markov property to obtain
conditions for recurrence and transience, and convergence to equilibrium is
proved by the coupling method. In Chapters 2 and 3 we proceed via the
jump chain/holding time construction to treat all right-continuous, mini-
mal continuous-time chains, and establish analogues of all the main results
obtained for discrete time. No conditions of uniformly bounded rates are
needed. The student has the option to take Chapter 3 first, to study the
properties of continuous-time chains before the technically more demand-
ing construction. We have left measure theory in the background, but
the proofs are intended to be rigorous, or very easily made rigorous, when
considered in measure-theoretic terms. Some further details are given in
Chapter 6.
It is a pleasure to acknowledge the work of colleagues from which I have
benefitted in preparing this book. The course on which it is based has
evolved over many years and under many hands - I inherited parts of it
from Martin Barlow and Chris Rogers. In recent years it has been given
by Doug Kennedy and Colin Sparrow. Richard Gibbens, Geoffrey Grim-
Preface xi
mett, Frank Kelly and Gareth Roberts gave expert advice at various stages.
Meena Lakshmanan, Violet Lo and David Rose pointed out many typos ,and
ambiguities. Brian Ripley and David Williams made constructive sugges-
tions for improvement of an early version.
I am especially grateful to David Thanah at Cambridge University Press
for his suggestion to write the book and for his continuing support, and to
Sarah Shea-Simonds who typeset the whole book with efficiency, precision
and good humour.
Cambridge, 1996 James Norris
Introduction
This book is about a certain sort of random process. The characteristic
property of this sort of process is that it retains no memory of where it has
been in the past. This means that only the current state of the process can
influence where it goes next. Such a process is called a Markov process. We
shall be concerned exclusively with the case where the process can assume
only a finite or countable set of states, when it is usual to refer it as a
Markov chain.
Examples of Markov chains abound, as you will see throughout the book.
What makes them important is that not only do Markov chains model
many phenomena of interest, but also the lack of memory property makes
it possible to predict how a Markov chain may behave, and to compute
probabilities and expected values which quantify that behaviour. In this
book we shall present general techniques for the analysis of Markov chains,
together with many examples and applications. In this introduction we
shall discuss a few very simple examples and preview some of the questions
which the general theory will answer.
We shall consider chains both in discrete time
n E Z+ = {O, 1, 2, ... }
and continuous time
t E jR+ = [0, (0).
The letters n, m, k will always denote integers, whereas t and s will refer
to real numbers. Thus we write ( X n ) n ~ O for a discrete-time process and
( X t ) t ~ O for a continuous-time process.
XIV Introduction
Markov chains are often best described by diagrams, of which we now
give some simple examples:
(i) (Discrete time)
1
3
1
3
2
You move from state 1 to state 2 with probability 1. From state 3 you
move either to 1 or to 2 with equal probability 1/2, and from 2 you jump
to 3 with probability 1/3, otherwise stay at 2. We might have drawn a loop
from 2 to itself with label 2/3. But since the total probability on jumping
from 2 must equal 1, this does not convey any more information and we
prefer to leave the loops out.
(ii) (Continuous time)
A
o••- - - ~ . ~ - - ...... 1
When in state 0 you wait for a random time with exponential distribution
of parameter A E (0, 00), then jump to 1. Thus the density function of the
waiting time T is given by
for t ~ o.
We write T rv E(A) for short.
(iii) (Continuous time)
A
• •
o 1
A

2 3 4
Here, when you get to 1 you do not stop but after another independent
exponential time of parameter Ajump to 2, and so on. The resulting process
is called the Poisson process of rate A.
3
Introduction
1
4
2
xv
(iv) (Continuous time)
In state 3 you take two independent exponential times T
1
rv E(2) and
T2 rv E (4); if T
1
is the smaller you go to 1 after time T
1
, and if T2 is the
smaller you go to 2 after time T
2
. The rules for states 1 and 2 are as given
in examples (ii) and (iii). It is a simple matter to show that the time spent
in 3 is exponential of parameter 2 + 4 = 6, and that the probability of
jumping from 3 to 1 is 2/(2 +4) = 1/3. The details are given later.
(v) (Discrete time)
3 6
2
o
5
We use this example to anticipate some of the ideas discussed in detail
in Chapter 1. The states may be partitioned into communicating classes,
namely {O}, {I, 2, 3} and {4, 5, 6}. Two of these classes are closed, meaning
that you cannot escape. The closed classes here are recurrent, meaning
that you return again and again to every state. The class {O} is transient.
The class {4, 5, 6} is periodic, but {I, 2, 3} is not. We shall show how to
establish the following facts by solving some simple linear/ equations. You
might like to try from first principles.
(a) Starting from 0, the probability of hitting 6 is 1/4.
(b) Starting from 1, the probability of hitting 3 is 1.
(c) Starting from 1, it takes on average three steps to hit 3.
(d) Starting from 1, the long-run proportion of time spent in 2 is 3/8.
xvi Introduction
Let us write pij for the probability starting from i of being in state j after
n steps. Then we have:
(e) lim POI = 9/32;
n---+oo
(f) P04 does not converge as n ~ 00;
(g) lim pg4 = 1/124.
n---+oo
1
Discrete-time Markov chains
This chapter is the foundation for all that follows. Discrete-time Markov
chains are defined and their behaviour is investigated. For better orien-
tation we now list the key theorems: these are Theorems 1.3.2 and 1.3.5
on hitting times, Theorem 1.4.2 on the strong Markov property, Theorem
1.5.3 characterizing recurrence and transience, Theorem 1.7.7 on invariant
distributions and positive recurrence. Theorem 1.8.3 on convergence to
equilibrium, Theorem 1.9.3 on reversibility, and Theorem 1.10.2 on long-
run averages. Once you understand these you will understand the basic
theory. Part of that understanding will come from familiarity with exam-
ples, so a large number are worked out in the text. Exercises at the end of
each section are an important part of the exposition.
1.1 Definition and basic properties
Let I be a countable set. Each i E I is called a state and I is called the
state-space. We say that A = (Ai: i E I) is a measure on I if 0 ~ Ai < 00
for all i E I. If in addition the total mass EiEI Ai equals 1, then we call
A a distribution. We work'throughout with a probability space (0, F, lP).
Recall that a random variable X with values in I is a function X : 0 --+ I.
Suppose we set
Ai = IF(X = i) = IF( {w : X(w) = i}).
2 1. Discrete-time Markov chains
Then A defines a distribution, the distribution of X. We think of X as
modelling a random state which takes the value i with probability Ai. There
is a brief review of some basic facts about countable sets and probability
spaces in Chapter 6.
We say that a matrix P == (Pij : i, j E I) is stochastic if every row
(Pij : j E I) is a distribution. There is a one-to-one correspondence between
stochastic matrices P and the sort of diagrams described in the Introduc-
tion. Here are two examples:
(I-a
1 /3)
P-
- (3
1
p= (
1
)
1/2
1/2 0 1/2
3 1 2
2
We shall now formalize the rules for a Markov chain by a definition in
terms of the corresponding matrix P. We say that is a Markov
chain wit'h initial distribution A and transition matrix P if
(i) X
o
has distribution A;
(ii) for n 0, conditional on X
n
== i, X
n
+
1
has distribution (Pij : j E I)
and is independent of X
o
,.·· ,X
n
-
1
.
More explicitly, these conditions state that, for n 2: 0 and io, ... ,in+l E I,
(i) P(X0 == io) == Aio;
(ii) P(X
n
+1 == i
n
+
1
I X
o
== io, ... ,X
n
== in) == Pi
n
i
n
+
1

We say that is Markov (A, P) for short. If is a finite
sequence of random variables satisfying (i) and (ii) for n == 0, ... ,N - 1,
then we again say is Markov (A, P).
It is in terms of properties (i) and (ii) that most real-world examples are
seen to be Markov chains. But mathematically the. following result appears
to give a more comprehensive description, and it is the key to some later
calculations.
Theorem 1.1.1. A discrete-time random process (Xn)O<n<N is
Markov(A, P) if and only if for all io, ... ,iN E I
1.1 Definition and basic properties
Proof. Suppose is Markov(A, P), then
P(X
o
= iO,X
I
= i
l
, ... ,X
N
= iN)
= P(X
o
= iO)P(X
I
= il I X
o
= io)
... lP(X
N
= iN I X
o
= io,· .. ,X
N
-
I
= iN-I)
3
On the other hand, if (1.1) holds for N, then by summing both sides over
iN E I and using EjEI Pij = 1 we see that (1.1) holds for N - 1 and, by
induction
for all n = 0,1, ... ,N. In particular, P(X
o
= io) = Aio and, for n
0,1, ... ,N - 1,
P(X
n
+
1
= i
n
+
1
I X
o
= io, ... ,X
n
= in)
= P(X
o
= i
o
, ... ,X
n
= in, X
n
+
1
= in+I)/P(X
O
= i
o
,· .. ,X
n
= in)
So is Markov(A, P). D
The next result reinforces the idea that Markov chains have no memory.
We write 8
i
= (8
ij
: j E I) for the unit mass at i, where
{
I ifi=j
8ij =
°otherwise.
Theorem 1.1.2 (Markov property). Let be Markov(A, P).
Then, conditional on X
m
= i, is Markov(8
i
, P) and is indepen-
dent of the random variables X
o
, . .. ,X
m
.
Proof. We have to show that for any event A determined by ... ,X
m
we have
lP({Xm = im,··· ,Xm+n = im+n} n A I Xm = i)
= 8iirnPirnirn+l .. ·Pirn+n-lirn+nlP(A I Xm = i) (1.2)
then the result follows by Theorem 1.1.1. First consider the case of elemen-
taryevents
A = {X
o
= i
o
, ... ,X
m
= i
m
}.
4 1. Discrete-time Markov chains
In that case we have to show
P(X
o
= i
o
,· .. ,X
m
+
n
= i
m
+
n
and i = im)/P(X
m
= i)
= biirnPi
rn
irn+l Pirn+n-l i
rn
+
n
X lP(X
o
= io, ,X
m
= i
m
and i = im)/lP(X
m
= i)
which is true by Theorem 1.1.1. In general, any event A determined by
X
o
, ... ,X
m
may be written as a countable disjoint union of elementary
events
00
A= UAk.
k=l
Then the desired identity (1.2) for A follows by summing up the corre-
sponding identities for A
k
. D
The remainder of this section addresses the following problem: what is
the probability that after n steps our Markov chain is in a given First
we shall see how the problem reduces to calculating entries in the nth power
of the transition matrix. Then we shall look at some examples where this
may be done explicitly.
We regard distributions and measures A as row vectors whose compo-
nents are indexed by I, just as P is a matrix whose entries are indexed by
I x I. When I is finite we will often label the states 1,2, ... ,N; then A
will be an N-vector and P an N x N-matrix. For these objects, matrix
multiplication is a familiar operation. We extend matrix multiplication to
the general case in the obvious way, defining a new measure AP and a new
matrix p
2
by
(AP)j = L AiPij,
iEI
(p2)ik = LPijPjk.
jEI
We define pn similarly for any n. We agree that pO is the identity matrix
I, where (I)ij = 8
ij
. The context will make it clear when I refers to the
state-space and when to the identity matrix. We write = (pn)ij for
the (i, j) entry in pn.
In the case where Ai > °we shall write Pi(A) for the conditional prob-
ability P(A I X
o
= i). By the Markov property at time m = 0, under lPi,
is Markov(8
i
, P). So the behaviour of under lPi does not
depend on A.
Theorem 1.1.3. Let be Markov(A, P). Then, for all n, m 0,
(i) P(X
n
= j) = (Apn)j;
(ii) lP\(X
n
= j) = JP(X
n
+
m
= j I X
m
= i) = ·
1.1 Definition and basic properties
Proof. (i) By Theorem 1.1.1
P(Xn = j) = L ·.. L P(X
o
= i
o
,··· ,Xn- I = in-I, X n = j)
ioEI in-lEI
= L ... L AioPioil" · Pin-Ii = (Apnk
ioEI in-lEI
5
(ii) By the Markov property, conditional on X
m
= i, is Markov
(8
i
, P), so we just take A = 8
i
in (i). D
In light of this theorem we call the n-step transition probability from i
to j. The following examples give some methods for calculating
Example 1.1.4
The most general two-state chain has transition matrix of the form
(
I-a
p = {3
and is represented by the following diagram:
{3
We exploit the relation p
n
+
I
= pnP to write
(n+I) _ (n){3 + (n) (1 _ )
PII - PI2 PII a .
We also know that + = IP\ (X
n
= 1 or 2) = 1, so by eliminating
we get a recurrence relation for
(n+I) - (1 - - (3) (n) + {3
PII - a PII ,
This has a unique solution (see Section 1.11):
(n) {_(3_ + _a_(l_ a - (3)n for a +{3 > 0
PII = a + {3 a + {3
1 for a +{3 = O.
6 1. Discrete-time Markov chains
Example 1.1.5 (Virus mutation)
Suppose a virus can exist in N different strains and in each generation
either stays the same, or with probability a mutates to another strain,
which is chosen at random. What is the probability that the strain in the
nth generation is the same as that in the Oth?
We could model this process as an N-state chain, with N x N transition
matrix P given by
Pii = 1 - a, Pij = a / (N - 1) for i =I j.
Then the answer we want would be found by computing p i ~ ) . In fact, in
this example there is a much simpler approach, which relies on exploiting
the symmetry present in the mutation rules.
At any time a transition is made from the initial state to another with
probability a, and a transition from another state to the initial state with
probability a/(N - 1). Thus we have a two-state chain with diagram
a/(N - 1)
and by putting (3 = a/(N - 1) in Example 1.1.4 we find that the desired
probability is
-!. + (1- -!.) (1- ~ ) n
N N N-1·
Beware that in examples having less symmetry, this sort of lumping together
of states may not produce a Markov chain.
Example 1.1.6
Consider the three-state chain with diagram
1
3
1
2
2
1.1 Definition and basic properties
and transition matrix
7
p= I)·
The problem is to find a general formula for
First we compute the eigenvalues of P by writing down its characteristic
equation
o= det (x - P) = x(x - - = - 1)(4x
2
+1).
The eigenvalues are 1, i/2, -i/2 and from this we deduce that has the
form
(
.)n (")n
(n)
Pu = a + b 2 + c - 2
for some constants a, band c. (The justification comes from linear algebra:
having distinct eigenvalues, P is diagonalizable, that is, for some invertible
matrix U we have
) U-
1
-i/2
and hence
p
n
= U (00
1
U-
1
o (-i/2)n
which forces to have the form claimed.) The answer we want is real
and
= (cosn
2
7r
±isin
n
2
7r
)
so it makes sense to rewrite in the form
for constants Q, (3 The first few values of are easy to write
down, so we get equations to solve for Q, (3 and
1 = = Q +(3
o= pii) = Q +
O
- p(2) - r\J - 1(3
- 11 - L.(, 4
8 1. Discrete-time Markov chains
SO Q: = 1/5, (3 = 4/5, = -2/5 and
More generally, the following method may in principle be used to find a
formula for for any M-state chain and any states i and j.
(i) Compute the eigenvalues AI, ... ,AM of P by solving the character-
istic equation.
(ii) If the eigenvalues are distinct then has the form
(n) _ \ n \ n
Pij - alAI + ... +aMAM
for some constants al, . .. ,aM (depending on i and j). If an eigen-
value A is repeated (once, say) then the general form includes the
term (an+b)A
n
.
(iii) As roots of a polynomial with real coefficients, complex eigenvalues
will come in conjugate pairs and these are best written using sine
and cosine, as in the example.
Exercises
1.1.1 Let B
I
, B
2
, • •• be disjoint events with B
n
= O. Show that if A
is another event and P(AIB
n
) = P for all n then P(A) = p.
Deduce that if X and Yare discrete random variables then the following
are equivalent:
(a) X and Yare independent;
(b) the conditional distribution of X given Y = y is independent of y.
1.1.2 Suppose that is Markov (A, P). If Y
n
= Xkn, show that
is Markov (A, p
k
).
1.1.3 Let X
o
be a random variable with values in a countable set I. Let
Y
I
, Y
2
, . .. be a sequence of independent random variables, uniformly dis-
tributed on [0, 1]. Suppose we are given a function
G : I x [0, 1] --+ I
and define inductively
Show that is a Markov chain and express its transition matrix P
in terms of G. Can all Markov chains be realized in this way? How would
you simulate a Markov chain using a computer?
1.1 Definition and basic properties 9
Suppose now that Zo, Z1, . .. are independent, identically distributed
random variables such that Zi = 1 with probability p and Zi = 0 with
probability 1 - p. Set So = 0, Sn = Z1 + ... + Zn. In each of the following
cases determine whether ( X n ) n ~ O is a Markov chain:
(a) X
n
= Zn, (b) X
n
= Sn,
(c) X
n
= So + ... + Sn, (d)X
n
= (Sn, So + ... + Sn).
In the cases where ( X n ) n ~ O is a Markov chain find its state-space and
transition matrix, and in the cases where it is not a Markov chain give an
example where P(X
n
+
1
= ilX
n
= j, X
n
-
1
= k) is not independent of k.
1.1.4 A flea hops about at random on the vertices of a triangle, with all
jumps equally likely. Find the probability that after n hops the flea is back
where it started.
A second flea also hops about on the vertices of a triangle, but this flea is
twice as likely to jump clockwise as anticlockwise. What is the probability
that after n hops this second flea is back where it started? [Recall that
e±i7r/6 = V3/2 ± i/2.]
1.1.5 A die is 'fixed' so that each time it is rolled the score cannot be the
same as the preceding score, all other scores having probability 1/5. If the
first score fS 6, what is the probability p that the nth score is 6? What is
the probability that the nth score is I?
Suppose now that a new die is produced which cannot score one greater
(mod 6) than the preceding score, all other scores having equal probability.
By considering the relationship between the two dice find the value of p for
the new die.
1.1.6 An octopus is trained to choose object A from a pair of objects A, B
by being given repeated trials in which it is shown both and is rewarded
with food if it chooses A. The octopus may be in one of three states of mind:
in state 1 it cannot remember which object is rewarded and is equally likely
to choose either; in state 2 it remembers and chooses A but may forget
again; in state 3 it remembers and chooses A and never forgets. After each
tr·ial it may change its state of mind according to the transition matrix
State 1 ~ ~ 0
State 2 ~ l2 1
5
2
State 3 0 0 1.
It is in state 1 before the first trial. What is the probablity that it is
in state 1 just before the (n+l)th trial? What is the probability Pn+1 (A)
that it chooses A on the (n + 1)th trial ?
10 1. Discrete-time Markov chains
Someone suggests that the record of successive choices (a sequence of As
and Bs) might arise from a two-state Markov chain with constant transition
probabilities. Discuss, with reference to the value of P
n
+
1
(A) that you have
found, whether this is possible.
1.1.7 Let ( X n ) n ~ O be a Markov chain on {1,2,3} with transition matrix
1 0 )
2/3 1/3 .
1- P 0
Calculate P(X
n
= 11X
o
= 1) in each of the following cases: (a) p = 1/16,
(b) p = 1/6, (c) p = 1/12.
1.2 Class structure
It is sometimes possible to break a Markov chain into smaller pieces, each
of which is relatively easy to understand, and which together give an un-
derstanding of the whole. This is done by identifying the communicating
classes of the chain.
We say that i leads to j and write i ~ j if
Pi(X
n
= j for some n ~ 0) > o.
We say i communicates with j and write i ~ j if both i ~ j and j ~ i.
Theorem 1.2.1. For distinct states i and j the following are equivalent:
(i) i ~ j;
(ii) P
i
oi
l
P
i
li2 ... Pin-li
n
> 0 for some states io,il, ... ,in with io = i and
in = j;
(iii) p ~ j ) > 0 for some n ~ O.
Proof. Observe that
00
p ~ j ) ::; lPi(X
n
= j for some n ~ 0) ::; L p ~ j )
n=O
which proves the equivalence of (i) and (iii). Also
p ~ j ) = L Pii
1
P i li2 .. ·Pin-d
il , ... ,in-l
so that (ii) and (iii) are equivalent. 0
1.3 Hitting times and absorption probabilities 11
It is clear from (ii) that i ~ j and j ~ k imply i ~ k. Also i ~ i for
any state i. So ~ satisfies the conditions for an equivalence relation on I,
and thus partitions I into communicating classes. We say that a class C is
closed if
i E C, i ~ j imply j E C.
Thus a closed class is one from which there is no escape. A state i is
absorbing if {i} is a closed class. The smaller pieces referred to above are
these communicating classes. A chain or transition matrix P where I is a
single class is called irreducible.
As the following example makes clear, when one can draw the diagram,
the class structure of a chain is very easy to find.
Example 1.2.2
Find the communicating classes associated to the stochastic matrix
1 1
0 0 0 0
2 2
0 0 1 0 0 0
1
0 0
1 1
0
P=
3 3 3
0 0 0
1 1
0
2 2
0 0 0 0 0 1
0 0 0 0 1 0
The solution is obvious from the diagram
1 4
2 6
the classes being {1,2,3}, {4} and {5,6}, with only {5,6} being closed.
Exercises
1.2.1 Identify the communicating classes of the following transition matrix:
1
0 0 0
1
2 2
0
1
0
1
0
2 2
P= 0 0 1 0 0
0
1 1 1 1
:4 :4 :4 :4
1
0 0 0
1
2 2
Which classes are closed?
12 1. Discrete-time Markov chains
1.2.2 Show that every transition matrix on a finite state-space has at least
one closed communicating class. Find an example of a transition matrix
with no closed communicating class.
1.3 Hitting times and absorption probabilities
Let (Xn)n>O be a Markov chain with transition matrix P. The hitting time
of a subset A of I is the random variable H
A
: n ~ {O,1,2, ... } U {oo}
given by
HA(w) = inf{n ~ 0 : Xn(w) E A}
where we agree that the infimum of the empty set 0 is 00. The probability
starting from i that ( X n ) n ~ O ever hits A is then
When A is a closed class, hf is called the absorption probability. The mean
time taken for ( X n ) n ~ O to reach A is given by
kt = lEi(H
A
) = 2: nJP>(H
A
= n) + ooJP>(H
A
= (0).
n<oo
We shall often write less formally
Remarkably, these quantities can be calculated explicitly by means of cer-
tain linear equations associated with the transition matrix P. Before we
give the general theory, here is a simple example.
Example 1.3.1
Consider the chain with the following diagram:
1
1
1
2
2
2


E
• 41( •
~

1 2
1
3 4
2
Starting from 2, what is the probability of absorption in 4? How long does
it take until the chain is absorbed in 1 or 4?
Introduce
1.3 Hitting times and absorption probabilities 13
Clearly, hI = 0, h
4
= 1 and k
l
= k
4
= o. Suppose now that we start at 2,
and consider the situation after making one step. With probability 1/2 we
jump to 1 and with probability 1/2 we jump to 3. So
The 1 appears in the second formula because we count the time for the first
step. Similarly,
Hence
h2 = h3 = ( h2 +
k2 = 1 + = 1 + +
So, starting from 2, the probability of hitting 4 is 1/3 and the mean time to
absorption is 2. Note that in writing down the first equations for h
2
and k
2
we made implicit use of the Markov property, in assuming that the chain
begins afresh from its new position after the first jump. Here is a general
result for hitting probabilities.
Theorem 1.3.2. The vector of hitting probabilities h
A
= (hf : i E I) is
the minimal non-negative solution to the system of linear equations
{
hf = 1 for i E A
hf = EjEI Pij
h
1 for i fj. A.
(1.3)
(Minimality means that if x = (Xi: i E I) is another solution with Xi 0
for all i, then Xi hi for all i.)
Proof. First we show that h
A
satisfies (1.3). If X
o
= i E A, then H
A
= 0,
so hf = 1. If X
o
= i fj. A, then H
A
1, so by the Markov property
and
hf = lP\(H
A
< 00) = LJPi(H
A
< oo,X
I
= j)
jEI
=LJPi(H
A
< 00 I Xl = j)JPi(XI = j) = LPijhf.
jEI jEI
14 1. Discrete-time Markov chains
Suppose now that X = (Xi: i E I) is any solution to (1.3). Then hf = Xi = 1
for i E A. Suppose i ¢ A, then
Xi = '2:PijXj = '2:Pij + '2:PijXj.
jEI jEA
Substitute for Xj to obtain
Xi = LPij + LPij(LPjk + LPjkXk)
jEA kEA
= JPli(X
1
E A) + JPli(X
1
¢ A, X2 E A) + '2: '2: PijPjkXk·

By repeated substitution for X in the final term we obtain after n steps
Xi = JP>i(X
I
E A) + ... + JP>i(X
I
fj. A, ... ,X
n
-
I
fj. A, X
n
E A)
+ L ... L PiiIPjli2 · · · Pjn-lin Xjn'

Now if X is non-negative, so is the last term on the right, and the remaining
terms sum to JP>i(H
A
n). So Xi JP>i(H
A
n) for all n and then
Xi lim JP>i(H
A
n) = JP>i(H
A
< 00) = hi.
n--+-oo
Example 1.3.1 (continued)
The system of linear equations (1.3) for h = h{4} are given here by
h
4
= 1,
h2 = + h3 = +
so that
and
D
The value of hI is not determined by the system (1.3), but the minimality
condition now makes us take hI = 0, so we recover h
2
= 1/3 as before. Of
course, the extra boundary condition hI = 0 was obvious from the beginning
1.3 Hitting times and absorption probabilities 15
so we built it into our system of equations and did not have to worry about
minimal non-negative solutions.
In cases where the state-space is infinite it may not be possible to write
down a corresponding extra boundary condition. Then, as we shall see in
the next examples, the minimality condition is essential.
Example 1.3.3 (Gamblers' ruin)
Consider the Markov chain with diagram

o
q p
I( • ..
1
q p q p
I( ... 1( ••
i i + 1
where 0 < P = 1 - q < 1. The transition probabilities are
Poo = 1,
Pi,i-l = q, Pi,i+l = P for i = 1,2, ....
Imagine that you enter a casino with a fortune of £i and gamble, £1 at a
time, with probability P of doubling your stake and probability q of losing
it. The resources of the casino are regarded as infinite, so there is no upper
limit to your fortune. But what is the probability that you leave broke?
Set hi = IPi(hit 0), then h is the minimal non-negative solution to
h
o
= 1,
hi = ph
i
+
1
+ qh
i
-
1
, for i = 1,2, ....
If p =I q this recurrence relation has a general solution
hi = A + B ( ~ ) i .
(See Section 1.11.) If P < q, which is the case in most successful casinos,
then the restriction 0 ~ hi ~ 1 forces B = 0, so hi = 1 for all i. If p > q,
then since h
o
= 1 we get a family of solutions
for a non-negative solution we must have A ~ 0, so the minimal non-
negative solution is hi = (q/ p)i. Finally, if p = q the recurrence relation
has a general solution
hi = A+ Bi
16 1. Discrete-time Markov chains
and again the restriction 0 hi 1 forces B = 0, so hi = 1 for all i.
Thus, even if you find a fair casino, you are certain to end up broke. This
apparent paradox is called gamblers' ruin.
Example 1.3.4 (Birth-and-death chain)
Consider the Markov chain with diagram
ql PI qi Pi qi+1 Pi+1
...---.t(-...... ......- - - - - • .-...... t(I---..-••--- - - - -
o 1 i i+l
where, for i = 1,2, ... , we have 0 < Pi = 1 - qi < 1. As in the preceding
example, 0 is an absorbing state and we wish to calculate the absorption
probability starting from i. But here we allow Pi and qi to depend on i.
Such a chain may serve as a model for the size of a population, recorded
each time it changes, Pi being the probability that we get a birth before
a death in a population of size i. Then hi = IPi(hit 0) is the extinction
probability starting from i.
We write down the usual system of equations
h
o
= 1,
hi = Pihi+1 + qihi-I, for i = 1,2, ....
This recurrence relation has variable coefficients so the usual technique fails.
But consider Ui = h
i
-
I
- hi, then PiUi+1 = qiUi, so
where the final equality defines Then
UI + ... +Ui = h
o
- hi
so
where A = UI and = 1. At this point A remains to be determined. In
the case L::o = 00, the restriction 0 hi 1 forces A = 0 and hi = 1
for all i. But if L::o < 00 then we can take A > 0 so long as
... for all i.
1.3 Hitting times and absorption probabilities 17
(1.4)
Thus the minimal non-negative solution occurs when A = (E:o Ii) -1 and
then
In this case, for i = 1,2, ... , we have hi < 1, so the population survives
with positive probability.
Here is the general result on mean hitting times. Recall that kf =
Ei(H
A
), where H
A
is the first time hits A. We use the notation
1
B
for the indicator function of B, so, for example, 1
x1
==j is the random
variable equal to 1 if Xl = j and equal to 0 otherwise.
Theorem 1.3.5. The vector of mean hitting times k
A
= (k
A
: i E I) is
the minimal non-negative solution to the system of linear equations
{
kf = 0 for i E A
kf = 1 + pijkf for i f/: A.
Proof. First we show that k
A
satisfies (1.4). If X
o
= i E A, then HA = 0,
so kf = o. If X
o
= i f/: A, then H
A
1, so, by the Markov property,
and
kt = Ei(H
A
) = L
E
i(H
A
1
X1
=j)
JEI
= LEi(H
A
I Xl = j)JP\(XI = j) = 1 + LPijkf·
JEI
Suppose now that Y = (Yi : i E I) is any solution to (1.4). Then kf = Yi = 0
for i E A. If i f/: A, then
Yi = 1 + LPijYj

= 1 + LPi
j
(l + LPjkYk)

= lP'i(H
A
1) + lP'i(H
A
2) + L L PijPjkYk·

By repeated substitution for Y in the final term we obtain after n steps
Yi = lP'i(H
A
1) + ... + lP'i(H
A
n) + L ... L PiilPilh .. 'Pjn-dnYjn'

18 1. Discrete-time Markov chains
So, if y is non-negative,
Yi 2: Wi(H
A
2: 1) +... +Wi(H
A
2: n)
and, letting n ----* 00,
Yi 2': L IP\(H
A
2': n) = JEi(H
A
) = Xi-
n==l
D
Exercises
1.3.1 Prove the claims (a), (b) and (c) made in example (v) of the Intro-
duction.
1.3.2 A gambler has £2 and needs to increase it to £10 in a hurry. He
can play a game with the following rules: a fair coin is tossed; if a player
bets on the right side, he wins a sum equal to his stake, and his stake is
returned; otherwise he loses his stake. The gambler decides to use a bold
strategy in which he stakes all his money if he has £5 or less, and otllerwise
stakes just enough to increase his capital, if he wins, to £10.
Let X
o
== 2 and let X
n
be his capital after n throws. P r o ~ e that the
gambler will achieve his aim with probability 1/5.
What is the expected number of tosses until the gambler either achieves
his aim or loses his capital?
1.3.3 A simple game of 'snakes and ladders' is played on a board of nine
squares.
1.4 Strong Markov property 19
At each turn a player tosses a fair coin and advances one or two places
according to whether the coin lands heads or tails. If you land at the foot
of a ladder you climb to the top, but if you land at the head of a snake you
slide down to the tail. How many turns on average does it take to complete
the game?
What is the probability that a player who has reached the middle square
will complete the game without slipping back to square I?
1.3.4 Let ( X n ) n ~ O be a Markov chain on {O, 1, ... } with transition proba-
bilities given by
(
i +1) 2
POI = 1, Pi,i+l +Pi,i-l = 1, Pi,i+l = -i- Pi,i-l,
i ~ 1.
Show that if X
o
= 0 then the probability that X
n
~ 1 for all n ~ 1 is 6/1T
2

1.4 Strong Markov property
In Section 1.1 we proved the Markov property. This says that for each time
m, conditional on X
m
= i, the process after time m begins afresh from
i. Suppose, instead of conditioning on X
m
= i, we simply waited for the
process to hit state i, at some random time H. What can one say about the
process after time H? What if we replaced H by a more general random
time, for example H - I? In this section we shall identify a class of random
times at which a version of the Markov property does hold. This class will
include H but not H -- 1; after all, the process after time H - 1 jumps
straight to i, so it does not simply begin afresh.
A random variable T : n ~ {O, 1,2, ... } U {(X)} is called a stopping time
if the event {T = n} depends only on X
o
, Xl, ... ,X
n
for n = 0,1,2, ....
Intuitively, by watching the process, you know at the time when T occurs.
If asked to stop at T, you know when to stop.
Examples 1.4.1
(a) The first passage time
T
j
= inf{n ~ 1 : X
n
= j}
is a stopping time because
(b) The first hitting time H
A
of Section 1.3 is a stopping time because
{H
A
= n} = {X
o
~ A, ... ,X
n
-
l
~ A,X
n
E A}.
20
(c) The last exit time
1. Discrete-time Markov chains
LA = sup{n 0 : X
n
E A}
is not in general a stopping time because the event {LA == n} depends on
whether visits A or not.
We sllall show that the Markov property holds at stopping times. The
crucial point is that, if T is a stopping time and B n is determined by
X
o
, Xl, ... ,X
T
, then B n {T == m} is determined by X
o
, Xl, ... ,X
m
, for
all m = 0, 1, 2, ....
Theorem 1.4.2 (Strong Markov property). Let be
Markov(A, P) and let T be a stopping time of Then, conditional
on T < 00 and X
T
= i, is Markov(8
i
, P) and independent of
XO,X
I
,.·. ,XT.
Proof. If B is an event determined by X
o
, Xl, ... ,X
T
, then B n {T = m}
is determined by X
o
, Xl, ... ,X
m
, so, by the Markov property at time m
lP( {X
T
= io, XT+I = il, ,XT+n = in} n B n {T = m} n {X
T
= i})
= JP>i(X
O
= io,X
I
= jl, ,X
n
= jn)JP>(B n {T = m} n{X
T
= i})
where we have used the condition T = m to replace m by T. Now sum over
m == 0, 1, 2, ... and divide by lP(T < 00, X
T
= i) to obtain
JP>( {X
T
= jo, X
T
+
I
= jl, ,X
T
+
n
= jn} n BIT < 00, X
T
= i)
= JP>i(X
O
= jo, Xl = jl, ,X
n
= jn)JP>(B I T < 00, X
T
= i). D
The following example uses the strong Markov property to get more
information on the hitting times of the chain considered in Example 1.3.3.
Example 1.4.3
Consider the Markov chain with diagram

o
q p
I( •
1
q p q p
I( •
i i + 1
1.4 Strong Markov property 21
where 0 < p = 1 - q < 1. We know from Example 1.3.3 the probability of
hitting 0 starting from 1. Here we obtain the complete distribution of the
time to hit 0 starting from 1 in terms of its probability generating function.
Set
H
j
= inf{n ~ 0 : X
n
= j}
and, for 0 ~ s < 1
</>(s) = lEI (sHo) = 2: snIP
1
(H
o
= n).
n<oo
Suppose we start at 2. Apply the strong Markov property at !II to see
that under lP
2
, conditional on HI < 00, we have H
o
= HI + H
o
, where
ii
o
, the time taken after HI to get to 0, is independent of HI and has the
(unconditioned) distribution of HI. So
E
2
(SHO) = E
2
(sHl I HI < 00)E
2
(sHO I HI < 00)JP>2(H
l
< 00)
=E2(sHI1Hl<OO)E2(sHO I HI < 00)
= E
2
(sHl)2 = ¢(s)2.
Then, by the Markov property at time 1, conditional on Xl = 2, we have
H
o
= 1 +H
o
, where H
o
, the time taken after time 1 to get to 0, has the
same distribution as H
o
does under lP
2
. So
¢(s) = El(sH
o
) = pEl (sHo I Xl = 2) +qEl(sH
o
I Xl = 0)
= pEl (sl+Ho I Xl = 2) +qEl(s I Xl = 0)
= psE
2
(sH
o
) +qs
=ps¢(s)2 +qs.
Thus ¢ = ¢(s) satisfies
pS¢2 - ¢ +qs = 0
and
(1.5)
¢ = (1 ± VI - 4pqs2)/2ps.
Since ¢(O) ~ 1 and ¢ is continuous we are forced to take the negative root
at s = 0 and stick with it for all 0 ~ s < 1.
To recover the distribution of H
o
we expand the square-root as a power
series:
</>(s) = 2 ~ S { 1- (1 + !(-4
pqs
2) + !(-lH_4
pqs
2)2/2! + ... ) }
2 3
= qs +pq s +...
= slPl(H
o
= 1) +s2lP
l
(H
o
= 2) +s3lP
l
(H
o
= 3) +....
22 1. Discrete-time Markov chains
The first few probabilities P1(H
o
= 1),P
1
(H
o
= 2), ... are readily checked
from first principles.
On letting s i 1 we have ¢(s) ~ P1(H
o
< 00), so
lI]) (Ii ) _ 1 - VI - 4pq _ { 1 if p ~ q
.1rl 0 < 00 - -
2p q/p if p > q.
(Remember that q = 1 - p, so
VI - 4pq = VI - 4p +4
p
2 = 11 - 2pl = 12q - 11.)
We can also find the mean hitting time using
It is only worth considering the case p ~ q, where the mean hitting time
has a chance of being finite. Differentiate (1.5) to obtain
2ps¢¢' +p¢2 - ¢' +q = 0
so
¢'(s) = (p¢(S)2 +q)/(l - 2ps¢(s)) ~ 1/(1 - 2p) = l/(q - p) as s i 1.
See Example 5.1.1 for a connection with branching processes.
Example 1.4.4
We now consider an application of the strong Markov property to a Markov
chain ( X n ) n ~ O observed only at certain times. In the first instance suppose
that J is some subset of the state-space I and that we observe the chain
only when it takes values in J. The resulting process ( Y m ) m ~ O may be
obtained formally by setting Y
m
= X
Trn
, where
To = inf{n ~ 0 : X
n
E J}
and, for m = 0, 1, 2, ...
T
m
+
1
= inf{n > T
m
: X
n
E J}.
Let us assume that lP(Tm < 00) = 1 for all m. For each m we can check
easily that Tm, the time of the mth visit to J, is a stopping time. So the
strong Markov property applies to show, for i
o
, ... ,im+l E J, that
P(Ym +1 = i m +1 I Yo = i o,··· , Ym = im )
= P(X
Trn
+
1
= i m +1 I X
To
= i o,··· ,X
Trn
= im)
= Pi (X
T
= i
m
+
1
) = p-. .
rn 1 't rn't rn+l
where, for i, j E J
1.4 Strong Markov property 23
(1.6)
- hi
Pii = i
and where, for j E J, the vector (h{ : i E I) is the minimal non-negative
solution to
h{ = Pij + LPik
h


Thus is a Markov chain on J with transition matrix P.
A second example of a similar type arises if we observe the original chain
only when it moves. The resulting process is given by
Zm = XS
rn
where 8
0
= 0 and for m = 0,1,2, ...
Let us assume there are no absorbing states. Again the random times 8
m
for m 0 are stopping times and, by the strong Markov property
lP(Zm+l = im+l I Zo = io,··· ,Zm = im)
= lP(X
Srn
+
1
= im+l I XS
o
= io, ... ,Xs
rn
= i
m
)
= lPirn (XS1 = i m +1 ) = Pirnirn+l
where Pii = 0 and, for i =I j
Pij = Pij/ LPik.
k=j:i
Thus is a Markov chain on I with transition matrix P.
Exercises
1.4.1 Let Y
1
, Y
2
, ••• be independent identically distributed random vari-
ables with
lP(Y
1
= 1) = lP(Y
1
= -1) = 1/2 and set X
o
= 1, X
n
= X
o
+Y
1
+... +Y
n
for n 1. Define
H
o
= inf{n 0 : X
n
= O}.
Find the probability generating function ¢(s) = E(sHO).
Suppose the distribution of Y
1
, "Y2, ... is changed to lP(Y
1
= 2) = 1/2,
lP(Y
1
= -1) = 1/2. Show that ¢ now satisfies
s¢3 - 2¢ +s = 0.
1.4.2 Deduce carefully from Theorem 1.3.2 the claim made at (1.6).
24 1. Discrete-time Markov chains
1.5 Recurrence and transience
Let ( X n ) n ~ O be a Markov chain with transition matrix P. We say that a
state i is recurrent if
lPi(X
n
= i for infinitely many n) = 1.
We say that i is transient if
IPi(X
n
= i for infinitely many n) = O.
Thus a recurrent state is one to which you keep coming back and a transient
state is one which you eventually leave for ever. We shall show that every
state is either recurrent or transient.
Recall that the first passage time to state i is the random variable T
i
defined by
Ti(W) = inf{n ~ 1 : Xn(w) = i}
where inf 0 = 00. We IIOW define inductively the rth passage time Ti(r) to
state i by
and, for r = 0,1,2, ... ,
The length of the rth excursion to i is then
{
T(r) _ T(r-I)
S ~ r ) = i i
~ 0
·f T(r-I)
1 i < 00
otherwise.
The following diagram illustrates these definitions:
X
n
i
T.(O)
~
n
1.5 Recurrence and transience 25
Our analysis of recurrence and transience will rest on finding the joint
distribution of these excursion lengths.
Lemma 1.5.1. For r = 2,3, ... , conditional on Ti(r-I) < 00, sir) is inde-
pendent of {X
m
: m Ti(r-I)} and
Proof. Apply the strong Markov property at the stopping time T = Ti(r-I).
It is automatic that X
T
= i on T < 00. So, conditional on T < 00,
is Markov(8
i
, P) and independent of X
o
, Xl, ... ,X
T
. But
sir) = inf{n 1 : X
T
+
n
= i},
so sir) is the first passage time of to state i. D
Recall that the indicator function l{xl==j} is the random variable equal
to 1 if Xl = j and 0 otherwise. Let us introduce the number of visits Vi to
i, which may be written in terms of indicator functions as
00
Vi = L l{x
n
=i}
n==O
and note that
00 00 00 00
lEi(Vi) = lEi L l{X
n
=i} = L
lE
i(l{X
n
=i}) = LlPi(Xn = i) =
n==O n==O n==O n==O
Also, we can compute the distribution of Vi under Pi in terms of the return
probability
Lemma 1.5.2. For r = 0,1,2, ... , we have Pi (Vi > r) = fi.
Proof. Observe that if X
o
= i then {Vi > r} = {Ti(r) < oo}. When r = 0
the result is true. Suppose inductively that it is true for r, then
( ) (
(r+I) )
Pi Vi > r +1 = Pi T
i
< 00
= Pi(Ti(r) < 00 and si
r
+
I
) < 00)
= Pi (Sfr+I) < 00 I Ti(r) < oo)Pi(Ti(r) < 00)
= fif; = f[+1
by Lemma 1.5.1, so by induction the result is true for all r. D
26 1. Discrete-time Markov chains
Recall that one can compute the expectation of a non-negative integer-
valued random variable as follows:
00 00 00
LP(V > r) = L L P(V = v)
r=O r=Ov=r+1
00 v-I 00
= L LP(V -="' v) = L vP(V = v) = E(V).
v=lr=O v=1
The next theorem is the means by which we establish recurrence or
transience for a given state. Note that it provides two criteria for this, one
in terms of the return probability, ttle other in terms of the n-step transition
probabilities. Both are useful.
Theorem 1.5.3. The following dichotomy holds:
(i) ifIPi(T
i
< 00) = 1, then i is recurrent and = 00;
(ii) ifIPi(T
i
< 00) < 1, then i is transient and < 00.
In particular, every state is either transient or recurrent.
Proof. If IPi(T
i
< 00) = 1, then, by Lemma 1.5.2,
IPi(Vi = 00) = lim IPi(Vi > r) = 1
r--+-oo
so i is recurrent and
00
= Ei(Vi) = 00.
n=O
On the other hand, if Ii = IPi(Ti < 00) < 1, then by Lemma 1.5.2
= Ei(Vi) = fpi(Vi > r) = fl[ = 1 . < 00
n=O r=O r=O f'l,
so IPi (Vi = 00) = 0 and i is transient. D
From this theorem we can go on to solve completely the problem of
recurrence or transience for Markov chains with finite state-space. Some
cases of infinite state-space are dealt with in the following chapter. First
we show that recurrence and transience are class properties.
Theorem 1.5.4. Let C be a communicating class. Then either all states
in C are transient or all are recurrent.
Proof. Take any pair of states i, j E C and suppose that i is transient.
There exist n, m 0 with > 0 and PJ":) > 0, and, for all r 0
(n+r+m) > (n) (r) (m)
Pii - Pij Pjj Pji
1.5 Recurrence and transience
so
~ (r) < 1 ~ (n+r+m)
LJPjj - (n) (m) LJPii < 00
r==O Pij Pji r==O
by Theorem 1.5.3. Hence j is also transient by Theorem 1.5.3. D
27
In the light of this theorem it is natural to speak of a recurrent or transient
class.
Theorem 1.5.5. Every recurrent class is closed.
Proof. Let C be a class which is not closed. Then there exist i E C, j fj. C
and m ~ 1 with
Since we have
lP
i
( {X
m
= j} n {X
n
= i for infinitely many n}) = 0
this implies that
lPi(X
n
= i for infinitely many n) < 1
so i is not recurrent, and so neither is C. D
Theorem 1.5.6. Every finite closed class is recurrent.
Proof. Suppose C is closed and finite and that ( X n ) n ~ O starts in C. Then
for some i E C we have
o< P(X
n
= i for infinitely many n)
= lP(X
n
= i for some n)Pi(X
n
= i for infinitely many n)
by the strong Markov property. This shows that i is not transient, so C is
recurrent by Theorems 1.5.3 and 1.5.4. D
It is easy to spot closed classes, so the transience or recurrence of finite
classes is easy to determine. For example, the only recurrent class in Ex-
ample 1.2.2 is {5, 6}, the others being transient. On the other hand, infinite
closed classes may be transient: see Examples 1.3.3 and 1.6.3.
We shall need the following result in Section 1.8. Remember that irre-
ducibility means that the chain can get from any state to any other, with
positive probability.
28 1. Discrete-time Markov chains
Theorem 1.5.7. Suppose P is irreducible and recurrent. Then for all
j E I we have lP(T
j
< 00) = 1.
Proof. By the Markov property we have
lP(T
j
< (0) = LlP(Xo = i)lPi(T
j
< (0)
iEI
so it suffices to show lPi (T
j
< (0) = 1 for all i E I. Choose m with p;:n) > o.
By Theorem 1.5.3, we have
1 = Pj(X
n
= j for infinitely many n)
= lPj(X
n
= j for some n m +1)
=L lPj(X
n
= j for some n m + 1 I X
m
= k)lPj(X
m
= k)
kEI
= L lPk(T
j
< oo)p;7:)
kEI
where the final equality uses the Markov property. But EkE! p;7:) = 1 so
we must have Pi(T
j
< 00) = 1. D
Exercises
1.5.1 In Exercise 1.2.1, which states are recurrent and which are transient?
1.5.2 Show that, for the Markov chain in Exercise 1.3.4 we have
lP(X
n
00 as n 00) = 1.
Suppose, instead, the transition probabilities satisfy
(
i+l)O
Pi,i+l = -i- Pi,i-l·
For each Q E (0,00) find the value of P(X
n
00 as n 00).
1.5.3 (First passage decomposition). Denote by T
j
the first passage
time to state j and set
Justify the identity
n

= '"'
I) I) ))
k==l
for n 1
1.6 Recurrence and transience of random walks
and deduce that
where
29
CX)
Pij(s) =
n==O
00
F
ij
(s) = L sn·
n==O
Hence show that Pi (T
i
< 00) = 1 if and only if
00
= 00
n==O
without using Theorem 1.5.3.
1.5.4 A random sequence of non-negative integers is obtained by
setting F
o
= 0 and F
1
= 1 and, once F
o
, ... ,F
n
are known, taking F
n
+
1
to
be either the sum or the difference of F
n
-
1
and F
n
, each with probability
1/2. Is a Markov chain?
By considering the Markov chain X
n
= (F
n
-
1
, F
n
), find the probability
that reaches 3 before first returning to O.
Draw enough of the flow diagram for to establish a general
pattern. Hence, using the strong Markov property, show that the hitting
probability for (1,1), starting from (1,2), is (3 - V5)/2.
Deduce that is transient. Show that, moreover, with probability
1, F
n
00 as n 00.
1.6 Recurrence and transience of random walks
In the last section we showed that recurrence was a class property, that all
recurrent classes were closed and that all finite closed classes were recurrent.
So the only chains for which the question of recurrence remains interesting
are irreducible with infinite state-space. Here we shall study some simple
and fundamental examples of this type, making use of the following criterion
for recurrence from Theorem 1.5.3: a state i is recurrent if and only if
(n)_
L..Jn==O Pii - 00.
Example 1.6.1 (Simple random walk on Z)
The simple random walk on Z has diagram
i-I
q P
... ...
i i+l
30 1. Discrete-time Markov chains
where 0 < P = 1 - q < 1. Suppose we start at O. It is clear that we cannot
return to 0 after an odd number of steps, so = 0 for all n. Any
given sequence of steps of length 2n from 0 to 0 occurs with probability
pnqn, there being n steps up and n steps down, and the number of such
sequences is the number of ways of choosing the n steps up from 2n. Thus
(2n) (2n) n n
Poo = p q .
n
Stirling's formula provides a good approximation to n! for large n: it is
known that

where an rv b
n
means an/b
n
1. For a proof see W. Feller, An Introduction
to Probability Theory and its Applications, Vol I (Wiley, New York, 3rd
edition, 1968). At the end of this chapter we reproduce the argument used
by Feller to show that

for some A E [1,00). The additional work needed to show A = y'2;IT is
omitted, as this fact is unnecessary to our applications.
For the n-step transition probabilities we obtain
(2n) _ (2n)! ( )n rv (4pq)n
Poo - (n!)2 pq AJn/2
as n 00.
In the symmetric case p = q = 1/2, so 4pq = 1; then for some N and all
n N we have
(2n) > 1
Poo - 2AVii
so
(2n) > --.!... _1 _
Poo - 2A Vii - 00
which shows that the random walk is recurrent. On the other hand, if p =I q
then 4pq = r < 1, so by a similar argument, for some N
00 1 00
'"" p(n) < _ '"" r
n
< 00
00 -A
n==N n=N
showing that the random walk is transient.
1.6 Recurrence and transience of random walks
Example 1.6.2 (Simple symmetric random walk on Z2)
The simple symmetric random walk on Z2 has diagram
1
1
:4
:4
......
,
1
1 , ~
:4
:4
31
and transition probabilities
{
1/4 ifli-jl==l
Pij == 0 otherwise.
Suppose we start at o. Let us call the walk X
n
and write X ~ and X; for
the orthogonal projections of X
n
on the diagonal lines y == ±x:
X+
n
Then X ~ and X; are independent simple symmetric random walks on
2-
1
/
2
Z and X
n
== 0 if and only if X ~ == 0 == X;. This makes it clear that
for X
n
we have
(2n)
Poo ==
a s n ~ o o
32 1. Discrete-time Markov chains
by Stirling's formula. Then E::o = 00 by comparison with E::o l/n
and the walk is recurrent.
Example 1.6.3 (Simple symmetric random walk on Z3)
The transition probabilities of the simple symmetric random walk on Z3
are given by
P
.. _ {1/6 if Ii - jl = 1
'1,) -
o otherwise.
Thus the chain jumps to each of its nearest neighbours with equal probabil-
ity. Suppose we start at O. We can only return to 0 after an even number
2n of steps. Of these 2n steps there must be i up, i down, j north, j south,
k east and k west for some i,j, k 0, with i +j +k = n. By counting the
ways in which this can be done, we obtain
(2n) _
Poo -
Now

i+j+k=n
(2n)!
(
., ·'k')2
..

i+j+k=n

i+j+k=n
the left-hand side being the total probability of all the ways of placing n
balls randomly into three boxes. For the case where n = 3m, we have
(
n ) n! (n)
ij k = i!j!k! mmm
for all i, j, k, so
3/2

by Stirling's formula. Hence, E:=o < 00 by comparison with
,",00 -3/2 B t (6m) > (1/6)2 (6m-2) d (6m) > (1/6)4 (6m-4) £
L...Jn=O n . u Poo Poo an Poo _ Poo or
all m so we must have
and the walk is transient.
Exercises
1. 7 Invariant distributions 33
1.6.1 The rooted binary tree is an infinite graph T with one distinguished
vertex R from which comes a single edge; at every other vertex there are
three edges and there are no closed loops. The random walk on T jumps
from a vertex along each available edge with equal probability. Show that
the random walk is transient. \
1.6.2 Show that the simple symmetric random walk in Z4 is transient.
1.7 Invariant distributions
Many of the long-time properties of Markov chains are connected with the
notion of an invariant distribution or measure. Remember that a measure
A is any row vector (Ai : i E I) with non-negative entries. We say A is
invariant if
AP == A.
The terms equilibrium and stationary are also used to mean the same. The
first result explains the term stationary.
Theorem 1.7.1. Let be Markov(A,P) and suppose that A is in-
variant for P. Then is also Markov(A, P).
Proof. By Theorem 1.1.3, P(X
m
== i) == (Apm)i == Ai for all i and, clearly,
conditional on X
m
+
n
== i, X
m
+
n
+
1
is independent of X
m
, X
m
+
1
, ... ,X
m
+
n
and has distribution (Pij : j E I). D
The next result explains the term equilibrium.
Theorem 1.7.2. Let I be finite. Suppose for some i E I that
---t 7rj as n ---t 00 for all j E I.
Then 7r == (7rj : j E I) is an invariant distribution.
Proof. We have
L L
1
· (n) 1· L (n) 1
7rj == 1m P- - == 1m P- - ==

jEI jEI jEI
and
1
· (n) 1· L (n) L 1· (n) L
7rj == 1m P- - == 1m P-k Pkj == 1m P-k Pkj == 7rkPkj

kEI kEI kEI
34 1. Discrete-time Markov chains
where we have used finiteness of I to justify interchange of summation and
limit operations. Hence 7r is an invariant distribution. D
Notice that for any of the random walks discussed in Section 1.6 we have
---t 0 as n ---t 00 for all i, j E I. The limit is certainly invariant, but it
is not a distribution!
Theorem 1.7.2 is not a very useful result but it serves to indicate a rela-
tionship between invariant distributions and n-step transition probabilities.
In Theorem 1.8.3 we shall prove a sort of converse, which is much more
useful.
Example 1.7.3
Consider the two-state Markov chain with transition matrix
(
l-a
p-
- (3
Ignore the trivial cases 0: = (3 = 0 and 0: = (3 = 1. Then, by Example 1.1.4
pn ((3/(a +(3)
(3/(a +(3)
a/(a +(3))
a/(a +(3)
as n 00,
so, by Theorem 1.7.2, the distribution ((3/(0: + (3),0:/(0: + (3)) must be
invariant. There are of course easier ways to discover this.
Example 1.7.4
Consider the Markov chain with diagram
1
3
1
2
2
To find an invariant distribution we write down the components of the
vector equation 7rP = 7r
7rl =
1 1
7r2 = 27r1 + 2
7r3
_ 1 1
7r3 - 27r2 + 2
7r3
·
1. 7 Invariant distributions 35
In terms of the chain, the right-hand sides give the probabilities for Xl,
when X
o
has distribution 7r, and the equations require Xl also to have
distribution 7r. The equations are homogeneous so one of them is redundant,
and another equation is required to fix 7r uniquely. That equation is
and we find that 7r = (1/5,2/5,2/5).
According to Example 1.1.6
p i ~ ) ~ 1/5 as n ~ 00
so this confirms Theorem 1.7.2. Alternatively, knowing that p ~ ~ ) had the
form
(n) (l)n ( n7r . n7r)
PII = a + 2 bcos 2 + CSln 2
we could have used Theorem 1.7.2 and knowledge of 7r1 to identify a = 1/5,
instead of working out p ~ ; ) in Example 1.1.6.
In the next two results we shall show that every irreducible and recurrent
stochastic matrix P has an essentially unique positive invariant measure.
The proofs rely heavily on the probabilistic interpretation so it is worth
noting at the outset that, for a finite state-space I, the existence of an
invariant row vector is a simple piece of linear algebra: the row sums of P
are alII, so the column vector of ones is an eigenvector with eigenvalue 1,
so P must have a row eigenvector with eigenvalue 1.
For a fixed state k, consider for each i the expected time spent in i between
visits to k:
Tk- l
')'f = lEk L l{x
n
=i}'
n=O
Here the sum of indicator functions serves to count the number of times n
at which X
n
= i before the first passage time T
k
.
Theorem 1.7.5. Let P be irreducible and recurrent. Then
(i) l ' ~ = 1;
(ii) l'k = (l'f : i E I) satisfies l'k P = l'k ;
(iii) 0 < Tf < 00 for all i E I.
Proof. (i) This is obvious. (ii) For n = 1,2, ... the event {n ::; Tk} depends
only on X
o
, Xl, . .. ,X
n
-
l
, so, by the Markov property at n - 1
36 1. Discrete-time Markov chains
Since P is recurrent, under IPk we have Tk < 00 and X
o
= X
Tk
= k with
probability one. Therefore
Tk 00
,j = lEk L l{x
n
=j} = lEk L l{X
n
=j and nSTd
n=l n=l
00
= L JP>k(X
n
= j and n ~ Tk)
n=l
00
= L L JP>k(X
n
-
1
= i, X
n
= j and n ~ Tk)
iEI n=l
00
= LPij L JP>k(X
n
-
1
= i and n ~ Tk)
iEI n=l
00
=LpijlEk L l{X
tn
=i and msTk- 1}
iEI m=O
Tk- 1
= LPijlEk L l{X
tn
=i} = L ,fpij.
iEI m=O iEI
(iii) Since P is irreducible, for each state i there exist n, m ~ 0 with
(n) (m) 0 Th k k (m) 0 d k (n) k b () d
Pik ,Pki >. en ~ i ~ ~ k P k i > an ~ i Pik ~ ~ k = 1 Y i an
(ii). D
Theorem 1.7.6. Let P be irreducible and let A be an invariant measure
for P with Ak = 1. Then A ~ ~ k . If in addition P is recurrent, then A = ~ k .
Proof. For each j E I we have
Aj = L AioPioj = L AioPioj + Pkj
ioEI io#k
= L Ai1Pi
1
ioPioj + (Pk
j
+ L PkioPiOj )
io,il#k io#k
L AinPinin-l · · · Pioj
i
o
,... ,in=j:k
+ (Pk
j
+ L PkioPioj + · · · + L Pkin-l · · · PilioPioj )
io#k io, ... ,in-l#k
~ IPk(X
1
= j and Tk ~ 1) +IPk(X2 = j and Tk ~ 2)
+... +IPk(X
n
=j and Tk ~ n)
~ ~ j as n ~ 00.
1. 7 Invariant distributions 37
So A If P is recurrent, then is invariant by Theorem 1.7.5, so
J-l = A - is also invariant and /-l O. Since P is irreducible, given i E I,
h
(n) 0 £ dO'" (n) (n)
we ave Pik > or some n, an = /-lk = LJjEI /-ljPjk /-liPik , so
J-li = O. 0
Recall that a state i is recurrent if
IPi(X
n
= i for infinitely many n) = 1
and we showed in Theorem 1.5.3 that this is equivalent to
If in addition the expected return time
is finite, then we say i is positive recurrent. A recurrent state which fails to
have this stronger property is called null recurrent.
Theorem 1.7.7. Let P be irreducible. Then the following are equivalent:
(i) every state is positive recurrent;
(ii) some state i is positive recurrent;
(iii) P has an invariant distribution, 7r say.
Moreover, when (iii) holds we have mi = 1/7ri for all i.
Proof. (i) => (ii) This is obvious.
(ii) => (iii) If i is positive recurrent, it is certainly recurrent, so P is recur-
rent. By Theorem 1.7.5, is then invariant. But
= mi < 00
jEI
so 7rj = / mi defines an invariant distribution.
(iii) => (i) Take any state k. Since P is irreducible and EiEI 7ri = 1 we have
7rk = EiEI > 0 for some n. Set Ai = 7ri/7rk. Then A is an invariant
measure with Ak = 1. So by Theorem 1.7.6, A Hence
L
k L 7ri 1
mk = - = - < 00
7r 7r
iEI iEI k k
and k is positive recurrent.
(1.7)
38 1. Discrete-time Markov chains
To complete the proof we return to the argument for (iii) => (i) armed
with the knowledge that P is recurrent, so A = ~ k and the inequality (1.7)
is in fact an equality. 0
Example 1.7.8 (Simple symmetric random walk on Z)
The simple symmetric random walk on Z is clearly irreducible and, by
Example 1.6.1, it is also recurrent. Consider the measure
7ri = 1 for all i.
Then
so 7r is invariant. Now Theorem 1.7.6 forces any invariant measure to be
a scalar multiple of 7r. Since LiEZ 7ri = 00, there can be no invariant
distribution and the walk is therefore null recurrent, by Theorem 1.7.7.
Example 1.7.9
The existence of an invariant measure does not guarantee recurrence: con-
sider, for example, the simple symmetric random walk on Z3, which is
transient by Example 1.6.3, but has invariant measure 7r given by 7ri = 1
for all i.
Example 1.7.10
Consider the asymmetric random walk on Z with transition probabilities
Pi,i-l = q < P = Pi,i+l· In components the invariant measure equation
7rP = 7r reads
This is a recurrence relation for 7r with general solution
So, in this case, there is a two-parameter family of invariant measures -
uniqueness up to scalar multiples does not hold.
Example 1.7.11
Consider a success-run chain on Z+ , whose transition probabilities are given
by
Pi,i+l = Pi, PiO = qi = 1 - Pi·
1. 7 Invariant distributions
Then the components of the invariant measure equation 7rP = 7r read
00
1ro = L qi
1r
i,
i=O
7ri = Pi-l7ri-l, for i ~ 1.
Suppose we choose Pi converging sufficiently rapidly to 1 so that
00
P = IIpi > 0
i=O
which is equivalent to
00
Lqi = 00.
i=O
Then for any solution of 7rP = 7r we have
and so
00
1ro ~ JJ7ro L qi·
i=O
39
This last equation forces either 7ro = 0 or 7ro = 00, so there is no invariant
measure.
Exercises
1.7.1 Find all invariant distributions of the transition matrix in Exercise
1.2.1.
1.7.2 Gas molecules move about randomly in a box which is divided into two
halves symmetrically by a partition. A hole is made in the partition. Sup-
pose there are N molecules in the box. Show that the number of molecules
on one side of the partition just after a molecule has passed through the hole
evolves as a Markov chain. What are the transition probabilities? What is
the invariant distribution of this chain?
1.7.3 A particle moves on the eight vertices of a cube in the following
way: at each step the particle is equally likely to move to each of the three
adjacent vertices, independently of its past motion. Let i be the initial
vertex occupied by the particle, 0 the vertex opposite i. Calculate each of
the following quantities:
40 1. Discrete-time Markov chains
(i) the expected number of steps until the particle returns to i;
(ii) the expected number of visits to 0 until the first return to i;
(iii) the expected number of steps until the first visit to o.
1.7.4 Let be a simple random walk on Z with Pi,i-l = q < P =
Pi,i+l. Find
(
TO-l )
,f = lEo L l{x
n
=i}
n=O
and verify that
= inf Ai for all i
A
where the infimum is taken over all invariant measures A with Ao 1.
(Compare with Theorem 1.7.6 and Example 1.7.10.)
1.7.5 Let P be a stochastic matrix on a finite set I. Show that a distribution
7r is invariant for P if and only if 7r(I -P+A) = a, where A = (aij : i,j E I)
with aij = 1 for all i and j, and a = (ai : i E I) with ai = 1 for all i. Deduce
that if P is irreducible then I -P+A is invertible. Note that this enables one
to compute the invariant distribution by any standard method of inverting
a matrix.
1.8 Convergence to equilibrium
We shall investigate the limiting behaviour of the n-step transition proba-
bilities as n 00. As we saw in Theorem 1.7.2, if the state-space is
finite and if for some i the limit exists for all j, then it must be an invariant
distribution. But, as the following example shows, the limit does not always
exist.
Example 1.8.1
Consider the two-state chain with transition matrix

Then p2 = I, so p2n = I and p
2n
+l = P for all n. Thus fails to
converge for all i, j.
Let us call a state i aperiodic if > 0 for all sufficiently large n. We
leave it as an exercise to show that i is aperiodic if and only if the set
{n 2:: 0 : > O} has no common divisor other than 1. This is also
a consequence of Theorem 1.8.4. The behaviour of the chain in Example
1.8.1 is connected with its periodicity.
1.8 Convergence to equilibrium 41
Lemma 1.8.2. Suppose P is irreducible and has an aperiodic state i.
Then, for all states j and k, > 0 for all sufflciently large n. In particular,
all states are aperiodic.
P
,I Th · > 0 · h (r) (s) 0 Th
rooJ. ere eXIst r, S _ WIt Pji' Pik >. en
(r+n+s) > (r) (n) (s) > 0
Pjk - Pji Pii Pik
for all sufficiently large n. 0
Here is the main result of this section. The method of proof, by coupling
two Markov chains, is ingenious.
Theorem 1.8.3 (Convergence to equilibrium). Let P be irreducible
and aperiodic, and suppose that P has an invariant distribution 7r. Let A
be any distribution. Suppose that is Markov(A, P). Then
P(X
n
= j) 7rj as n 00 for all j.
In particular,
---t 'lrj as n ---t 00 for all i, j.
Proof. We use a coupling argument. Let be Markov(7r, P) and
independent of Fix a reference state b and set
T = inf{n 2:: 1 : X
n
= Y
n
= b}.
Step 1. We show P(T < 00) = 1. The process W
n
= (X
n
, Y
n
) is a Markov
chain on I x I with transition probabilities
P(i,k)(j,l) = PijPkl
and initial distribution
jj(i,k) = Ai
7r
k.
Since P is aperiodic, for all states i, j, k, l we have
(n) (n) 0
P(i,k)(j,l) = Pij Pkl >
for all sufficiently large n; so P is irreducible. Also, P has an invariant
distribution given by
7r(i,k) = 7ri7rk
so, by Theorem 1.7.7, P is positive recurrent. But T is the first passage
time of W
n
to (b, b) so P(T < 00) = 1, by Theorem 1.5.7.
42 1. Discrete-time Markov chains
Step 2. Set
ifn < T
if n T.
The diagram below illustrates the idea. We show that is
Markov(;\, P).
I
n
The strong Markov property applies to at time T, so
(XT+n, is Markov(8(b,b), P) and independent of (X
o
, Yo),
(XI, YI), . .. , (XT, YT ) . By symmetry, we can replace the process
(XT+n, by (Y
T
+
n
, which is also Markov(8(b,b), P) and
remains independent of (X
o
, Yo), (Xl, YI), ... ,(X
T
, YT). Hence =
(Zn, is Markov(j.t, P) where
, { Y
n
Z =
n X
n
ifn < T
if n 2 T.
In particular, is Markov(;\, P).
Step 3. We have
lP(Zn = j) = lP(X
n
= j and n < T) +lP(Y
n
= j and n 2 T)
so
IlP(X
n
= j) - 7rjl = IlP(Zn = j) -lP(Y
n
= j)1
= IlP(X
n
= j and n < T) -lP(Y
n
= j and n < T)I
lP(n < T)
and P(n < T) 0 as n 00. D
1.8 Convergence to equilibrium 43
To understand this proof one should see what goes wrong when P is
not aperiodic. Consider the two-state chain of Example 1.8.1 which has
(1/2, 1/2) as its unique invariant distribution. We start from 0
and with equal probability from 0 or 1. However, if Yo = 1, then,
because of periodicity, and will never meet, and the proof
fails. We move on now to the cases that were excluded in the last theorem,
where is periodic or transient or null recurrent. The remainder of
this section might be omitted on a first reading.
Theorem 1.8.4. Let P be irreducible. There is an integer d 1 and a
partition
I = Co U C
1
U ... U Cd-1
such that (setting Cnd+r = Cr)
(i) > 0 only if i E C
r
and j E C
r
+
n
for some r;
(ii) > 0 for all sufficiently large n, for all i,j E C
r
, for all r.
Proof. Fix a state k and consider S = {n 0 : > O}. Choose n1, n2 E S
with n1 < n2 and such that d := n2 - n1 is as small as possible. (Here and
throughout we use the symbol := to mean 'defined to equal'.) Define for
r = 0, ... ,d-1
C {
. I (nd+r) £ O}
r = E : Pki > 0 or some n .
Then Co U ... U Cd-1 = I, by irreducibility. Moreover, if > 0 and
> 0 for some r, S E {O, 1, ... ,d - I}, then, choosing m 0 so that
> 0, we have > 0 and > 0 so r = s by minimality
of d. Hence we have a partition.
To prove (i) suppose > 0 and i E Cr. Choose m so that > 0,
then > 0 so j E C
r
+
n
as required. By taking i = j = k we now
see that d must divide every element of S, in particular n1.
Now for nd we can write nd = qn1 + r for integers q n1 and
o r n1 - 1. Since d divides n1 we then have r = md for some integer
m and then nd = (q - m)n1 +mn2. Hence
and hence nd E S. To prove (ii) for i, j E C
r
choose m1 and m2 so that
> 0 and > 0, then
44 1. Discrete-time Markov chains
whenever nd Since ml +m2 is then necessarily a multiple of d, we
are done. D
We call d the period of P. The theorem just proved shows in particular for
all i E I that d is the greatest common divisor of the set {n 0 : > O}.
This is sometimes useful in identifying d.
Finally, here is a complete description of limiting behaviour for irre-
ducible chains. This generalizes Theorem 1.8.3 in two respects since we
require neither aperiodicity nor the existence of an invariant distribution.
The argument we use for the null recurrent case was discovered recently by
B. Fristedt and L. Gray.
Theorem 1.8.5. Let P be irreducible of period d and let Co, C
1
, ... ,Cd-l
be the partition obtained in Theorem 1.8.4. Let A be a distribution with
LiEC
o
Ai = 1. Suppose that is Markov(A, P). Then for r =
0,1, ... ,d - 1 and j E C
r
we have
P(X
nd
+
r
= j) dlmj as n 00
where mj is the expected return time to j. In particular, for i E Co and
j E C
r
we have
Proof
(nd+r) dl
Pij mj
as n 00.
Step 1. We reduce to the aperiodic case. Set v = Apr, then by Theorem
1.8.4 we have
Set Y
n
= Xnd+r, then is Markov(v, pd) and, by Theorem 1.8.4, pd
is irreducible and aperiodic on Cr. For j E C
r
the expected return time of
to j is mjld. So if the theorem holds in the aperiodic case, then
P(Xnd+r = j) = P(Y
n
= j) dlmj as n 00
so the theorem holds in general.
Step 2. Assume that P is aperiodic. If P is positive recurrent then 1/mj =
1rj, where 1r is the unique invariant distribution, so the result follows from
Theorem 1.8.3. Otherwise mj = 00 and we have to show that
P(X
n
= j) 0 as n 00.
1.8 Convergence to equilibrium 45
If P is transient this is easy and we are left with the null recurrent
case.
Step 3. Assume that P is aperiodic and null recurrent. Then
00
:EPj(Tj > k) = lEj(Tj) = 00.
k=O
Given € > 0 choose K so that
Then, for n K - 1
n
1 :E P(Xk = j and X
m
1= j for m = k + 1, ... ,n)
k=n-K+l
n
L P(X
k
= j)Pj(Tj > n - k)
k=n-K+l
K-l
= :E P(Xn-k = j)Pj(Tj > k)
k=O
so we must have P(X
n
-
k
= j) €/2 for some k E {O, 1, ... ,K - I}.
Return now to the coupling argument used in Theorem 1.8.3, only now let
be Markov(j.t, P), where j.t is to be chosen later. Set W
n
= (X
n
, Y
n
).
As before, aperiodicity of ensures irreducibility of If
is transient then, on taking j.t = A, we obtain
P(X
n
= j)2 = P(W
n
= (j, j)) 0
as required. Assume then that is recurrent. Then, in the notation
of Theorem 1.8.3, we have P(T < 00) = 1 and the coupling argument shows
that
IP(X
n
= j) - P(Y
n
= j)1 0 as n 00.
We exploit this convergence by taking j.t = Ap
k
for k = 1, ... ,K- 1, so
that P(Y
n
= j) = P(X
n
+
k
= j). We can find N such that for n 2:: Nand
k = 1, ... ,K -1,
IP(Xn = j) - P(Xn+k = j)1 ::; ·
46 1. Discrete-time Markov chains
But for any n we can find k E {O, 1, ... ,K - I} such that P(X
n
+
k
= j) ~
c/2. Hence, for n ~ N
P(X
n
= j) ~ c.
Since c > 0 was arbitrary, this shows that lP(X
n
= j) ~ 0 as n ~ 00, as
required. D
Exercises
1.8.1 Prove the claims (e), (f) and (g) made in example (v) of the Intro-
duction.
1.8.2 Find the invariant distributions of the transition matrices in Exercise
1.1.7, parts (a), (b) and (c), and compare them with your answers there.
1.8.3 A fair die is thrown repeatedly. Let X
n
denote the sum of the first n
throws. Find
lim P(X
n
is a multiple of 13)
n--+-oo
quoting carefully any general theorems that you use.
1.8.4 Each morning a student takes one of the three books he owns from
his shelf. The probability that he chooses book i is Qi, where 0 < Qi < 1 for
i = 1,2,3, and choices on successive days are independent. In the evening
he replaces the book at the left-hand end of the shelf. If Pn denotes the
probability that on day n the student finds the books in the order 1,2,3,
from left to right, show that, irrespective of the initial arrangement of the
books, Pn converges as n ~ 00, and determine the limit.
1.8.5 (Renewal theorem). Let Y
1
, Y
2
, ••• be independent, identically
distributed random variables with values in {I, 2, ... }. Suppose that the
set of integers
{n : P(Y
1
= n) > I}
has greatest common divisor 1. Set J-l = E(Y
1
). Show that the following
process is a Markov chain:
X
n
= inf{m ~ n: m = Y
1
+ ... +Y
k
for some k ~ O} - n.
Determine
lim lP(X
n
= 0)
n--+-oo
and hence show that as n ~ 00
P(n = Y
1
+ ... +Y
k
for some k ~ 0) ~ 1/J-l.
1.9 Time reversal 47
(Think of Y
I
, Y
2
, • •• as light-bulb lifetimes. A bulb is replaced when it fails.
Thus the limiting probability that a bulb is replaced at time n is 1/J-l. Al-
though this appears to be a very special case of convergence to equilibrium,
one can actually recover the full result by applying the renewal theorem to
the excursion lengths ... from state i.)
1.9 Time reversal
For Markov chains, the past and future are independent given the present.
This property is symmetrical in time and suggests looking at Markov chains
with time running backwards. On the other hand, convergence to equilib-
rium shows behaviour which is asymmetrical in time: a highly organised
state such as a point mass decays to a disorganised one, the invariant dis-
tribution. This is an example of entropy increasing. It suggests that if
we want complete time-symmetry we must begin in equilibrium. The next
result shows that a Markov chain in equilibrium, run backwards, is again a
Markov chain. The transition matrix may however be different.
Theorem 1.9.1. Let P be irreducible and have an invariant distribution
1r. Suppose that is Markov(1T', P) and set Y
n
= X
N
-
n
. Then
is MarkovCrr, P), where P= (Pij) is given by
1rjPji = 1riPij for all i, j
and P is also irreducible with invariant distribution 1r.
Proof. First we check that Pis a stochastic matrix:
since 1r is invariant for P. Next we check that 1r is invariant for P:
L 1rjPji = L 1riPij = 1ri
JEI JEI
since P is a stochastic matrix.
We have
P(YO= io, Y
I
= i
l
,··· ,YN = iN)
= P(Xo = iN, Xl = iN-I,·.· ,XN = io)
= 1riNPiNiN-1 ... P i 1io = 1rioPioi1 ... PiN-1iN
48 1. Discrete-time Markov chains
so, by Theorem 1.1.1, is Markov(7r, P). Finally, since P is
irreducible, for each pair of states i, j there is a chain of states io =
i,il, ... ,in-1,i
n
=j withpioil ... Pin-li
n
> O. Then
Pinin-l ... Pil io = 7rioPioil ... Pin-l in /
7r
i
n
> 0
so Pis also irreducible. D
The chain is called the time-reversal of
A stochastic matrix P and a measure A are said to be in detailed balance
if
AiPij = AjPji for all i, j.
Though obvious, the following result is worth remembering because, when
a solution A to the detailed balance equations exists, it is often easier to
find by the detailed balance equations than by the equation A = AP.
Lemma 1.9.2. If P and A are in detailed balance, then A is invariant for
P.
Proof· We have (AP)i = LjE! AjPji = LjE! AiPij = Ai· D
Let be Markov(A, P), with P irreducible. We say that
is reversible if, for all N 1, is also Markov(A, P).
Theorem 1.9.3. Let P be an irreducible stochastic matrix and let A be
a distribution. Suppose that is Markov(A, P). Then the following
are equivalent:
(a) is reversible;
(b) P and A are in detailed balance.
Proof. Both (a) and (b) imply that A is invariant for P. Then both (a) and
(b) are equivalent to the statement that P= P in Theorem 1.9.1. D
We begin a collection of examples with a chain which is not reversible.
Example 1.9.4
Consider the Markov chain with diagram:
1
3
2
3
2
The transition matrix is
1.9 Time reversal
(
0 2/3 1/3)
p= 1/3 0 2/3
2/3 1/3 0
49
and 1r = (1/3, 1/3, 1/3) is invariant. Hence P = pT, the transpose of P.
But p is not symmetric, so P =I P and this chain is not reversible. A
patient observer would see the chain move clockwise in the long run: under
time-reversal the clock would run backwards!
Example 1.9.5
Consider the Markov chain with diagram:
P
. ~
o 1
q P
I I ( . ~
i-I i i+l
q
• II( •
M-l M
where 0 < P = 1 - q < 1. The non-zero detailed balance equations read
AiPi,i+l = Ai+lPi+l,i for i = 0, 1, ... ,M - 1.
So a solution is given by
A= ((p/q)i : i = 0, 1, ... ,M)
and this may be normalised to give a distribution in detailed balance with
P. Hence this chain is reversible.
If P were much larger than q, one might argue that the chain would tend
to move to the right and its time-reversal to the left. However, this ignores
the fact that we reverse the chain in equilibrium, which in this case would
be heavily concentrated near M. An observer would see the chain spending
most of its time near M and making occasional brief forays to the left,
which behaviour is symmetrical in time.
Example 1.9.6 (Random walk on a graph)
A gr.aph G is a countable collection of states, usually called vertices, some
of which are joined by edges, for example:
50 1. Discrete-time Markov chains
1
4
2
3
Thus a graph is a partially drawn Markov chain diagram. There is a natural
way to complete the diagram which gives rise to the random walk on G.
The valency Vi of vertex i is the number of edges at i. We have to assume
that every vertex has finite valency. The random walk on G picks edges
with equal probability:
1
1
2
1
3
4
1
2
1
3
1
3
1
2
2
1
3
1
2
3
Thus the transition probabilities are given by
if (i, j) is an edge
otherwise.
We assume G is connected, so that P is irreducible. It is easy to see that
P is in detailed balance with V == (Vi : i E G). So, if the total valency
a == LiEG Vi is finite, then 1r == V / a is invariant and P is reversible.
Example 1.9.7 (Random chessboard knight)
A random knight makes each permissible move with equal probability. If it
starts in a corner, how long on average will it take to return?
This is an example of a random walk on a graph: the vertices are the
squares of the chessboard and the edges are the moves that the knight can
take:
1.9 Time reversal 51
The diagram shows a part of the graph. We know by Theorem 1.7.7 and
the preceding example that
so all we have to do is identify valencies. The four corner squares have
valency 2, and the eight squares adjacent to the corners have valency 3.
There are 20 squares of valency 4, 16 of valency 6, and the 16 central
squares have valency 8. Hence
lEc(T
c
) = 8 + 24 + 80 + 96 + 128 = 168.
2
Alternatively, if you enjoy solving sets of 64 simultaneous linear equations,
you might try finding 1r from 1rP == 1r, or calculating lEe (T
e
) using Theorem
1.3.5!
Exercises
1.9.1 In each of the following cases determine whether the stochastic matrix
P, which you may assume is irreducible, is reversible:
(a)
p ) .
l-q ,
(b)
(c) 1== {O,l, ... ,N} a n d p ~ J == 0 if Ij -il2:: 2;
52 1. Discrete-time Markov chains
(d) I = {a, 1,2, ... } and POI = 1, Pi,i+l = P, Pi,i-l = 1 - P for i 2:: 1;
(e) Pij = Pji for all i,j E S.
1.9.2 Two particles X and Y perform independent random walks on the
graph shown in the diagram. So, for example, a particle at A jumps to B,
C or D with equal probability 1/3.
D p--_.......
B
C ~ - - - " I I
E
Find the probability that X and Y ever meet at a vertex in the following
cases:
(a) X starts at A and Y starts at B;
(b) X starts at A and Y starts at E. For I = B, DIet MI denote the
expected time, when both X and Y start at I, until they are once
again both at I. Show that 9MD = 16MB.
1.10 Ergodic theorem
Ergodic theorems concern the limiting behaviour of averages over time.
We shall prove a theorem which identifies for Markov chains the long-run
proportion of time spent in each state. An essential tool is the following
ergodic theorem for independent random variables which is a version of the
strong law of large numbers.
Theorem 1.10.1 (Strong law of large numbers). Let Y
I
, Y
2
, ... be
a sequence of independent, identically distributed, non-negative random
1.10 Ergodic theorem
variables with JE(Y
1
) = jj. Then
11']) (Yl + ... +Y
n
) 1
c = .
n
53
Proof. A proof for the case J_l < 00 may be found, for example, in Probability
with Martingales by David Williams (Cambridge University Press, 1991).
The case where J_l = 00 is a simple deduction. Fix N < 00 and set yJN) =
YnAN. Then
(N) (N)
Y
1
+ ···+Y
n
> Y
1
+ ···+Y
n
_ ---t E(Y
1
/\ N)
n n

with probability one. As N i 00 we have E(YI A N) i J_l by monotone
convergence (see Section 6.4). So we must have, with probability 1
Y
1
+ ... + Y
n

n
as n 00.
D
We denote by Vi (n) the number of visits to i before n:
n-l
Vi(n) = L l{xk=i}'
k=O
Then Vi (n )/ n is the proportion of time before n spent in state i. The
following result gives the long-run proportion of time spent by a Markov
chain in each state.
Theorem 1.10.2 (Ergodic theorem). Let P be irreducible and let .x
be any distribution. If (Xn)n?O is Markov(.x, P) then
]p> (Vi (n) ---t ...!- as n ---t 00) = 1
n mi
where mi = Ei(T
i
) is the expected return time to state i. Moreover, in the
positive recurrent case, for any bounded function f : I lR we have
where
and where (7ri : i E I) is the unique invariant distribution.
54 1. Discrete-time Markov chains
Proof. If P is transient, then, with probability 1, the total number Vi of
visits to i is finite, so
Vi(n) < Vi -t 0 = ...!-.
n - n mi
Suppose then that P is recurrent and fix a state i. For T = T
i
we have
P(T < 00) = 1 by Theorem 1.5.7 and is Markov(8
i
, P) and
independent of X
o
, Xl, . .. ,X
T
by the strong Markov property. The long-
run proportion of time spent in i is the same for (XT+n)n>O and (Xn)n>O,
- -
so it suffices to consider the case A = bi.
Write sir) for the length of the rth excursion to i, as in Section 1.5. By
Lemma 1.5.1, the non-negative random variables S;l), 8;2), ... are indepen-
dent and identically distributed with Ei(S;r)) = mi. Now

+ + < - 1
't ••• 't _n,
the left-hand side being the time of the last visit to i before n. Also
the left-hand side being the time of the first visit to i after n - 1. Hence
S;l) + ... + n S;l) + ... +
Vi(n) :::; Vi(n) < Vi(n) (1.8)
By the strong law of large numbers

+ + )
JP> • -t mi as n -t 00 = 1
and, since P is recurrent
P(Vi(n) 00 as n 00) = 1.
So, letting n 00 in (1.8), we get
JP> (Vi7n) -t mi as n -t 00) = 1,
which implies
P (Vi(n) -t ...!- as n -t (0) = 1.
n mi
1.10 Ergodic theorem 55
Assume now that has an invariant distribution (1ri : i E I). Let
I : I lR be a bounded function and assume without loss of generality that
III 1. For any J I we have
I
n-l I ( )
1 - Vi(n)
L !(Xk) -! = -n- - 1ri Ii
k=O 'tEl
L I - 7ril + L I - 7ril
iEJ
L I - 7ril +L +7ri)
iEJ
" IVi(n) I " -n- -
1r
i
iEJ
We proved above that
JP> (Vi ---t 7ri as n ---t 00 for all i) = 1.
Given c > 0, choose J finite so that
and then N = N(w) so that, for n N(w)
"I Vi(n) I -n- - 1ri < c/4.
iEJ
Then, for n N(w), we have
< c,
which establishes the desired convergence. D
We consider now the statistical problem of estimating an unknown tran-
sition matrix P on the basis of observations of the corresponding Markov
chain. Consider, to begin, the case where we have N + 1 observations
The log-likelihood function is given by
I(P) = log(..\xoPxox
l
•• ,PXN-1XN) = L Nij logpij
i,jEl
56 1. Discrete-time Markov chains
up to a constant independent of P, where N
ij
is the number of transitions
from i to j. A standard statistical procedure is to find the maximum likeli-
hood estimate P, which is the choice of P maximizing l(P). Since P must
satisfy the linear constraint E
j
Pij = 1 for each i, we first try to maximize
l (P) + 2: /-LiPij
i,jEI
and then choose (/-li : i E I) to fit the constraints. This is the method of
Lagrange multipliers. Thus we find
N-l N-l
Pij = L 1{Xn =i,X
n
+
1
=j}/ L l{x
n
=i}
n=O n=O
which is the proportion of jumps from i which go to j.
We now turn to consider the consistency of this sort of estimate, that is
to say whether Pij ~ Pij with probability 1 as N ~ 00. Since this is clearly
false when i is transient, we shall slightly modify our approach. Note that
to find Pij we simply have to maximize
2: Nij logPij
jEI
subject to E
j
Pij = 1: the other terms and constraints are irrelevant. Sup-
pose then that instead of N + 1 observations we make enough observations
to ensure the chain leaves state i a total of N times. In the transient case
this may involve restarting the chain several times. Denote again by N
ij
the number of transitions from i to j.
To maximize the likelihood for (Pij : j E I) we still maximize
2: Nij logPij
jEI
subject to E
j
Pij = 1, which leads to the maximum likelihood estimate
Pij = Nij/N.
But Nij = Y
1
+ ... +Y
N
, where Y
n
= 1 if the nth transition from i is to
j, and Y
n
= 0 otherwise. By the strong Markov property Yl, . .. ,YN are
independent and identically distributed random variables with mean Pij.
So, by the strong law of large numbers
P(Pij ~ Pij as N ~ 00) = 1,
which shows that Pij is consistent.
Exercises
1.11 Appendix: recurrence relations 57
1.10.1 Prove the claim (d) made in example (v) of the Introduction.
1.10.2 A professor has N umbrellas. He walks to the office in the morning
and walks home in the evening. If it is raining he likes to carry an um-
brella and if it is fine he does not. Suppose that it rains on each journey
with probability p, independently of past weather. What is the long-run
proportion of journeys on which the professor gets wet?
1.10.3 Let ( X n ) n ~ O be an irreducible Markov chain on I having an invariant
distribution Jr. For J ~ I let ( Y m ) m ~ O be the Markov chain on J obtained
by observing ( X n ) n ~ O whilst in J. (See Example 1.4.4.) Show that ( Y m ) m ~ O
is positive recurrent and find its invariant distribution.
1.10.4 An opera singer is due to perform a long series of concerts. Hav-
ing a fine artistic temperament, she is liable to pullout each night with
probability 1/2. Once this has happened she will not sing again until the
promoter convinces her of his high regard. This he does by sending flowers
every day until she returns. Flowers costing x thousand pounds, 0 ~ x ~ 1,
bring about a reconciliation with probability yIX. The promoter stands to
make £750 from each successful concert. How much should he spend on
flowers?
1.11 Appendix: recurrence relations
Recurrence relations often arise in the linear equations associated to Markov
chains. Here is an account of the simplest cases. A more specialized case
was dealt with in Example 1.3.4. In Example 1.1.4 we found a recurrence
relation of the form
Xn+l = aXn +b.
We look first for a constant solution X
n
= x; then x = ax +b, so provided
a =I 1 we must have x = b/(l - a). Now Yn = X
n
- b/(l - a) satisfies
Yn+l = aYn, so Yn = anyo. Thus the general solution when a =I 1 is given
by
X
n
= Aan +b/ (1 - a)
where A is a constant. When a = 1 the general solution is obviously
X
n
= Xo +nb.
In Example 1.3.3 we found a recurrence relation of the form
aXn+l +bXn +CXn-l = 0
58 1. Discrete-time Markov chains
where a and c were both non-zero. Let us try a solution of the form X
n
= -Xn;
then a-X
2
+ b-X + c = O. Denote by 0: and {3 the roots of this quadratic. Then
Yn = Ao:
n
+B{3n
is a solution. If 0: =1= (3 then we can solve the equations
xo=A+B, xl=Ao:+B{3
so that Yo = Xo and Yl = Xl; but
for all n, so by induction Yn = X
n
for all n. If 0: = {3 # 0, then
Yn = (A +nB)o:n
is a solution and we can solve
so that Yo = Xo and Yl = Xl; then, by the same argument, Yn = X
n
for all
n. The case 0: = (3 = 0 does not arise. Hence the general solution is given
by
{
Ao:n + B{3n
X
n
= (A + nB)a
n
if 0: # {3
if 0: = {3.
1.12 Appendix: asymptotics for n!
Our analysis of recurrence and transience for random walks in Section 1.6
rested heavily on the use of the asymptotic relation
n! rv Ayri(nje)n as n ~ 00
for some A E [1, 00). Here is a derivation.
We make use of the power series expansions for It I < 1
10g(1 +t) = t - ~ t 2 + ~ t 3 - .
10g(1 - t) = -t - ~ t 2 - ~ t 3 - .
By subtraction we obtain
1 (l+t) 13 15
2 log 1 _ t = t + 3t +:5t +....
1.12 Appendix: asymptotics for n! 59
Set An = n!/(nn+l/2e-n) and an = logAn. Then, by a straightforward
calculation
1 (1+(2n+l)-1)
an - an+! = (2n + 1)2" log 1 _ (2n + 1)-1 - 1.
By the series expansion written above we have
{
Ill II}
an-an+! = (2n+1) (2n+1) +3"(2n+1)3 +5 (2n+1)5 + ... -1
1 1 1 1
= 3 (2n + 1)2 + 5 (2n + 1)4 + · ..
1{II}
::; 3" (2n + 1)2 + (2n + 1)4 + · · ·
1 1 1 1
3 (2n + 1)2 - 1 12n - 12(n + 1) .
It follows that an decreases and an - 1/(12n) increases as n ~ 00. Hence
an ~ a for some a E [0, 00) and hence An ~ A, as n ~ 00, where A = ea.
2
Continuous-time Markov chains I
The material on continuous-time Markov chains is divided between this
chapter and the next. The theory takes some time to set up, but once up
and running it follows a very similar pattern to the discrete-time case. To
emphasise this we have put the setting-up in this chapter and the rest in the
next. If you wish, you can begin with Chapter 3, provided you take certain
basic properties on trust, which are reviewed in Section 3.1. The first three
sections of Chapter 2 fill in some necessary background information and are
independent of each other. Section 2.4 on the Poisson process and Section
2.5 on birth processes provide a gentle warm-up for general continuous-
time Markov chains. These processes are simple and particularly important
examples of continuous-time chains. Sections 2.6-2.8, especially 2.8, deal
with the heart of the continuous-time theory. There is an irreducible level
of difficulty at this point, so we advise that Sections 2.7 and 2.8 are read
selectively at first. Some examples of more general processes are given in
Section 2.9. As in Chapter 1 the exercises form an important part of the
text.
2.1 Q-matrices and their exponentials
In this section we shall discuss some of the basic properties of Q-matrices
and explain their connection with continuous-time Markov chains.
Let I be a countable set. A Q-matrix on I is a matrix Q = (qij : i,j E I)
satisfying the following conditions:
2.1 Q-matrices and their exponentials 61
(i) 0 ~ -qii < 00 for all i;
(ii) qij ~ 0 for all i =I j;
(iii) L qij = 0 for all i.
jEI
Thus in each row of Q we can choose the off-diagonal entries to be any non-
negative real numbers, subject only to the constraint that the off-diagonal
row sum is finite:
qi = Lqij < 00.
j#i
The diagonal entry qii is then -qi, making the total row sum zero.
A convenient way to present the data for a continuous-time Markov chain
is by means of a diagram, for example:
1
3
1
2
Each diagram then corresponds to a unique Q-matrix, in this case
Q = ( ~ 2 !1 ~ )
2 1 -3
Thus each off-diagonal entry qij gives the value we attach to the (i, j) arrow
on the diagram, which we shall interpret later as the rate of going from i to
j. The numbers qi are not shown on the diagram, but you can work them
out from the other information given. We shall later interpret qi as the rate
of leaving i.
We may think of the discrete parameter space {O, 1,2, ... } as embedded
in the continuous parameter space [0,00). For P E (0,00) a natural way to
interpolate the discrete sequence (pn : n = 0,1,2, ... ) is by the function
(e
tq
: t ~ 0), where q = logp. Consider now a finite set I and a matrix
62 2. Continuous-time Markov chains I
P = (Pij : i,j E I). Is there a natural way to fill in the gaps in the discrete
sequence (p
n
: n = 0,1,2, ... )?
For any matrix Q = (qij : i, j E I), the series
converges componentwise and we denote its limit by e
Q
. Moreover, if two
matrices Q1 and Q2 commute, then
The proofs of these assertions follow the scalar case closely and are given
in Section 2.10. Suppose then that we can find a matrix Q with e
Q
= P.
Then
e
nQ
= (eQ)n = p
n
so (e
tQ
: t ~ 0) fills in the gaps in the discrete sequence.
Theorem 2.1.1. Let Q be matrix on a finite set I. Set P(t) = e
tQ
. Then
(P(t) : t ~ 0) has the following properties:
(i) P(s +t) = P(s)P(t) for all s, t (semigroup property);
(ii) (P(t) : t ~ 0) is the unique solution to the forward equation
~ P(t) = P(t)Q,
P(O) = I;
(iii) (P(t) : t ~ 0) is the unique solution to the backward equation
P(O) = I;
(iv) for k = 0,1,2, ... , we have
Proof. For any s, t E lR, sQ and tQ commute, so
e
sQ
e
tQ
= e(s+t)Q
proving the semigroup property. The matrix-valued power series
P(t) = f: ( t ~ ) k
k=O
2.1 Q-matrices and their exponentials 63
has infinite radius of convergence (see Section 2.10). So each component is
differentiable with derivative given by term-by-term differentiation:
, 00 t
k
-
1
Qk
P (t) = L (k _ 1)! = P(t)Q = QP(t).
k=1
Hence P(t) satisfies the forward and backward equations. Moreover by
repeated term-by-term differentiation we obtain (iv). It remains to show
that P(t) is the only solution of the forward and backward equations. But
if M(t) satisfies the forward equation, then
.!!.-(M(t)e-
tQ
) = (.!!.-M(t)) e-
tQ
+ M(t) (.!!.-e-
tQ
)
dt dt dt
= M(t)Qe-
tQ
+ M(t)( -Q)e-
tQ
= 0
so M(t)e-
tQ
is constant, and so M(t) = P(t). A similar argument proves
uniqueness for the backward equation. D
The last result was about matrix exponentials in general. Now let us see
what happens to Q-matrices. Recall that a matrix P = (Pij : i, j E I) is
stochastic if it satisfies
(i) 0 ~ Pij < 00 for all i,j;
(ii) LPij = 1 for all i.
jEI
We recall the convention that in the limit t ~ 0 the statement f(t) = O(t)
means that f(t)/t ~ C for all sufficiently small t, for some C < 00. Later
we shall also use the convention that f(t) = o(t) means f(t)/t ~ 0 as t ~ o.
Theorem 2.1.2. A matrix Q on a finite set I is a Q-matrix if and only if
P(t) = e
tQ
is a stochastic matrix for all t ~ o.
Proof. As t ! 0 we have
so qij ~ 0 for i =1= j if and only if Pij (t) ~ 0 for all i, j and t ~ 0 sufficiently
small. Since P(t) = P(t/n)n for all n, it follows that qij ~ 0 for i =1= j if
and only if Pij(t) ~ 0 for all i,j and all t ~ o.
If Q has zero row sums then so does Qn for every n:
""" (n) """ """ (n-1) """ (n-1) """ 0
LJ qik = LJ LJ qij qjk = LJ qij LJ qjk = .
kEI kEI jEI jEI kEI
64
So
2. Continuous-time Markov chains I
00 t
n
(n)
LPij(t) = 1 + L I" Lqij = 1.
n.
jEI n=l jEI
On the other hand, if LjE! Pij(t) = 1 for all t 0, then
L qij = I LPij(t) = O.
jEI t=O jEI
D
Now, if P is a stochastic matrix of the form e
Q
for some Q-matrix, we
can do some sort of filling-in of gaps at the level of processes. Fix some
large integer m and let be discrete-time Markov(.x, e
Q
/
m
). We
define a process indexed by {n/m : n = 0,1,2, ... } by
Then (X
n
: n = 0,1,2, ... ) is discrete-time Markov(.x, (eQ/m)m) (see Exer-
cise 1.1.2) and
Thus we can find discrete-time Markov chains with arbitrarily fine
grids {n/m : n = 0,1,2, ... } as time-parameter sets which give rise to
Markov(.x, P) when sampled at integer times. It should not then be too
surprising that there is, as we shall see in Section 2.8, a continuous-time
process which also has this property.
To anticipate a little, we shall see in Section 2.8 that a continuous-time
Markov chain with Q-matrix Q satisfies
for all n = 0,1,2, ... , all times ° to ... t
n
+l and all states
io, ... ,i
n
+
1
, where Pij(t) is the (i,j) entry in e
tQ
. In particular, the tran-
sition probability from i to j in time t is given by
(Recall that := means 'defined to equal'.) You should compare this with
the defining property of a discrete-time Markov chain given in Section 1.1.
We shall now give some examples where the transition probabilities Pij(t)
may be calculated explicitly.
2.1 Q-matrices and their exponentials 65
Example 2.1.3
We calculate PII(t) for the continuous-time Markov chain with Q-matrix
Q = ( ~ 2 !1 ~ )
2 1 -3
The method is similar to that of Example 1.1.6. We begin by writing down
the characteristic equation for Q:
o= det (x - Q) = x(x +2) (x +4).
This shows that Q has distinct eigenvalues 0, -2, -4. Then PII(t) has the
form
PII(t) = a +be-
2t
+ce-
4t
for some constants a, band c. (This is because we could diagonalize Q by
an invertible matrix U:
Then
00)
(-2t)k 0
o (-4t)k
~ ) U-
I
,
e-
4t
U-
I
so PII(t) must have the form claimed.) To determine the constants we use
1 = PII (0) = a +b+c,
-2 = qII = P ~ I (0) = -2b - 4c,
7 = qii) = P ~ I (0) = 4b +16c,
so
66 2. Continuous-time Markov chains I
A A A
...- ..... -----------..- ...- ..
o 1 2 N-l N
Q=
Example 2.1.4
We calculate Pij(t) for the continuous-time Markov chain with diagram
given above. The Q-matrix is
-A A
-A A
A
-A A
o
where entries off the diagonal and super-diagonal are all zero. The expo-
nential of an upper-triangular matrix is upper-triangular, so Pij(t) = 0 for
i > j. In components the forward equation P'(t) = P(t)Q reads
= -APii(t),
= -APij(t) + APi,j-l (t),
= APiN-l(t),
Pii (0) == 1,
Pij (0) == 0,
PiN(O) = 0,
for i < N,
for i < j < N,
for i < N.
We can solve these equations. First, pii(t) = e-
At
for i < N. Then, for
i <j < N
so, by induction
(At)j-i
Pij(t) = e->.t (j _ i)!'
If i = 0, these are the Poisson probabilities of parameter At. So, start-
ing from 0, the distribution of the Markov chain at time t is the same as
the distribution of min{yt, N}, where yt is a Poisson random variable of
parameter At.
Exercises
2.1.1 Compute Pll(t) for P(t) = e
tQ
, where
Q = !4
2 1 -3
2.2 Continuous-time random processes
2.1.2 Which of the following matrices is the exponential of a Q-matrix?
67
(a) ( ~ ~ ) (b) ( ~ ~ ) (c) ( ~ ~ ) .
What consequences do your answers have for the discrete-time Markov
chains with these transition matrices?
2.2 Continuous-time random processes
Let I be a countable set. A continuous-time random process
with values in I is a family of random variables X
t
: n ~ I. We are going
to consider ways in which we might specify the probabilistic behaviour (or
law) of ( X t ) t ~ o . These should enable us to find, at least in principle,
any probability connected with the process, such as lP(X
t
= i) or
lP(X
to
= io, ... ,X
tn
= in), or P(X
t
= i for some t). There are subtleties in
this problem not present in the discrete-time case. They arise because, for
a countable disjoint union
whereas for an uncountable union Ut>o At there is no such rule. To avoid
these subtleties as far as possible we shall restrict our attention to processes
( X t ) t ~ O which are right-continuous. This means in this context that for all
wEn and t ~ 0 there exists € > 0 such that
for t ~ s ~ t + €.
By a standard result of measure theory, which is proved in Section 6.6,
the probability of any event depending on a right-continuous process can
be determined from its finite-dimensional distributions, that is, from the
probabilities
lP(X
to
= io, X
t1
= il, ,X
tn
= in)
for n ~ 0, 0 ~ to ~ tl ~ ... ~ t
n
and i
o
, ,in E I. For example
P(X
t
= i for some t E [0,00)) = 1- lim '""" P(X
q1
= ji, ... ,X
qn
= jn)
n--+-oo L.J
jl , ... ,in=l=i
where ql, q2, . .. is an enumeration of the rationals.
68 2. Continuous-time Markov chains I
Every path t ~ Xt(w) of a right-continuous process must remain con-
stant for a while in each new state, so there are three possibilities for the
sorts of path we get. In the first case the path makes infinitely many jumps,
but only finitely many in any interval [0, t]:

o


o
~ -
J
o
= 0
1.1
t
The second case is where the path makes finitely many jumps and then
becomes stuck in some state forever:

J
o
= 0
J.2
t
In the third case the process makes infinitely many jumps in a finite interval;
this is illustrated below. In this case, after the explosion time ( the process
starts up again; it may explode again, maybe infinitely often, or it may
not.
2.2 Continuous-time random processes
...
:.
69

"
. ...
.......-
• •
...-.--
J
o
= 0
..........------e.
t
..-
14----....._----....
We call J
o
, J
1
, ... the jump times of and 8
1
,8
2
, ... the holding
times. They are obtained from by
for n = 0,1, ... , where inf 0= 00, and, for n = 1,2, ... ,
if I
n
-1 < 00
otherwise.
Note that right-continuity forces 8
n
> 0 for all n. If I
n
+
1
= 00 for some
n, we define X
oo
= XJ
n
, the final value, otherwise X
oo
is undefined. The
(first) explosion time ( is defined by
00
(= supJ
n
= I:Sn.
n n==1
The discrete-time process given by Y
n
= X
Jn
is called the jump
process of or the jump chain if it is a discrete-time Markov chain.
This is simply the sequence of values taken by up to explosion.
We shall not consider what happens to a process after explosion. So it
is convenient to adjoin to I a new state, 00 say, and require that X
t
= 00
if t (. Any process satisfying this requirement is called minimal. The
terminology 'minimal' does not refer to the state of the process but to the
70 2. Continuous-time Markov chains I
interval of time over which the process is active. Note that a minimal
process may be reconstructed from its holding times and jump process.
Thus by specifying the joint distribution of 8
1
,82, ... and we have
another 'countable' specification of the probabilistic behaviour of
For example, the probability that X
t
= i is given by
00
IP(X
t
= i) = L IP(Y
n
= i and I
n
:::; t < I
n
+1)
n=O
and
lP(X
t
= i for some t E [0,00)) = lP(Y
n
= i for some n 0).
2.3 Some properties of the exponential distribution
A random variable T : n [0,00] has exponential distribution of parameter
-X (0 -X < 00) if
lP(T > t) = e-
At
for all t O.
We write T rv E(-X) for short. If -X > 0, then T has density function
The mean of T is given by
E(T) = 1
00
IP(T > t)dt = A-I.
The exponential distribution plays a fundamental role in continuous-time
Markov chains because of the following results.
Theorem 2.3.1 (Memoryless property). A random variable T: n
(0,00] has an exponential distribution if and only if it has the following
memoryless property:
lP(T> s +tiT> s) = lP(T > t) for all s, t O.
Proof. Suppose T rv E(-X), then
P(T> s +t) e-A(s+t) -At
IP(T> s + tiT> s) = IP(T> s) = e->'s = e = IP(T > t).
2.3 Some properties of the exponential distribution 71
On the other hand, suppose T has the memoryless property whenever
JP>(T> s) > O. Then g(t) = JP>(T > t) satisfies
g(s +t) = g(s)g(t) for all s, t ~ O.
We assumed T > 0 so that g(l/n) > 0 for some n. Then, by induction
so g(l) = e-
A
for some 0 ::; A < 00. By the same argument, for integers
p,q ~ 1
g(p/q) = g(l/q)P = g(l)pjq
so g(r) = e-
AT
for all rationals r > O. For real t > 0, choose rationals
r, s > 0 with r ::; t ::; s. Since 9 is decreasing,
e-
AT
= g(r) ~ g(t) ~ g(s) = e-
AS
and, since we can choose rand s arbitrarily close to t, this forces g(t) = e-
At
,
so T rv E(A). 0
The next result shows that a sum of independent exponential random
variables is either certain to be finite or certain to be infinite, and gives a cri-
terion for deciding which is true. This will be used to determine whether or
not certain continuous-time Markov chains can take infinitely many jumps
in a finite time.
Theorem 2.3.2. Let 8
1
, 8
2
, . .. be a sequence ofindependent random vari-
ables with 8
n
rv E(A
n
) and 0 < An < 00 for all n.
00 1 (00)
(i) I f ~ An < 00, then JP> ~ Sn < 00 = l.
00 1 (00)
(ii) If ~ An = 00, then JP> ~ Sn = 00 = l.
Proof. (i) Suppose E ~ 1 1/An < 00. Then, by monotone convergence
so
72 2. Continuous-time Markov chains I
(ii) Suppose instead that E ~ 1 1 / An = 00. Then r r ~ o ( 1 + 1/An) = 00.
By monotone convergence and independence
so
JP> (fSn = 00) = 1.
n==l
D
The following result is fundamental to continuous-time Markov chains.
Theorem 2.3.3. Let I be a countable set and let Tk' k E I, be independent
random variables with Tk rv E(qk) and 0 < q := EkE! qk < 00. Set
T = infk T
k
. Then this infimum is attained at a unique random value K of
k, with probability 1. Moreover, T and K are independent, with T rv E(q)
and lP(K = k) = qk/q.
Proof. Set K = k if T
k
< T
j
for all j =I k, otherwise let K be undefined.
Then
lP(K = k and T ~ t)
=lP(Tk ~ t and Tj > Tk for all j =I k)
= 1
00
qke-qkBP(Tj > s for all j 1= k)ds
= (OO qk
e
-
qkB
IT e-qjBds
it j#
1
00
- 8 qk - t
= qke q ds = -e q .
t q
Hence lP(K = k for some k) = 1 and T and K have the claimed joint
distribution. D
The following identity is the simplest case of an identity used in Section
2.8 in proving the forward equations for a continuous-time Markov chain.
Theorem 2.3.4. For independent random variables S rv E(A) and R rv
E(jj) and for t ~ 0, we have
jjJP>(S ~ t < S +R) = AJP>(R ~ t < R+ S).
2.4 Poisson processes
Proof. We have
73
from which the identity follows by symmetry. D
Exercises
2.3.1 Suppose Sand T are independent exponential random variables of
parameters Q and (3 respectively. What is the distribution of min{S, T}?
What is the probability that S :::; T? Show that the two events {S < T}
and {min{S, T} ~ t} are independent.
2.3.2 Let Tl, T
2
, . .. be independent exponential random variables of pa-
rameter A and let N be an independent geometric random variable with
JP>(N = n) = (3(1 - (3)n-l,
n = 1,2, ....
Show that T = 2::1 Ti has exponential distribution of parameter A(3.
2.3.3 Let 81, 8
2
, . .. be independent exponential random variables with
parameters AI, A2, . .. respectively. Show that AlSl is exponential of pa-
rameter 1.
Use the strong law of large numbers to show, first in the special case
An = 1 for all n, and then subject only to the condition sUPn An < 00, that
JP> (fSn = 00) = 1 .
n=l
Is the condition sUPn An < 00 absolutely necessary?
2.4 Poisson processes
Poisson processes are some of the simplest examples of continuous-time
Markov chains. We shall also see that they may serve as building blocks
for the most general continuous-time Markov chain. Moreover, a Poisson
process is the natural probabilistic model for any uncoordinated stream of
discrete events in continuous time. So we shall study Poisson processes
first, both as a gentle warm-up for the general theory and because they
are useful in themselves. The key result is Theorem 2.4.3, which provides
three different descriptions of a Poisson process. The reader might well
begin with the statement of this result and then see how it is used in the
74 2. Continuous-time Markov chains I
theorems and examples that follow. We shall begin with a definition in
terms of jump chain and holding times (see Section 2.2). A right-continuous
process with values in {O, 1,2, ... } is a Poisson process of rate A
(0 < A < 00) if its holding times 8
1
, 8
2
, . .. are independent exponential
random variables of parameter A and its jump chain is given by Y
n
= n.
Here is the diagram:
A A A A
.. . .. . . .. .
o 1 234
The associated Q-matrix is given by
-A A
-A A
Q=
By Theorem 2.3.2 (or the strong law of large numbers) we have
P(J
n
00) = 1 so there is no explosion and the law of is uniquely
determined. A simple way to construct a Poisson process of rate A is to
take a sequence 8
1
, 8
2
, . .. of independent exponential random variables of
parameter A, to set J
o
= 0, I
n
= 81 + ... + 8
n
and then set
. .
. . . ..
5 : : : : ..- --
4 : -: :....................... •'---00········
3 ; :.... • 0,······ .: .
. . . ..
.. .
2 : : : .
. . ..
1 ........... .••-------ec;> : : : .
t
J.4

J
o
= (}
2.4 Poisson processes 75
The diagram illustrates a typical path. We now show how the memory-
less property of the exponential holding times, Theorem 2.3.1, leads to a
memoryless property of the Poisson process.
Theorem 2.4.1 (Markov property). Let be a Poisson process
of rate -X. Then, for any s 0, (X
s
+
t
- is also a Poisson process of
rate -X, independent of(X
r
: r:::; s).
Proof. It to prove the claim conditional on the event X
s
= i, for
each i O. Set X
t
= X
s
+
t
- X
s
. We have
On this event
i
X r = L l{srSt} for r ::; s
j==1
and the holding times 8
1
,8
2
, ... of are given by
8
1
= 8
i
+
1
- (s - J
i
), 8
n
= 8
i
+
n
for n
as shown in the diagram.
o
ill(
s
Recall that the holding times 8
1
,8
2
, ... are independent E(A). Condition
on 8
1
, ... ,8
i
and {X
s
= i}, then by the memoryless property of 8
i
+
1
and independence, 81,8
2
, ... are themselves independent E(-X). Hence,
conditional on {X
s
= i}, 8
1
,8
2
, ... are independent E(-X), and independent
of 8
1
, ... ,8
i
. Hence, conditional on {X
s
= i}, is a Poisson process
of rate A and independent of (X
r
: r s). D
In fact, we shall see in Section 6.5, by an argument in essentially the
same spirit that the result also holds with s replaced by any stopping time
T of
76 2. Continuous-time Markov chains I
Theorem 2.4.2 (Strong Markov property). Let be a Poisson
process oErate A and let T be a stopping time Then, conditional
on T < 00, (X
T
+
t
- XT is also a Poisson process of rate A, independent

Here is some standard terminology. If is a real-valued process,
we can consider its increment X
t
- X
s
over any interval (s, t]. We say that
has stationary increments if the distribution of X
s
+
t
- X
s
depends
only on t O. We say that has independent increments if its
increments over any finite collection of disjoint intervals are independent.
We come to the key result for the Poisson process, which gives two condi-
tions equivalent to the jump chain/holding time characterization which we
took as our original definition. Thus we have three alternative definitions
of the same process.
Theorem 2.4.3. Let be an increasing, right-continuous integer-
valued process starting from O. Let 0 < A < 00. Then the following three
conditions are equivalent:
(a) (jump chain/holding time definition) the holding times 8
1
,8
2
, ... of
are independent exponential random variables of parameter
A and the jump chain is given by Y
n
= n for all n;
(b) (infinitesimal definition) has independent increments and, as
h ! 0, uniformly in t,
IF(X
t
+
h
- X
t
= 0) = 1 - Ah +o(h), IF(X
t
+
h
- X
t
= 1) = Ah +o(h);
(c) (transition probability definition) has stationary independent
increments and, for each t, X
t
has Poisson distribution of parameter
At.
If satisfies any of these conditions then it is called a Poisson process
of rate A.
Proof. (a) => (b) If (a) holds, then, by the Markov property, for any t, h 0,
the increment X
t
+
h
- X
t
has the same distribution as X
h
and is independent
of (X
s
: s t). So has independent increments and as h ! 0
lP(Xt+h - X
t
1) = lP(X
h
1) = lP(J1 h) = 1 - e-)..h = Ah +o(h),
lP(Xt+h - X
t
2) = lP(X
h
2) = lP(J2 h)
IF(8
1
h and 8
2
h) = (1 - e-
Ah
)2 = o(h),
which implies (b).
2.4 Poisson processes 77
(b) ::::} (c) If (b) holds, then, for i = 2,3, ... , we have P(X
t
+
h
- X
t
= i) =
o(h) as h ! 0, uniformly in t. Set Pj(t) = P(X
t
= j). Ther:, for j = 1,2, ... ,
j
Pj(t + h) = P(X
Hh
= j) = L P(X
Hh
- X
t
= i) P(X
t
= j - i)
i==O
= (1 - Ah +o(h) )Pj(t) + (Ah +o(h))Pj-l (t) +o(h)
so
Pj(t + - Pj(t) = ->'Pj(t) + >'Pj-l(t) + O(h).
Since this estimate is uniform in t we can put t = s - h to obtain for all
s,?-h
Now let h ! 0 to see that Pj(t) is first continuous and then differentiable
and satisfies the differential equation
By a simpler argument we also find
= -APO(t).
Since X
o
= 0 we have initial conditions
PO(O) = 1, Pj(O) = 0 for j = 1,2, ....
As we saw in Example 2.1.4, this system of equations has a unique solution
given by
(At)j
Pj(t) = e-
At
_.,_, j = 0,1,2, ....
J.
Hence X
t
rv P(At). If satisfies (b), then certainly has
independent increments, but also (X
s
+
t
- satisfies (b), so the above
argument shows X
s
+
t
- X
s
rv P(At), for any s, which implies (c).
(c) ::::} (a) There is a process satisfying (a) and we have shown that it must
then satisfy (c). But condition (c) determines the finite-dimensional distri-
butions of and hence the distribution of jump chain and holding
times. So if one process satisfying (c) also satisfies (a), so must every process
satisfying (c). D
The differential equations which appeared in the proof are really the
forward equations for the Poisson process. To make this clear, consider the
78 2. Continuous-time Markov chains I
possibility of starting the process from i at time 0, writing Pi as a reminder,
and set
Pij(t) = Pi(X
t
= j).
Then, by spatial homogeneity Pij(t) = Pj-i(t), and we could rewrite the
differential equations as
= -APiO(t),
= APi,j-l(t) - APij(t),
or, in matrix form, for Q as above,
PiO(O) = 8
iO
,
Pij(O) = 8ij
P'(t) = P(t)Q, P(O) = I.
Theorem 2.4.3 contains a great deal of information about the Poisson
process of rate A. It can be useful when trying to decide whether a given
process is a Poisson process as it gives you three alternative conditions to
check, and it is likely that one will be easier to check than another. On the
other hand it can also be useful when answering a question about a given
Poisson process as this question may be more closely connected to one defi-
nition than another. For example, you might like to consider the difficulties
in approaching the next result using the jump chain/holding time definition.
Theorem 2.4.4. If and are independent Poisson processes
of rates A and J-l, respectively, then (X
t
+ is a Poisson process of rate
A+ J-l.
Proof. We shall use the infinitesimal definition, according to which
and have independent increments and, as h ! 0, uniformly in t,
P(X
t
+
h
- X
t
= 0) == 1 - Ah + o(h), P(X
t
+
h
- X
t
== 1) == Ah + o(h),
P(¥t+h - ¥t = 0) = 1 - J-lh + o(h), P(¥t+h - yt = 1) = J-lh + o(h).
Set Zt = X
t
+yt. Then, since and are independent,
has independent increments and, as h ! 0, uniformly in t,
P(Zt+h - Zt = 0) = P(X
t
+
h
- X
t
= O)P(yt+h - yt = 0)
= (1 - Ah + o(h))(l - J-lh + o(h)) = 1 - (A + J-l)h +o(h),
lP(Zt+h - Zt = 1) = P(X
t
+
h
- X
t
= l)lP(yt+h - yt == 0)
+lP(X
t
+
h
- X
t
== O)lP(yt+h - yt == 1)
== (Ah +o(h) )(1 - J-lh +o(h)) + (1 - Ah +o(h) )(J-lh +o(h))
= (A + J-l)h + o(h).
Hence is a Poisson process of rate A+ J-l. D
2.4 Poisson processes 79
Next we establish some relations between Poisson processes and the uni-
form distribution. Notice that the conclusions are independent of the rate
of the process considered. The results say in effect that the jumps of a
Poisson process are as randomly distributed as possible.
Theorem 2.4.5. Let be a Poisson process. Then, conditional on
having exactly one jump in the interval [s, s +t], the time at which
that jump occurs is uniformly distributed on [s, s +t].
Proof. We shall use the finite-dimensional distribution definition. By sta-
tionarity of increments, it suffices to consider the case s = O. Then, for
o u t,
IF(J1 u I X
t
= 1) = IF(J
1
u and X
t
= l)/lF(X
t
= 1)
= IF(X
u
= 1 and X
t
- Xu = O)/lF(X
t
= 1)
= Aue-'xue-,X(t-u) /(Ate-'xt) = u/t. D
Theorem 2.4.6. Let be a Poisson process. Then, conditional on
the event {X
t
= n}, the jump times J
1
, ... ,I
n
have joint density function
f(t1, . .. ,tn) = n! ...
Thus, conditional on {X
t
= n}, the jump times J
1
, ... ,I
n
have the same
distribution as an ordered sample of size n from the uniform distribution
on [O,t].
Proof. The holding times S1, . .. ,Sn+1 have joint density function
An+1 e-'x(Sl +...+Sn+l) 1
{Sl ,... ,Sn+l
so the jump times J1, ... ,I
n
+
1
have joint density function
So for A jRn we have
IF((J
1
, ... ,I
n
) E A and X
t
= n) = IF((J
1
, ... ,I
n
) E A and I
n
t < I
n
+1)
= e-,Xt An 1 ... ... dtn
(tl ,... ,tn)EA
and since IF(X
t
= n) = e-,Xt AnIn! we obtain
as required. 0
80 2. Continuous-time Markov chains I
We finish with a simple example typical of many problems making use
of a range of properties of the Poisson process.
Example 2.4.7
Robins and blackbirds make brief visits to my birdtable. The probability
that in any small interval of duration h a robin will arrive is found to be
ph+o(h), whereas the corresponding probability for blackbirds is (3h+o(h).
What is the probability that the first two birds I see are both robins? What
is the distribution of the total number of birds seen in time t? Given that
this number is n, what is the distribution of the number of blackbirds seen
in time t?
By the infinitesimal characterization, the number of robins seen by time
t is a Poisson process of rate p, and the number of blackbirds is
a Poisson process of rate (3. The times spent waiting for the first
robin or blackbird are independent exponential random variables 8
1
and T
1
of parameters p and (3 respectively. So a robin arrives first with probability
p/(p + (3) and, by the memoryless property of T
1
, the probability that
the first two birds are robins is p2 / (p +(3)2. By Theorem 2.4.4 the total
number of birds seen in an interval of duration t has Poisson distribution
of parameter (p +(3)t. Finally
JP>(B
t
= k I R
t
+B
t
= n) = JP>(B
t
= k and R
t
= n - k)/JP>(R
t
+B
t
= n)
= (e-
f3
(3k) (e-
ppn
-
k
)/ (e-
CP
+
f3
)(p+(3)n)
k! (n - k)! n!
=
so if n birds are seen in time t, then the distribution of the number of
blackbirds is binomial of parameters nand {3/ (p +(3).
Exercises
2.4.1 State the transition probability definition of a Poisson process. Show
directly from this definition that the first jump time J1 of a Poisson process
of rate A is exponential of parameter A.
Show also (from the same definition and without assuming the strong
Markov property) that
and hence that J
2
- J1 is also exponential of parameter A and independent
of J1.
2.5 Birth processes 81
2.4.2 Show directly from the infinitesimal definition that the first jump time
J
1
of a Poisson process of rate A has exponential distribution of parameter
A.
2.4.3 Arrivals of the Number 1 bus form a Poisson process of rate one bus
per hour, and arrivals of the Number 7 bus form an independent Poisson
process of rate seven buses per hour.
(a) What is the probability that exactly three buses pass by in one hour?
(b) What is the probability that exactly three Number 7 buses pass by
while I am waiting for a Number I?
(c) When the maintenance depot goes on strike half the buses break down
before they reach my stop. What, then, is the probability that I wait
for 30 minutes without seeing a single bus?
2.4.4 A radioactive source emits particles in a Poisson process of rate A.
The particles are each emitted in an independent random direction. A
Geiger counter placed near the source records a fraction p of the particles
emitted. What is the distribution of the number of particles recorded in
time t?
2.4.5 A pedestrian wishes to cross a single lane of fast-moving traffic. Sup-
pose the number of vehicles that have passed by time t is a Poisson process
of rate A, and suppose it takes time a to walk across the lane. Assuming
that the pedestrian can foresee correctly the times at which vehicles will
pass by, how long on average does it take to cross over safely? [Consider
the time at which the first car passes.]
How long on average does it take to cross two similar lanes (a) when one
must walk straight across (assuming that the pedestrian will not cross if,
at any time whilst crossing, a car would pass in either direction), (b) when
an island in the middle of the road makes it safe to stop half-way?
2.5 Birth processes
A birth process is a generalization of a Poisson process in which the param-
eter A is allowed to depend on the current state of the process. The data
for a birth process consist of birth rates 0 ~ qj < 00, where j == 0,1,2, ....
We begin with a definition in terms of jump chain and holding times. A
minimal right-continuous process ( X t ) ( ~ O with values in {O, 1,2, ... } U{oo}
is a birth process of rates (qj : j ~ 0) if, conditional on X
o
== i, its holding
times 8
1
,8
2
, are independent exponential random variables of param-
eters qi, qi+1, , respectively, and its jump chain is given by Y
n
== i +n.
82 2. Continuous-time Markov chains I
ql q2 q3
~ . ~ . .. .
o 1 2 3 4
The flow diagram is shown above and the Q-matrix is given by:
Q=
Example 2.5.1 (Simple birth process)
Consider a population in which each individual gives birth after an expo-
nential time of parameter -X, all independently. If i individuals are present
then the first birth will occur after an exponential time of parameter iA.
Then we have i + 1 individuals and, by the memoryless property, the pro-
cess begins afresh. Thus the size of the population performs a birth process
with rates qi = i-X. Let X
t
denote the number of individuals at time t and
suppose X
o
= 1. Write T for the time of the first birth. Then
E(X
t
) = E ( X t l T ~ t ) +E(X
t
lT>t)
= it ,xe-ASlE(X
t
I T = s )ds + e-
At

Put J-l(t) = E(X
t
), then E(X
t
IT = s) = 2J-l(t - s), so
p,(t) = it 2,xe-
AS
p,(t - s)ds + e-
At
and setting r = t - s
By differentiating we obtain
so the mean population size grows exponentially:
2.5 Birth processes 83
t
Much of the theory associated with the Poisson process goes through
for birth processes with little change, except that some calculations can no
longer be made so explicitly. The most interesting new phenomenon present
in birth processes is the possibility of explosion. For certain choices of birth
rates, a typical path will make infinitely many jumps in a finite time, as
shown in the diagram. The convention of setting the process to equal 00
after explosion is particularly appropriate for birth processes!
· ..
8 : : :.. .:•..................
7 ; : : :.. : .•..................
· .
6 ; : : :.. •...................
· ..
5 : : : :.. .
· "
4 : : .
· ..
3 : : ...-...0. : .:.: .
2 ..............• .: .. : .:.:: .
1 ....................•• : :.. :.:: .

J
o
== 0
In fact, Theorem 2.3.2 tells us exactly when explosion will occur.
Theorem 2.5.2. Let be a birth process of rates (qj : j > 0),
starting from o.
00 1
(i) IfI: - < 00, then P(( < 00) = 1.
j==O qj
00 1
(ii) If:E - = 00, then P(( = 00) = 1.
j==O qj
Proof. Apply Theorem 2.3.2 to the sequence of holding times 8
1
,8
2
,. . .. D
The proof of the Markov property for- the Poisson process is easily
adapted to give the following generalization.
84 2. Continuous-time Markov chains I
Theorem 2.5.3 (Markov property). Let be a birth process of
rates (qj : j 2:: 0). Then, conditional on X
s
= i, is a birth process
of rates (qj : j 0) starting from i and independent of (X
r
: r s).
We shall shortly prove a theorem on birth processes which generalizes the
key theorem on Poisson processes. First we must see what will replace the
Poisson probabilities. In Theorem 2.4.3 these arose as the unique solution
of a system of differential equations, which we showed were essentially the
forward equations. Now we can still write down the forward equation
P'(t) = P(t)Q, P(O) = I.
or, in components
and, for j = 1, 2, ...
Moreover, these equations still have a unique solution; it is just not as
explicit as before. For we must have
which can be substituted in the equation
1( t) = PiO(t )qo - Pi 1( t )q1 , Pi 1( 0) = 8
i
1
and this equation solved to give
Now we can substitute for Pi1(t) in the next equation up the hierarchy and
find an explicit expression for Pi2(t), and so on.
Theorem 2.5.4. Let be an increasing, right-continuous process
with values in {O, 1,2, ... } U {oo}. Let 0 qj < 00 for all j o. Then the
following three conditions are equivalent:
(a) (jump chain/holding time definition) conditional on X
o
= i, the hold-
ing times 8
1
,8
2
, ... are independent exponential random variables of
parameters qi, qi+1, . .. respectively and the jump chain is given by
Y
n
= i +n for all n;
2.5 Birth processes 85
(b) (infinitesimal definition) for all t, h ~ 0, conditional on X
t
= i, X
t
+
h
is independent of (X
s
: s ~ t) and, as h ! 0, uniformly in t,
IF(X
t
+
h
= i I X
t
= i) = 1 - qih +o(h),
lP(X
t
+
h
= i +1 I X
t
= i) = qih +o(h);
(c) (transition probability definition) for all n = 0,1,2, ... , all times °~
to ~ ... ~ tn+l and all states io, ... ,in+l
where (pij(t) : i,j = 0,1,2, ... ) is the unique solution of the forward
equations.
If ( X t ) t ~ O satisfies any of these conditions then it is called a birth process
of rates (qj : j ~ 0).
Proof. (a) => (b) If (a) holds, then, by the Markov property for any t, h ~ 0,
conditional on X
t
= i, X
t
+
h
is independent of (X
s
: s ~ t) and, as h ! 0,
uniformly in t,
lP(X
t
+
h
~ i +1 I X
t
= i) = lP(X
h
~ i +1 I X
o
= i)
= IF(Jl ~ h I X
o
= i) = 1 - e-
qih
= qih +o(h),
and
IF(X
t
+
h
~ i +2 I Xt = i) = IF(X
h
~ i +2 I X
o
= i)
= IF( J
2
~ h I X
o
= i) ~ IF(Sl ~ hand S2 ~ h I X
o
= i)
= (1 - e-
qih
)(l - e-
qi
+
1h
) = o(h),
which implies (b).
(b) => (c) If (b) holds, then certainly for k = i +2, i +3, ...
IF(X
t
+
h
= k I X
t
= i) = o(h) as h ! 0, uniformly in t.
Set Pij(t) = IF(X
t
= j I X
o
= i). Then, for j = 1,2, ...
Pij(t +h) = IF(X
t
+
h
= j I X o = i)
j
= LJP>(X
t
= k I X
o
= i)JP>(X
Hh
= j I X
t
= k)
k==i
=Pij(t)(l - qjh +o(h)) +Pi,j-l(t)(qj-lh +o(h)) +o(h)
86
so
2. Continuous-time Markov chains I
As in the proof of Theorem 2.4.3, we can deduce that Pij(t) is differentiable
and satisfies the differential equation
By a simpler argument we also find
Thus (Pij(t) : i,j = 0,1,2, ... ) must be the unique solution to the forward
equations. If satisfies (b), then certainly
but also satisfies (b), so
by uniqueness for the forward equations. Hence satisfies (c).
(c) =* (a) See the proof of Theorem 2.4.3. D
Exercise
2.5.1 Each bacterium in a colony splits into two identical bacteria after
an exponential time of parameter -X, which then split in the same way but
independently. Let X
t
denote the size of the colony at time t, and suppose
X
o
= 1. Show that the probability generating function ¢(t) = E(zX
t
)
satisfies
Make a change of variables u = t - s in the integral and deduce that
d¢/dt = -X¢(¢ - 1). Hence deduce that, for q = 1 - e-
At
and n = 1,2, ...
2.6 Jump chain and holding times
2.6 Jump chain and holding times
87
This section begins the theory of continuous-time Markov chains proper,
which will occupy the remainder of this chapter and the whole of the next.
The approach we have chosen is to introduce continuous-time chains in
terms of the joint distribution of their jump chain and holding times. This
provides the most direct mathematical description. It also makes possible
a number of constructive realizations of a given Markov chain, which we
shall describe, and which underlie many applications.
Let I be a countable set. The basic data for a continuous-time Markov
chain on I are given in the form of a Q-matrix. Recall that a Q-matrix on
I is any matrix Q = (qij : i, j E I) which satisfies the following conditions:
(i) 0 ~ -qii < 00 for all i;
(ii) qij ~ 0 for all i =I j;
(iii) L qij = 0 for all i.
JEI
We will sometimes find it convenient to write qi or q(i) as an alternative
notation for -qii.
We are going to describe a simple procedure for obtaining from a Q-
matrix Q a stochastic matrix IT. The jump matrix IT = (7rij : i, j E I) of Q
is defined by
{
qij / qi if j =I i and qi =I 0
7rij = 0 if j =I i and qi = 0,
7rii = {O ~ f qi 1= 0
1 If qi = O.
This procedure is best thought of row by row. For each i E I we take,
where possible, the off-diagonal entries in the ith rovJ of Q and scale them
so they add up to 1, putting a 0 on the diagonal. This is only impossible
when the off-diagonal entries are all 0, then we leave them alone and put a
1 on the diagonal. As you will see in the following example, the associated
diagram transforms into a discrete-time Markov chain diagram simply by
rescaling all the numbers on any arrows leaving a state so they add up to
1.
Example 2.6.1
The Q-matrix
Q = ( ~ 2 ~ 1 ~ )
2 1 -3
88
has diagram:
2. Continuous-time Markov chains I
1
3
1
2
The jump matrix IT of Q is given by
II = ( ~
2/3
and has diagram:
1/2
o
1/3
1
3
1
3
2
Here is the definition of a continuous-time Markov chain in terms of its
jump chain and holding times. Recall that a minimal process is one which
is set equal to 00 after any explosion - see Section 2.2. A minimal right-
continuous process ( X t ) t ~ O on I is a Markov chain with initial distribution
.x and generator matrix Q if its jump chain ( Y n ) n ~ O is discrete-time Mar-
kov(.x, IT) and if for each n ~ 1, conditional on yo, ... ,Y
n
-
1
, its holding
times Sl, ,Sn are independent exponential random variables of param-
eters q(Y
o
), ,q(Yn-1) respectively. We say ( X t ) t ~ O is Markov(.x, Q) for
short. We can construct such a process as follows: let ( Y n ) n ~ O be discrete-
time Markov(.x, IT) and let T
1
, T
2
, ••• be independent exponential random
2.6 Jump chain and holding times 89
variables of parameter 1, independent of Set 8
n
= T
n
/q(Y
n
-
1
),
I
n
= 8
1
+... +8
n
and
{
Yn if I
n
t < I
n
+
1
for some n
X
t
= 00
otherwise.
Then has the required properties.
We shall now describe two further constructions. You will need to un-
derstand these constructions in order to identify processes in applications
which can be modelled as Markov chains. Both constructions make direct
use of the entries in the Q-matrix, rather than proceeding first via the jump
matrix. Here is the second construction.
We begin with an initial state X
o
= Yo with distribution .x, and with an
array : n 1, j E I) of independent exponential random variables of
parameter 1. Then, inductively for n = 0,1,2, ... , if Y
n
= i we set
= for j =I i,
Sn+l =
J-r-'I,
y: _ {j if = 8n +1 < 00
n+1 - . ·f S
'l 1 n+1 = 00.
Then, conditional on Y
n
= i, the random variables are independent
exponentials of parameter qij for all j -=I i. So, conditional on Y
n
= i,
by Theorem 2.3.3, 8
n
+
1
is exponential of parameter qi = Ej:j=i qij, Y
n
+
1
has distribution (7rij : j E I), and 8
n
+
1
and Y
n
+
1
are independent, and
independent of yo, . .. ,Y
n
and 8
1
, ... ,8
n
, as required. This construction
shows why we call qi the rate of leaving i and qij the rate of going from i
to j.
Our third and final construction of a Markov chain with generator matrix
Q and initial distribution .x is based on the Poisson process. Imagine the
state-space I as a labyrinth of chambers and passages, each passage shut
off by a single door which opens briefly from time to time to allow you
through in one direction only. Suppose the door giving access to chamber
j from chamber i opens at the jump times of a Poisson process of rate qij
and you take every chance to move that you can, then you will perform
a Markov chain with Q-matrix Q. In more mathematical terms, we begin
with an initial state X
o
= Yo with distribution .x, and with a family of
independent Poisson processes : i,j E I,i =I j}, having
rate qij. Then set J
o
= °and define inductively for n = 0,1,2, ...
I
n
+
1
= inf{t > I
n
: Nr
nj
=I Nj:
j
for some j #ly
n
}
{
j if I
n
+
1
< 00 and Njnj =I Njnj
Y
n
+
1
= . . n+l n
'l If I
n
+
1
= 00.
90 2. Continuous-time Markov chains I
The first jump time of is exponential of parameter qij. So, by
Theorem 2.3.3, conditional on Yo = i, J
1
is exponential of parameter qi =
Lj#i qij, Y
1
has distribution (7rij : j E I), and J
1
and Y
1
are independent.
Now suppose T is a stopping time of If we condition on X
o
and
on the processes for (k,l) =1= (i,j), which are independent of N;j,
then {T t} depends only on (N;j : s t). So, by the strong Markov
property of the Poisson process N;j := N!}+t - N!} is a Poisson process of
rate qij independent of (N;j : s T), and independent of X
o
and
for (k,l) =1= (i,j). Hence, conditional on T < 00 and XT = i,
has the same distribution as and is independent of (X
s
: s T).
In particular, we can take T = I
n
to see that, conditional on I
n
< 00
and Y
n
= i, 8
n
+
1
is exponential of parameter qi, Y
n
+
1
has distribution
(7rij : j E I), and 8
n
+
1
and Y
n
+
1
are independent, and independent of
yo, ... ,Y
n
and 8
1
, ... ,8
n
· Hence is Markov(-X, Q) and, more-
over, has the strong Markov property. The conditioning on which
this argument relies requires some further justification, especially when the
state-space is infinite, so we shall not rely on this third construction in the
development of the theory.
2.7 Explosion
We saw in the special case of birth processes that, although each holding
time is strictly positive, one can run through a sequence of states with
shorter and shorter holding times and end up taking infinitely many jumps
in a finite time. This phenomenon is called explosion. Recall the notation
of Section 2.2: for a process with jump times Jo, J
1
, J2, ... and holding
times 8
1
, 8
2
, ... , the explosion time ( is given by
00
(= supJ
n
= 2: Sn o
n n==l
Theorem 2.7.1. Let be Markov(-X, Q). Then does not
explode if anyone of the following conditions holds:
(i) I is finite;
(ii) sup qi < 00;
iEI
(iii) X
o
= i, and i is recurrent for the jump chain.
Proof. Set Tn = q(Y
n
-
1
)Sn, then T
1
, T
2
, . .. are independent E(l) and in-
dependent of In cases (i) and (ii), q = SUPi qi < 00 and
00
2. 7 Explosion 91
with probability 1. In case (iii), we know that visits i infinitely
often, at times N
1
, N
2
, • •• , say. Then
00
qi( L TN",+! = 00
m==l
with probability 1. D
We say that a Q-matrix Q is explosive if, for the associated Markov chain
Pi (( < 00) > 0 for some i E I.
Otherwise Q is non-explosive. Here as in Chapter 1 we denote by Pi the
conditional probability Pi(A) = P(AIX
o
= i). It is a simple consequence
of the Markov property for (Yn)n>O that under Pi the process (Xt)t>o is
- -
Markov(8
i
, Q). The result just proved gives simple conditions for non-
explosion and covers many cases of interest. As a corollary to the next
result we shall obtain necessary and sufficient conditions for Q to be explo-
sive, but these are not as easy to apply as Theorem 2.7.1.
Theorem 2.7.2. Let be a continuous-time Markov chain with
generator matrix Q and write ( for the explosion time of (Xt)t>o. Fix
() > 0 and set Zi = Ei(e-(}(). Then Z = (Zi : i E I) satisfies: -
(i) IZil 1 for all i;
(ii) Qz = Oz.
Moreover, ifz also satisfies (i) and (ii), then Zi Zi for all i.
Proof. Condition on X
o
= i. The time and place of the first jump are
independent, J
1
is E(qi) and
Moreover, by the Markov property of the jump chain at time n = 1, con-
ditional on XJ
1
= k, is Markov(8k,Q) and independent of J
1

So
and
92 2. Continuous-time Markov chains I
Recall that qi = -qii and q(Jrik = qik. Then
(0 - qii)Zi = L qikZk
k#i
so
OZi = Lqikzk
kEI
and so z satisfies (i) and (ii). Note that the same argument also shows that
Suppose that zalso satisfies (i) and (ii), then, in particular
for all i. Suppose inductively that
z. < E·(e-
9Jn
)
~ - ~
then, since zsatisfies (ii)
Hence Zi ~ E
i
(e-
9Jn
) for all n. By monotone convergence
as n ~ 00, so Zi ~ Zi for all i. D
Corollary 2.7.3. For each (J > 0 the following are equivalent:
(a) Q is non-explosive;
(b) Qz = (Jz and IZil ~ 1 for all i imply z = o.
Proof. If (a) holds then JP>i(( = 00) = 1 so E
i
(e-
9
() = o. By the theorem,
Qz = (Jz and Izl ~ 1 imply Zi ~ E
i
(e-
9
(), hence z ~ 0, by symmetry z ~ 0,
and hence (b) holds. On the other hand, if (b) holds, then by the theorem
E
i
(e-
9
() = 0 for all i, so JP>i(( = 00) = 1 and (a) holds. D
2.8 Forward and backward equations 93
Exercise
2.7.1 Let (X
t
be a Markov chain on the integers with transition rates
qi,i+l = Aqi, qi,i-l = J-lqi
and qij = °if Ij - il 2, where A + J-l = 1 and qi > °for all i. Find for all
integers i:
(a) the probability, starting from 0, that X
t
hits i;
(b) the expected total time spent in state i, starting from 0.
In the case where J-l = 0, write down a necessary and sufficient condition
for to be explosive. Why is this condition necessary for to
be explosive for all J-l E [0,1/2)?
Show that, in general, is non-explosive if and only if one of the
following conditions holds:
(i) A = J-l;
(ii) A > J-l and 1/qi = 00;
(iii) A < J-l and = 00.
2.8 Forward and backward equations
Although the definition of a continuous-time Markov chain in terms of its
jump chain and holding times provides a clear picture of the process, it does
not answer some basic questions. For example, we might wish to calculate
IPi(X
t
= j). In this section we shall obtain two more ways of characterizing
a continuous-time Markov chain, which will in particular give us a means
to find IPi(X
t
= j). As for Poisson processes and birth processes, the
first step is to deduce the Markov property from the jump chain/holding
time definition. In fact, we shall give the strong Markov property as this
is a fundamental result and the proof is not much harder. However, the
proof of both results really requires the precision of measure theory, so we
have deferred it to Section 6.5. If you want to understand what happens,
Theorem 2.4.1 on the Poisson process gives the main idea in a simpler
context.
Recall that a random variable T with values in [0,00] is a stopping time of
if for each t E [0,00) the event {T t} depends only on (X
s
: s t).
Theorem 2.8.1 (Strong Markov property). Let be
Markov(A, Q) and let T be a stopping time of Then, conditional
on T < 00 and XT = i, is Markov(8
i
, Q) and independent of
(X
s
: s T).
We come to the key result for continuous-time Markov chains. We shall
present first a version for the case of finite state-space, where there is a
94 2. Continuous-time Markov chains I
simpler proof. In this case there are three alternative definitions, just as for
the Poisson process.
Theorem 2.8.2. Let be a right-continuous process with values in
a finite set I. Let Q be a Q-matrix on I with jump matrix II. Then the
following three conditions are equivalent:
(a) (jump chain/holding time definition) conditional on X
o
= i, the
jump chain of is discrete-time Markov(8
i
, IT) and for
each n 1, conditional on yo, . .. ,Y
n
-
1
, the holding times 8
1
, ... ,8
n
are independent exponential random variables of parameters
q(Y
o
), ... ,q(Y
n
-
1
) respectively;
(b) (infinitesimal definition) for all t, h 0, conditional on X
t
= i, Xt+h
is independent of (X
s
: s t) and, as h ! 0, uniformly in t, for all j
(c) (transition probability definition) for all n = 0, 1, 2, ... , all times °::;
to t
1
... t
n
+
1
and all states io, ... ,i
n
+
1
where (Pij (t) : i, j E I, t 0) is the solution of the forward equation
P'(t) = P(t)Q, P(o) = I.
If satisfies any of these conditions then it is called a Markov chain
with generator matrix Q. We say that is Markov(>.., Q) for short,
where>.. is the distribution of X
o
.
Proof. (a) =* (b) Suppose (a) holds, then, as h ! 0,
and for j =I i we have
JP>i(Xh = j) JP>(J1 h, Y1 = j, 8
2
> h)
= (1 - e-qih)7rije-qjh = qijh + o(h).
Thus for every state j there is an inequality
2.8 Forward and backward equations 95
and by taking the finite sum over j we see that these must in fact be
equalities. Then by the Markov property, for any t, h 0, conditional on
X
t
= i, X
t
+
h
is independent of (X
s
: s t) and, as h ! 0, uniformly in t
(b) :::} (c) Set Pij(t) = lFi(X
t
= j) = IF(X
t
= j I X
o
= i). If (b) holds, then
for all t, h 0, as h ! 0, uniformly in t
Pij(t + h) = LlPi(X
t
= k)IP(XHh = j I X
t
= k)
kEI
= LPik(t)(8kj + qkjh + o(h)).
kEI
Since I is finite we have
Pij(t + - Pij(t) = LPik(t)qkj + O(h)
kEI
so, letting h ! 0, we see that Pij(t) is differentiable on the right. Then by
uniformity we can replace t by t - h in the above and let h ! °to see first
that Pij(t) is continuous on the left, then differentiable on the left, hence
differentiable, and satisfies the forward equations
= LPik(t)qkj, Pij(O) = 8ij .
kEI
Since I is finite, Pij(t) is then the unique solution by Theorem 2.1.1. Also,
if (b) holds, then
and, moreover, (b) holds for so, by the above argument,
proving (c).
(c) :::} (a) See the proof of Theorem 2.4.3. D
We know from Theorem 2.1.1 that for I finite the forward and backward
equations have the same solution. So in condition (c) of the result just
proved we could replace the forward equation with the backward equation.
Indeed, there is a slight variation of the argument from (b) to (c) which
leads directly to the backward equation.
96 2. Continuous-time Markov chains I
The deduction of (c) from (b) above can be seen as the matrix version
of the following result: for q E lR we have
(1 + + o( )n -4 e
q
as n -4 00.
Suppose (b) holds and set
Pij(t, t +h) = P(X
t
+
h
= j I X
t
= i);
then P(t, t +h) = (Pij(t, t +h) : i,j E I) satisfies
P(t, t +h) = I +Qh +o(h)
and
... =
Some care is needed in making this precise, since the o(h) terms, though
uniform in t, are not a priori identical. On the other hand, in (c) we see
that
P(O, t) = e
tQ
.
We turn now to the case of infinite state-space. The backward equation
may still be written in the form
P'(t) = QP(t), P(O) = I
only now we have an infinite system of differential equations
= L qikPkj(t), Pij(O) = 15ij
kEI
and the results on matrix exponentials given in Section 2.1 no longer apply.
A solution to the backward equation is any matrix (pij(t) : i,j E I) of
differentiable functions satisfying this system of differential equations.
Theorem 2.8.3. Let Q be a Q-matrix. Then the backward equation
P'(t) = QP(t), P(O) = I
has a minimal non-negative solution (P(t) : t 2: 0). This solution forms a
matrix semigroup
P(s)P(t) = P(s +t) for all s, t O.
We shall prove this result by a probabilistic method in combination with
Theorem 2.8.4. Note that if I is finite we must have P(t) = e
tQ
by Theorem
2.1.1. We call (P(t) : t 0) the minimal non-negative semigroup associated
to Q, or simply the semigroup of Q, the qualifications minimal and non-
negative being understood.
Here is the key result for Markov chains with infinite state-space. There
are just two alternative definitions now as the infinitesimal characterization
become problematic for infinite state-space.
2.8 Forward and backward equations 97
(2.2)
Theorem 2.8.4. Let be a minimal right-continuous process with
values in I. Let Q be a Q-matrix on I with jump matrix IT and semigroup
(P(t) : t 0). Then the following conditions are equivalent:
(a) (jump chain/holding time definition) conditional on X
o
= i, the
jump chain of is discrete-time Markov(8i, II) and for
each n 1, conditional on yo, . .. ,Y
n
-
1
, the holding times 8
1
, ... ,8
n
are independent exponential random variables of parameters
q(Y
o
), ... ,q(Y
n
-
1
) respectively;
(b) (transition probability definition) for all n = 0,1,2, ... , all times 0
to tl ... t
n
+l and all states io, il, ... ,i
n
+l
If satisfies any of these conditions then it is called a Markov chain
with generator matrix Q. We say that is Markov (A, Q) for short,
where A is the distribution of X
o
.
Proof of Theorems 2.8.3 and 2.8.4. We know that there exists a process
satisfying (a). So let us define P(t) by
Pij(t) =JP>i(X
t
=j).
Step 1. We show that P(t) satisfies the backward equation.
Conditional on X
o
= i we have J
1
rv E(ql) and X
J1
rv (7rik : k E I).
Then conditional on J
1
= sand X
J1
= k we have rv
Markov(8k, Q). So
and
JP>i(J1 ::; t, XJI = k, X
t
= j) = I
t
qie-QiS7rikPkj(t - s)ds.
Therefore
Pij(t) = JP>i(X
t
= j, t < J1) + LJP>i(J1 ::; t, XJl = k, X
t
= j)
k#i
= e-Qit8ij + 2: t qie-QiS7rikPkj(t - s)ds. (2.1)
k#i Jo
Make a change of variable u = t - s in each of the integrals, interchange
sum and integral by monotone convergence and multiply by e
qit
to obtain
eQitpij(t) = 8
ij
+ t L qieQiU7rikPkj(u)du.
Jo k#i
98 2. Continuous-time Markov chains I
This equation shows, firstly, that Pij (t) is continuous in t for all i, j.
Secondly, the integrand is then a uniformly converging sum of continuous
functions, hence continuous, and hence Pij (t) is differentiable in t and sat-
isfies
eqit(qiPij(t) + P ~ j ( t ) ) = L qieqit7rikPkj(t).
k#i
Recall that qi = -qii and qik = qi'lrik for k =I i. Then, on rearranging, we
obtain
P ~ j ( t ) = L qikPkj(t)
kEI
(2.3)
so P(t) satisfies the backward equation.
The integral equation (2.1) is called the integral form of the backward
equation.
Step 2. We show that if P(t) is another non-negative solution of the back-
ward equation, then P(t) ~ P(t), hence P(t) is the minimal non-negative
solution.
The argument used to prove (2.1) also shows that
JP>i(X
t
=j,t < I
n
+l)
= e-qit15ij + L rt qie-QiS7rikJP>k(Xt-s = j, t - s < In)ds.
k=li Jo (2.4)
On the other hand, if P(t) satisfies the backward equation, then, by revers-
ing the steps from (2.1) to (2.3), it also satisfies the integral form:
If P(t) 2 0, then
for all i, j and t.
Let us suppose inductively that
for all i, j and t,
then by comparing (2.4) and (2.5) we have
for all i, j and t,
2.8 Forward and backward equations
and the induction proceeds. Hence
99
for all i, j and t.
Step 3. Since does not return from 00 we have
Pij(S + t) = lPi(Xs+t = j) = LlPi(XS+
t
= j I X s = k)lPi(Xs = k)
kEI
= :ElPi(X
s
= k)lPk(X
t
= j) = :EPik(S)Pkj(t)
kEI kEI
by the Markov property. Hence (P(t) : t 0) is a matrix semigroup. This
completes the proof of Theorem 2.8.3.
Step 4. Suppose, as we have throughout, that satisfies (a). Then,
by the Markov property
P(X
tn
+
1
= i
n
+
1
IX
to
= io, ... ,X
tn
= in)
=Pin (Xtn+l-tn = i n+1) = Pi
n
i
n
+l (t n+l - tn)
so satisfies (b). We complete the proof of Theorem 2.8.4 by the
usual argument that (b) must now imply (a) (see the proof of Theorem
2.4.3, (c) :::} (a)). D
So far we have said nothing about the forward equation in the case of
infinite state-space. Remember that the finite state-space results of Section
2.1 are no longer valid. The forward equation may still be written
P'(t) = P(t)Q, P(O) = I,
now understood as an infinite system of differential equations
= LPik(t)qkj, Pij(O) = 8ij .
kEI
A solution is then any matrix (pij(t) : i,j E I) of differentiable functions
satisfying this system of equations. We shall show that the
(P(t) : t 0) of Q does satisfy the forward equations, by a probabilistic
argument resembling Step 1 of the proof of Theorems 2.8.3 and 2.8.4. This
time, instead of conditioning on the first event, we condition on the last
event before time t. The argument is a little longer because there is no
reverse-time Markov property to give the conditional distribution. We need
the following time-reversal identity, a simple version of which was given in
Theorem 2.3.4.
100 2. Continuous-time Markov chains I
Lemma 2.8.5. We have
qinJP(J
n
~ t < I
n
+
1
I Yo = io, Y
1
= i
1
, ... ,Y
n
= in)
= qioJP(Jn ~ t < I n+
1
I Yo = in,· .. , Y
n
-
1
= iI, Y
n
= io).
Proof· Conditional on Yo = i
o
, ... ,Y
n
= in, the holding times 8
1
, ... ,8
n
+
1
are independent with 8k rv E(qik_l). So the left-hand side is given by
{ qi
n
exp{-qi
n
(t - Sl - · · · - sn)} IT qik-l exp{-qik-l Sk}dsk
Jt:!..(t) k=l
where Ll(t) = {(SI, ... ,sn) : SI + ... + Sn ~ t and SI, ... ,8
n
~ O}. On
making the substitutions Ul = t - 81 - ... - Sn and Uk = 8
n
-k+2, for
k = 2, ... ,n, we obtain
qinJP(Jn ~ t < I n+
1
I Yo = i
o
,· .. ,Y
n
= in)
= ( qio exp{-qio(t - U1 - · .. - Un)} IT qin-k+l exp{-qin-k+l Uk}duk
Jt:!..(t) k=l
=qioJP(J
n
~ t < I
n
+
1
I Yo = in, . .. ,Y
n
-
1
= iI, Y
n
= io). D
Theorem 2.8.6. The minimal non-negative solution (P(t) : t 2: 0) of the
backward equation is also the minimal non-negative solution of the forward
equation
P'(t) = P(t)Q, P(O) = I.
Proof. Let ( X t ) t ~ O denote the minimal Markov chain with generator matrix
Q. By Theorem 2.8.4
00
= L LJP>i(Jn ::; t < In+i, Y
n
-
1
= k, Y
n
= j).
n==O k=j:j
Now by Lemma 2.8.5, for n ~ 1, we have
JPi(J
n
~ t < I
n
+
1
I Y
n
-
1
= k, Y
n
= j)
= (qi/qj)JPj(J
n
~ t < I
n
+
1
I Y
1
= k, Y
n
= i)
= (qi/Qj) it qje-QjBJP>k(Jn_1 ::; t - S < I
n
I Yn-1 = i)ds
= qi I
t
e-
QjB
(qk/qi)JP>i (In-1 ::; t - s < I
n
I Y
n
-
1
= k)ds
2.8 Forward and backward equations 101
where we have used the Markov property of for the second equality.
Hence
Pij(t) = 8ije-qit + f '2: it JP>i(Jn-l ::; t - s < I
n
I Y
n
-
1
= k)
n=lki=i 0
X IPi(Y
n
-
1
= k, Y
n
= j)Qke-qj8ds
00 ft
=8ije-qit + L L io JP>i(Jn-l ::; t - s< I
n
, Y
n
-
1
= k)qk'lrkje-qjSds
n=lki=i 0
= 8ije-qit + t '2:Pik(t - s)qkje-qjSds (2.6)
io k#j
where we have used monotone convergence to interchange the sum and
integral at the last step. This is the integral form of the forward equation.
Now make a change of variable u = t - s in the integral and multiply by
e
qjt
to obtain
(2.7)
We know by equation (2.2) that eqitpik(t) is increasing for all i, k. Hence
either
'2:Pik(U)qkj converges uniformly for u E [0, t]
ki=i
or
LPik(U)qkj = 00 for all u t.
ki=j
The latter would contradict (2.7) since the left-hand side is finite for all t,
so it is the former which holds. We know from the backward equation that
Pii (t) is continuous for all i, j; hence by uniform convergence the integrand
in (2.7) is continuous and we may differentiate to obtain
+ Pij(t)qj = '2:Pik(t)qkj.
ki=i
Hence P(t) solves the forward equation.
To establish minimality let us suppose that Pij(t) is another solution of
the forward equation; then we also have
102 2. Continuous-time Markov chains I
A small variation of the argument leading to (2.6) shows that, for n ~ 0
Pi(X
t
= j, t < I
n
+
1
)
= 8ije-qit + L (t IP\(X
t
= j, t < In)qkje-QjBds. (2.8)
k#jJo
If P(t) ~ 0, then
P(X
t
= j, t < J
o
) = 0 ~ Pij (t) for all i, j and t.
Let us suppose inductively that
then by comparing (2.7) and (2.8) we obtain
and the induction proceeds. Hence
Exercises
2.8.1 Two fleas are bound together to take part in a nine-legged race on the
vertices A, B, C of a triangle. Flea 1 hops at random times in the clockwise
direction; each hop takes the pair from one vertex to the next and the times
between successive hops of Flea 1 are independent random variables, each
with with exponential distribution, mean 1/A. Flea 2 behaves similarly,
but hops in the anticlockwise direction, the times between his hops having
mean 1/Il. Show that the probability that they are at A at a given time
t > 0 (starting from A at time t = 0) is
2.8.2 Let ( X t ) t ; ~ o be a birth-and-death process with rates An = nA and
Iln = nil, and assume that X
o
= 1. Show that h(t) = P(X
t
= 0) satisfies
2.9 Non-minimal chains
and deduce that if A =I J-l then
2.9 Non-minimal chains
103
This book concentrates entirely on processes which are right-continuous
and minimal. These are the simplest sorts of process and, overwhelmingly,
the ones of greatest practical application. We have seen in this chapter
that we can associate to each distribution A and Q-matrix Q a unique
such process, the Markov chain with initial distribution A and generator
matrix Q. Indeed we have taken the liberty of defining Markov chains to be
those processes which arise in this way. However, these processes do not by
any means exhaust the class of memoryless continuous-time processes with
values in a countable set I. There are many more exotic possibilities, the
general theory of which goes very much deeper than the account given in
this book. It is in the nature of things that these exotic cases have received
the greater attention among mathematicians. Here are some examples to
help you imagine the possibilities.
Example 2.9.1
Consider a birth process ( X t ) t ~ O starting from 0 with rates qi = 2
i
for i ~ o.
We have chosen these rates so that
00 00
Lq:;l = L2-i < 00
i=O i=O
which shows that the process explodes (see Theorems 2.3.2 and 2.5.2). We
have until now insisted that X
t
= 00 for all t 2 (, where ( is the explosion
time. But another obvious possibility is to start the process off again from
oat time (, and do the same for all subsequent explosions. An argument
based on the memoryless property of the exponential distribution shows
that for 0 ~ to ~ . . . ~ t
n
+1 this process satisfies
for a semigroup of stochastic matrices (P(t) : t ~ 0) on I. This is the
defining property for a more general class of Markov chains. Note that
the chain is no longer determined by A and Q alone; the rule for bringing
( X t ) t ~ O back into I after explosion also has to be given.
104 2. Continuous-time Markov chains I
Example 2.9.2
We make a variation on the preceding example. Suppose now that the jump
chain of is the Markov chain on Z which moves one step away from
owith probability 2/3 and one step towards 0 with probability 1/3, and
that Yo = O. Let the transition rates for be qi = 2
1il
for i E Z. Then
is again explosive. (A simple way to see this using some results of
Chapter 3 is to check that is transient but has an invariant
distribution - by solution of the detailed balance equations. Then Theorem
3.5.3 makes explosion inevitable.) Now there are two ways in which
can explode, either X
t
-00 or X
t
00.
The process may again be restarted at 0 after explosion. Alternatively,
we may choose the restart randomly, and according to the way that explo-
sion occurred. For example
if X
t
-00 as t i (
if X
t
00 as t i (
where Z takes values ±1 with probability 1/2.
Example 2.9.3
The processes in the preceding two examples, though no longer minimal,
were at least right-continuous. Here is an altogether more exotic example,
due to P. Levy, which is not even right-continuous. Consider
for n 0
and set I = UnD
n
. With each i E D
n
\D
n
-
1
we associate an independent
exponential random variable Si of parameter (2
n
)2. There are 2
n
-
1
states
in (Dn\Dn-l) n [0,1), so, for all i E I
and
Now define
if L Sj :::; t < L Sj for some i E I
j<i
otherwise.
2.10 Appendix: matrix exponentials 105
This process runs through all the dyadic rationals i E I in the usual order.
It remains in i E D
n
\D
n
-
1
for an exponential time of parameter 1. Between
any two distinct states i and j it makes infinitely many visits to 00. The
Lebesgue measure of the set of times t when X
t
= 00 is zero. There is a
semigroup of stochastic matrices (P(t) : t ~ 0) on I such that, for 0 ~ to ~
... ~ tn+l
In particular, P(X
t
= 00) = 0 for all t ~ O. The details may be found in
Markov Chains by D. Freedman (Holden-Day, San Francisco, 1971).
We hope these three examples will serve to suggest some of the possibil-
ities for more general continuous-time Markov chains. For further reading,
see Freedman's book, or else Markov Chains with Stationary Transition
Probabilities by K.-L. Chung (Springer, Berlin, 2nd edition, 1967), or Dif-
fusions, Markov Processes and Martingales, Vol 1: Foundations by L. C. G.
Rogers and D. Williams (Wiley, Chichester, 2nd edition, 1994).
2.10 Appendix: matrix exponentials
Define two norms on the space of real-valued N x N -matrices
IQI = sup IQvl/lvl, IIQlloo = sup Iqijl·
v#O i,j
Obviously, IIQlloo is finite for all Q and controls the size of the entries in
Q. We shall show that the two norms are equivalent and that IQI is well
adapted to sums and products of matrices, which IIQlloo is not.
Lemma 2.10.1. We have
(a) IIQlloo ~ IQI ~ NIIQlloo;
(b) IQl +Q21 ~ IQll + IQ21 and IQIQ21 ~ IQIIIQ21·
Proof. (a) For any vector v we have IQvl ~ IQllvl. In particular, for the
vector Cj = (0, ... ,1, ... ,0), with 1 in the jth place, we have IQcjl ~ IQI.
The supremum defining IIQlloo is achieved, at j say, so
I I Q I I ~ ~ L(qij)2 = IQcjl2 ~ IQI
2
.
i
106
On the other hand
2. Continuous-time Markov chains I
IQvI
2
= 2
( IIQllooIVjl) 2
= ( IVjl) 2
and, by the Cauchy-Schwarz inequality
(b) For any vector v we have
I(QI +Q2)vl IQI
V
I+ IQ2
V
l (IQll + IQ21)1vl,
IQIQ2
V
l IQI11Q2
V
l IQIIIQ21Ivl· D
Now for n = 0,1,2, ... , consider the finite sum
n Qk
E(n) = L kf'
k=O
For each i and j, and m n, we have
I(E(n) - E(m))iil IIE(n) - E(m)lloo IE(n) - E(m)1
n Qk
Lkf
k=m+l
n IQl
k
< '" -
- LJ k!·
k=m+l
Since IQI NllQlloo < 00, IQl
k
/k! converges by the ratio test, so
n IQl
k
'" -
LJ k!
k=m+l
as m,n 00.
2.10 Appendix: matrix exponentials 107
Hence each component of E(n) forms a Cauchy sequence, which therefore
converges, proving that
CX) Qk
e
Q
= L kf
k=O
is well defined and, indeed, that the power series
(
t
Q
) .. _ ~ (tQ)fj
e '1,) - L.-J k!
k=O
has infinite radius of convergence for all i,j. Finally, for two commuting
matrices Q1 and Q2 we have
3
Continuous-time Markov chains II
This chapter brings together the discrete-time and continuous-time theo-
ries, allowing us to deduce analogues, for continuous-time chains, of all the
results given in Chapter 1. All the facts from Chapter 2 that are necessary
to understand this synthesis are reviewed in Section 3.1. You will require
a reasonable understanding of Chapter 1 here, but, given such an under-
standing, this chapter should look reassuringly familiar. Exercises remain
an important part of the text.
3.1 Basic properties
Let I be a countable set. Recall that a Q-matrix on I is a matrix Q =
(qij : i,j E I) satisfying the following conditions:
(i) 0 ~ -qii < 00 for all i;
(ii) qij 2 0 for all i =I j;
(iii) L qij = 0 for all i.
jEI
We set qi = q(i) = -qii. Associated to any Q-matrix is a jump matrix
IT = (7rij : i,j E I) given by
1r.. _ { qij / qi if j =I i and qi =I 0
~ J - 0 if j =I i and qi = 0,
7r.. _ {o if qi =I 0
~ ~ - 1 if qi = o.
Note that II is a stochastic matrix.
3.1 Basic properties 109
A sub-stochastic matrix on I is a matrix P = (Pij : i, j E I) with non-
negative entries and such that
LPij ::; 1 for all i.
jEI
Associated to any Q-matrix is a semigroup (P(t) : t 2 0) of sub-stochastic
matrices P(t) = (Pij(t) : i,j E I). As the name implies we have
P(s)P(t) = P(s +t) for all s, t 2 o.
You will need to be familiar with the following terms introduced in Sec-
tion 2.2: minimal right-continuous random process, jump times, holding
times, jump chain and explosion. Briefly, a right-continuous process ( X t ) t ~ O
runs through a sequence of states Yo, Y
1
, Y
2
, . .. , being held in these states
for times 8
1
,8
2
,8
3
, ... respectively and jumping to the next state at times
J
1
, J
2
, J
3
,· ... Thus I
n
= 8
1
+... +8
n
. The discrete-time process ( Y n ) n ~ O
is the jump chain, (8
n
)n>1 are the holding times and (I
n
)n>1 are the jump
- -
times. The explosion time ( is given by
00
( = '""" 8n = lim I n .
L.J n--+-oo
n=l
For a minimal process we take a new state 00 and insist that X
t
= 00 for
all t 2 (. An important point is that a minimal right-continuous process is
determined by its jump chain and holding times.
The data for a continuous-time Markov chain ( X t ) t ~ O are a distribution
-X and a Q-matrix Q. The distribution -X gives the initial distribution, the
distribution of X
o
. The Q-matrix is known as the generator matrix of
( X t ) t ~ O and determines how the process evolves from its initial state. We
established in Section 2.8 that there are two different, but equivalent, ways
to describe how the process evolves.
The first, in terms of jump chain and holding times, states that
(a) ( Y n ) n ~ O is Markov(-X, IT);
(b) conditional on Yo = i
o
, ... ,Y
n
-
1
= in-I, the holding times 8
1
, ... ,Sn
are independent exponential random variables of parameters
qi
o
' . .. ,qi
n
-1 .
Put more simply, given that the chain starts at i, it waits there for an
exponential time of parameter qi and then jumps to a new state, choosing
state j with probability 1rij. It then starts afresh, forgetting what has gone
before.
110 3. Continuous-time Markov chains II
The second description, in terms of the semigroup, states that the finite-
dimensional distributions of the process are given by
(c) for all n = 0,1,2, ... , all times 0 to tl ... tn+l and all states
i
o
, iI, . .. ,i
n
+1
Again, put more simply, given that the chain starts at i, by time t it is
found in state j with probability Pij (t). It then starts afresh, forgetting
what has gone before. In the case where
Pioo(t) := 1 - :EPij(t) > 0
jEI
the chain is found at 00 with probability Pi 00 (t). The semigroup P(t) is re-
ferred to as the transition matrix of the chain and its entries Pij (t) are the
transition probabilities. This description implies that for all h > 0 the dis-
crete skeleton is Markov(.x, P(h)). Strictly, in the explosive case,
that is, when P(t) is strictly sub-stochastic, we should say P(h)),
where and P(h) are defined on IU{oo}, extending.x and P(h) by = 0
and Pooj(h) = O. But there is no danger of confusion in using the simpler
notation.
The information coming from these two descriptions is sufficient for most
of the analysis of continuous-time chains done in this chapter. Note that
we have not yet said how the semigroup P(t) is associated to the Q-matrix
Q, except via the process! This extra information will be required when
we discuss reversibility in Section 3.7. So we recall from Section 2.8 that
the semigroup is characterized as the minimal non-negative solution of the
backward equation
P'(t) = QP(t), P(O) = I
which reads in components
= L qikPkj(t), Pij(O) = 8ij .
kEI
The semigroup is also the minimal non-negative solution of the forward
equation
P'(t) = P(t)Q, P(O) = I.
In the case where I is finite, P(t) is simply the matrix exponential e
tQ
, and
is the unique solution of the backward and forward equations.
3.2 Class structure
3.2 Class structure
111
A first step in the analysis of a continuous-time Markov chain is to
identify its class structure. We emphasise that we deal only with minimal
chains, those that die after explosion. Then the class structure is simply
the discrete-time class structure of the jump chain as discussed in
Section 1.2.
We say that i leads to j and write i j if
lPi(X
t
= j for some t 0) > o.
We say i communicates with j and write i j if both i j and j
i. The notions of communicating class, closed class, absorbing state and
irreducibility are inherited from the jump chain.
Theorem 3.2.1. For distinct states i and j the following are equivalent:
(i) i
(ii) i j for the jump chain;
(iii) Q
i
oilqili2 ... Qin-li
n
> 0 for some states io,iI, ... ,in with i
o
= i,
in = j;
(iv) Pij(t) > 0 for all t > 0;
(v) Pij(t) > 0 for some t > o.
Proof. Implications (iv) => (v) => (i) => (ii) are clear. If (ii) holds, then
by Theorem 1.2.1, there are states io, i
I
, ... ,in with io = i, in = j and
'1rioi
l
'1rili2 ... '1ri
n
-li
n
> 0, which implies (iii). If qij > 0, then
for all t > 0, so if (iii) holds, then
Pij (t) Pioil (tin) ... Pin-lin (tin) > 0
for all t > 0, and (iv) holds. D
Condition (iv) of Theorem 3.2.1 shows that the situation is simpler than
in discrete-time, where it may be possible to reach a state, but only after a
certain length of time, and then only periodically.
3.3 Hitting times and absorption probabilities
Let (Xt)t>o be a Markov chain with generator matrix Q. The hitting time
of a subset A of I is the random variable D
A
defined by
112 3. Continuous-time Markov chains II
with the usual convention that inf 0 = 00. We emphasise that (Xt)t>o is
minimal. So if H A is the hitting time of A for the jump chain, then -
{H
A
< oo} = {D
A
< oo}
and on this set we have
D
A
= JHA.
The probability, starting from i, that ( X t ) t ~ O ever hits A is then
When A is a closed class, hf is called the absorption probability. Since the
hitting probabilities are those of the jump chain we can calculate them as
in Section 1.3.
Theorem 3.3.1. The vector of hitting probabilities h
A
= (hf : i E I) is
the minimal non-negative solution to the system of linear equations
Proof. Apply Theorem 1.3.2 to the jump chain and rewrite (1.3) in terms
ofQ. D
The average time taken, starting from i, for ( X t ) t ~ O to reach A is given
by
In calculating kf we have to take account of the holding times so the rela-
tionship to the discrete-time case is not quite as simple.
1
1 2
2
1
3
3
3
2
4
3.3 Hitting times and absorption probabilities 113
(3.1)
Example 3.3.2
Consider the Markov chain with the diagram given on the preceding
page. How long on average does it take to get from 1 to 4?
Set k
i
= E
i
(time to get to 4). On starting in 1 we spend an average time
ql
1
= 1/2 in 1, then jump with equal probability to 2 or 3. Thus
k 1 = + k2 + k3
and similarly
k 2 = + k 1 + k 3 , k 3 = + k 1 + k 2 .
On solving these linear equations we find k
1
= 17/12.
Here is the general result. The proof follows the same lines as Theorem
1.3.5.
Theorem 3.3.3. Assume that qi > 0 for all i fj. A. The vector of expected
hitting times k
A
= (kt : i E I) is the minimal non-negative solution to the
system of linear equations
{
kt = 0 for i E A
- LjEI qijkf = 1 for i fj. A.
Proof. First we show that k
A
satisfies (3.1). If X
o
= i E A, then D
A
= 0,
so kt = o. If X
o
= i fj. A, then D
A
J
1
, so by the Markov property of the
jump chain
so
kt = Ei(D
A
) = Ei(J
1
)+LE(DA-J
1
I Y
1
= j)IP\(Y
l
= j) = q;l+L 'lrij
k
1
j#i j#i
and so
- Lqijk1 = 1.
JEI
Suppose now that Y = (Yi : i E I) is another solution to (3.1). Then
kf = Yi = 0 for i E A. Suppose i fj. A, then
-1 '"' -1 '"' (-1 '"' ) Yi = qi + 'lrijYj = qi + 'lrij qj + 'lrjkYk

= Ei(Sl) + Ei (S2
1
{HA:2:2}) + L L'lrij'lrjkYk.

114 3. Continuous-time Markov chains II
By repeated substitution for y in the final term we obtain after n steps
Yi = lEi(Sd + ... + lEi (Sn
1
{HA:2:n}) + L ... L 1riil .. ·
1r
in-dnYin·

So, if y is non-negative
where we use the notation HA /\ n for the minimum of H
A
and n. Now
so, by monotone convergence, Yi E
i
(DA) = kf, as required. D
Exercise
3.3.1 Consider the Markov chain on {I, 2, 3, 4} with generator matrix
Q=
1/6
o
1/2
-1/2
o
o
1/2
o
-1/3
o

1/6
o.
Calculate (a) the probability of hitting 3 starting from 1, (b) the expected
time to hit 4 starting from 1.
3.4 Recurrence and transience
Let be Markov chain with generator matrix Q. Recall that we insist
be minimal. We say a state i is recurrent if
JP>i({t 0: X
t
= i} is unbounded) = 1.
We say that i is transient if
JP>i( {t 0 : X
t
= i} is unbounded) = O.
Note that if can explode starting from i then i is certainly not
recurrent. The next result shows that, like class structure, recurrence and
transience are determined by the jump chain.
3.4 Recurrence and transience 115
Theorem 3.4.1. We have:
(i) if i is recurrent for the jump chain then i is recurrent for

(ii) if i is transient for the jump chain, then i is transient for
(iii) every state is either recurrent or transient;
(iv) recurrence and transience are class properties.
Proof. (i) Suppose i is recurrent for If X
o
= i then does
not explode and I
n
00 by Theorem 2.7.1. Also X(J
n
) = Y
n
= i infinitely
often, so {t 0 : X
t
= i} is unbounded, with probability 1.
(ii) Suppose i is transient for If X
o
= i then
N = sup{n 0 : Y
n
= i} < 00,
so {t 0: X
t
= i} is bounded by J(N +1), which is finite, with probability
1, because (Y
n
: n N) cannot include an absorbing state.
(iii) Apply Theorem 1.5.3 to the jump chain.
(iv) Apply Theorem 1.5.4 to the jump chain. D
The next result gives continuous-time analogues of the conditions for
recurrence and transience found in Theorem 1.5.3. We denote by T
i
the
first passage time of to state i, defined by
Ti(w) = inf{t J
1
(w) : Xt(w) = i}.
Theorem 3.4.2. The following dichotomy holds:
(i) if qi = 0 or IPi(T
i
< 00) = 1, then i is recurrent and Jo
oo
Pii(t)dt = 00;
(ii) ifqi > 0 and IPi(T
i
< 00) < 1, then i is transient and Jo
oo
Pii(t)dt < 00.
Proof. If qi = 0, then cannot leave i, so i is recurrent, Pii(t) = 1
for all t, and Jo
oo
Pii(t)dt = 00. Suppose then that qi > o. Let N
i
denote
the first passage time of the jump chain to state i. Then
IPi(N
i
< 00) = IPi(T
i
< 00)
so i is recurrent if and only if IPi(T
i
< 00) = 1, by Theorem 3.4.1 and the
corresponding result for the jump chain.
Write 1r}j) for the (i,j) entry in rrn. We shall show that
1
00 1 00
_ (n)
pii(t)dt - --:- L 1r
ii
o q1, n=O
(3.2)
so that i is recurrent if and only if Jo
oo
Pii(t)dt = 00, by Theorem 3.4.1 and
the corresponding result for the jump chain.
116 3. Continuous-time Markov chains II
To establish (3.2) we use Fubini's theorem (see Section 6.4):
00
= lEi L Sn+l
1
{Yn=i}
n=O
00 1 00
= L lEi (Sn+l I Yn = i)JP>i(Yn = i) = --:- L 0
n=O n=O
Finally, we show that recurrence and transience are determined by any
discrete-time sampling of
Theorem 3.4.3. Let h > 0 be given and set Zn = X
nh
.
(i) If i is recurrent for then i is recurrent for
(ii) If i is transient for then i is transient for
Proof. Claim (ii) is obvious. To prove (i) we use for nh t < (n + l)h the
estimate
which follows from the Markov property. Then, by monotone convergence
and the result follows by Theorems 1.5.3 and 3.4.2. D
Exercise
3.4.1 Customers arrive at a certain queue in a Poisson process of rate A.
The single 'server' has two states A and B, state A signifying that he is 'in
attendance' and state B that he is having a tea-break. Independently of
how many customers are in the queue, he fluctuates between these states
as a Markov chain Y on {A, B} with Q-matrix
(
-a a)
(3 -(3 .
The total service time for any customer is exponentially distributed with
parameter J-l and is independent of the chain Y and of the service times of
other customers.
3.5 Invariant distributions
Describe the system as a Markov chain X with state-space
117
An signifying that the server is in state A and there are n people in the
queue (including anyone being served) and B
n
signifying that the server is
in state B and there are n people in the queue.
Explain why, for some fJ in (0,1], and k = 0,1,2, ... ,
Show that (fJ - 1) f (fJ) = 0, where
By considering f(l) or otherwise, prove that X is transient if 1l(3 < A(a+(3),
and explain why this is intuitively obvious.
3.5 Invariant distributions
Just as in the discrete-time theory, the notions of invariant distribution
and measure play an important role in the study of continuous-time Markov
chains. We say that A is invariant if
AQ=O.
Theorem 3.5.1. Let Q be a Q-matrix with jump matrix IT and let A be
a measure. The following are equivalent:
(i) A is invariant;
(ii) Il IT = Il where Ili = Aiqi.
Proof· We have qi ('lrij - bij) = qij for all i, j, so
(Jl(II - I))j = :EJli(1rij - 8ij ) = :E,xiqij = (,xQk D
iEI iEI
This tie-up with measures invariant for the jump matrix means that we
can use the existence and uniqueness results of Section 1.7 to obtain the
following result.
118 3. Continuous-time Markov chains II
Theorem 3.5.2. Suppose that Q is irreducible and recurrent. Then Q has
an invariant measure A which is unique up to scalar multiples.
Proof. Let us exclude the trivial case I = {i}; then irreducibility forces
qi > 0 for all i. By Theorems 3.2.1 and 3.4.1, II is irreducible and recurrent.
Then, by Theorems 1.7.5 and 1.7.6, II has an invariant measure jj, which is
unique up to scalar multiples. So, by Theorem 3.5.1, we can take Ai = jji/qi
to obtain an invariant measure unique up to scalar multiples. D
Recall that a state i is recurrent if qi = 0 or lPi (Ti < 00) = 1. If qi = 0
or the expected return time mi = Ei(Ti) is finite then we say i is positive
recurrent. Otherwise a recurrent state i is called null recurrent. As in the
discrete-time case positive recurrence is tied up with the existence of an
invariant distribution.
Theorem 3.5.3. Let Q be an irreducible Q-matrix. Then the following
are equivalent:
(i) every state is positive recurrent;
(ii) some state i is positive recurrent;
(iii) Q is non-explosive and has an invariant distribution A.
Moreover, when (iii) holds we have mi = l/(Aiqi) for all i.
Proof. Let us exclude the trivial case I = {i}; then irreducibility forces
qi > 0 for all i. It is obvious that (i) implies (ii). Define J-li = (J-l; : j E I)
by
fTil\(
f . L ~ = Ei 10 1{xs=j}ds,
where T
i
/\ ( denotes the minimum of T
i
and (. By monotone convergence,
L f.L; = Ei(Ti 1\ ().
jEI
Denote by N
i
the first passage time of the jump chain to state i. By Fubini's
theorem
00
f.L; = Ei L Sn+l
1
{Yn=j,n<Nd
n=O
00
= LEi(Sn+l IYn =j)Ei (l{Y
n
=j,n<N
i
})
n=O
00
= ~ l E · '""" 1 .
qJ ~ L.J {Yn=J,n<Ni }
n=O
Ni-l
= q;l Ei L l{Y
n
=j} = ,j/qj
n=O
3.5 Invariant distributions 119
where, in the notation of Section 1.7, ,,; is the expected time in j between
visits to i for the jump chain.
Suppose (ii) holds, then i is certainly recurrent, so the jump chain is
recurrent, and Q is non-explosive, by Theorem 2.7.1. We know that "ill =
"i by Theorem 1.7.5, so J-liQ = 0 by Theorem 3.5.1. But J-li has finite total
mass
L Jl; = Ei(Ti) = mi
jEI
so we obtain an invariant distribution A by setting Aj = J-l;/mi.
On the other hand, suppose (iii) holds. Fix i E I and set Vj =
Ajqj/(Aiqi); then Vi = 1 and vll = v by Theorem 3.5.1, so Vj ~ ,,; for
all j by Theorem 1.7.6. So
mi = LJl; = L ,;/qj ~ L Vj/Qj
jEI jEI jEI
= 2: Aj/(Aiqi) = l/(Aiqi) < 00
jEI
showing that i is positive recurrent.
To complete the proof we return to the preceding calculation armed
with the knowledge that Q is recurrent, hence 11 is recurrent, Vj = ,,; and
mi = l/(Aiqi) for all i. D
The following example is a caution that the existence of an invariant
distribution for a continuous-time Markov chain is not enough to guarantee
positive recurrence, or even recurrence.
Example 3.5.4
Consider the Markov chain ( X t ) ( ~ O on Z+ with the following diagram,
where qi > 0 for all i and where 0 < A = 1 - J-l < 1:
1
AqO
...- - - ~ - - .......- - - - - -
o i-I i i+1
The jump chain behaves as a simple random walk away from 0, so ( X t ) ( ~ O
is recurrent if A ~ J-l and transient if A > J-l. To compute an invariant
measure v it is convenient to use the detailed balance equations
for all i, j.
120 3. Continuous-time Markov chains II
Look ahead to Lemma 3.7.2 to see that any solution is invariant. In this
case the non-zero equations read
for all i.
So a solution is given by Vi = q:;l(A/Il)i. If the jump rates qi are constant
then v can be normalized to produce an invariant distribution precisely
when A < Il.
Consider, on the other hand, the case where qi = 2
i
for all i and
1 < AIIl < 2. Then v has finite total mass so ( X t ) t ~ O has an invariant
distribution, but ( X t ) t ~ O is also transient. Given Theorem 3.5.3, the only
possibility is that ( X t ) t ~ O is explosive.
The next result justifies calling measures A with AQ = 0 invariant.
Theorem 3.5.5. Let Q be irreducible and recurrent, and let A be a mea-
sure. Let s > 0 be given. The following are equivalent:
(i) AQ = 0;
(ii) AP(S) = A.
Proof. There is a very simple proof in the case of finite state-space: by the
backward equation
d
ds>'P(s) = >.P'(s) = >.QP(s)
so AQ = 0 implies AP(S) = AP(O) = A for all s; P(s) is also recurrent, so
Il P (s) = Il implies that Il is proportional to A, so IlQ = O.
For infinite state-space, the interchange of differentiation with the sum-
mation involved in multiplication by A is not justified and an entirely dif-
ferent proof is needed.
Since Q is recurrent, it is non-explosive by Theorem 2.7.1, and P(s) is
recurrent by Theorem 3.4.3. Hence any A satisfying (i) or (ii) is unique up
to scalar multiples; and from the proof of Theorem 3.5.3, if we fix i and set
then IlQ = o. Thus it suffices to show IlP( s) = Il. By the strong Markov
property at T
i
(which is a simple consequence of the strong Markov property
of the jump chain)
3.6 Convergence to equilibrium
Hence, using Fubini's theorem,
l
s
+
Ti
/-£j = lEi s l{X
t
=j}dt
= 1
00
JP\(X
s
+t = j, t < Ti)dt
= roo '2:)J.»i(X
t
= k, t < Ti)Pkj(s)dt
Jo kEI
= L(lE
i
(Ti l{Xt=k}dt)Pk
j
(s)
kEI Jo
= :E/-£kPkj(S)
kEI
121
as required. D
Theorem 3.5.6. Let Q be an irreducible non-explosive Q-matrix having
an invariant distribution A. If ( X t ) ( ~ O is Markov(A, Q) then so is ( X s + t ) ( ~ O
for any S 2: o.
Proof. By Theorem 3.5.5, for all i,
IF(X
s
= i) = (AP(S))i = Ai
so, by the Markov property, conditional on X
s
Markov(8
i
, Q). D
3.6 Convergence to equilibrium
We now investigate the limiting behaviour of Pij (t) as t ~ 00 and its relation
to invariant distributions. You will see that the situation is analogous to the
case of discrete-time, only there is no longer any possibility of periodicity.
We shall need the following estimate of uniform continuity for the tran-
sition probabilities.
Lemma 3.6.1. Let Q be a Q-matrix with semigroup P(t). Then, for all
t, h 2: 0
Proof. We have
Ipij(t + h)-Pij(t)1 = I:EPik(h)Pkj(t) - Pij(t)1
kEI
= !:EPik(h)Pkj(t) - (1 - pii(h))pij(t) I
k#i
:s; 1 - pii(h) :s; lF
i
(J
1
:s; h) = 1 - e-
qih
. D
122 3. Continuous-time Markov chains II
Theorem 3.6.2 (Convergence to equilibrium). Let Q be an irre-
ducible non-explosive Q-matrix with semigroup P(t), and having an in-
variant distribution A. Then for all states i, j we have
Proof Let be Markov(8
i
, Q). Fix h > 0 and consider the h-skeleton
Zn = Xnh. By Theorem 2.8.4
so is discrete-time Markov(8
i
, P(h)). By Theorem 3.2.1 irreducibil-
ity implies pij(h) > 0 for all i,j so P(h) is irreducible and aperiodic. By
Theorem 3.5.5, A is invariant for P(h). So, by discrete-time convergence to
equilibrium, for all i, j
Thus we have a lattice of points along which the desired limit holds; we fill
in the gaps using uniform continuity. Fix a state i. Given € > 0 we can
find h > 0 so that
for 0 s h
and then find N, so that
for n 2: N.
For t 2: Nh we have nh t < (n + l)h for some n 2: Nand
by Lemma 3.6.1. Hence
as
D
The complete description of limiting behaviour for irreducible chains in
continuous time is provided by the following result. It follows from Theorem
1.8.5 by the same argument we used in the preceding result. We do not
give the details.
3. 7 Time reversal 123
Theorem 3.6.3. Let Q be an irreducible Q-matrix and let v be any dis-
tribution. Suppose that is Markov(v, Q). Then
as t 00 for all j E I
where mj is the expected return time to state j.
Exercises
3.6.1 Find an invariant distribution A for the Q-matrix
Q = !4
2 1 -3
and verify that = Al using your answer to Exercise 2.1.1.
3.6.2 In each of the following cases, compute P(X
t
= 21X
o
= 1) for
the Markov chain with the given Q-matrix on {1,2,3,4}:
(a)
(c)
(1
2 1 1
11)
-1 1
0 -1
0 0
(1
1 1 0
]2)
-1 0
0 -2
0 2
(b)
(d)
(1
2 1 1

-1 1
0 -1
0 0
(1
2 1 0

-2 2
1 -1
0 0
3.6.3 Customers arrive at a single-server queue in a Poisson stream of rate
A. Each customer has a service requirement distributed as the sum of two
independent exponential random variables of parameter J-l. Service require-
ments are independent of one another and of the arrival process. Write
down the generator matrix Q of a continuous-time Markov chain which
models this, explaining what the states of the chain represent. Calculate
the essentially unique invariant measure for Q, and deduce that the chain
is positive recurrent if and only if AIIl < 1/2.
3. 7 Time reversal
Time reversal of continuous-time chains has the same features found in the
discrete-time case. Reversibility provides a powerful tool in the analysis
of Markov chains, as we shall see in Section 5.2. Note in the following
124 3. Continuous-time Markov chains II
result how time reversal interchanges the roles of backward and forward
equations. This echoes our proof of the forward equation, which rested on
the time reversal identity of Lemma 2.8.5.
A small technical point arises in time reversal: right-continuous processes
become left-continuous processes. For the processes we consider, this is
unimportant. We could if we wished redefine the time-reversed process
to equal its right limit at the jump times, thus obtaining again a right-
continuous process. We shall suppose implicitly that this is done, and
forget about the problem.
Theorem 3.7.1. Let Q be irreducible and non-explosive and suppose
that Q has an invariant distribution A. Let T E (0,00) be given and let
(Xt)O<t<T be Markov(A, Q). Set X
t
= X
T
-
t
. Then the process (Xt)O<t<T
is Q), where Q= : i,j E 1) is given by = Aiqijo Mo;e-
over, Qis also irreducible and non-explosive with invariant distribution A.
Proof. By Theorem 2.8.6, the semigroup (P(t) : t 2: 0) of Q is the minimal
non-negative solution of the forward equation
P'(t) = P(t)Q, P(O) = I.
Also, for all t > 0, P(t) is an irreducible stochastic matrix with invariant
distribution A. Define P(t) by
AjPJi(t) = AiPij(t),
then P(t) is an irreducible stochastic matrix with invariant distribution A,
and we can rewrite the forward equation transposed as
P'(t) = QP(t) .
.-
But this is the backward equation for Q, which is itself a Q-matrix, and
P(t) is then its minimal non-negative solution. Hence Qis irreducible and
non-explosive and has invariant distribution A.
Finally, for 0 = to < ... < t
n
= T and Sk = tk - tk-1, by Theorem 2.8.4
we have
P(X
to
= io, ... ,X
tn
= in) = P(XT-to = io, ... ,X
T
-
tn
= in)
= AinPinin-l (sn) ... Pi
l
io (Sl)
= AioPioi
l
(Sl) ... Pin-lin (Sn)
SO, by Theorem 2.8.4 again, is Markov(A, Q). D
The chain is called the time-reversal of
A Q-matrix Q and a measure A are said to be in detailed balance if
for all i, j.
3.8 Ergodic theorem 125
Lemma 3.7.2. IfQ and A are in detailed balance then A is invariant for
Q.
Proof· We have (AQ)i = EjEI Ajqji = EjEI Aiqij = 0. D
Let ( X t ) ( ~ O be Markov(A, Q), with Q irreducible and. non-explosive.
We say that ( X t ) ( ~ O is reversible if, for all T > 0, (XT-t)OstsT is also
Markov(A, Q).
Theorem 3.7.3. Let Q be an irreducible and non-explosive Q-matrix and
let A be a distribution. Suppose that ( X t ) ( ~ O is Markov(A, Q). Then the
following are equivalent:
(a) ( X t ) ( ~ O is reversible;
(b) Q and A are in detailed balance.
Proof. Both (a) and (b) imply that A is invariant for Q. Then both (a) and
(b) are equivalent to the statement that Q= Q in Theorem 3.7.1. D
Exercise
3.7.1 Consider a fleet of N buses. Each bus breaks down independently
at rate J-l, when it is sent to the depot for repair. The repair shop can
only repair one bus at a time and each bus takes an exponential time of
parameter A to repair. Find the equilibrium distribution of the number of
buses in service.
3.7.2 Calls arrive at a telephone exchange as a Poisson process of rate A,
and the lengths of calls are independent exponential random variables of
parameter J-l. Assuming that infinitely many telephone lines are available,
set up a Markov chain model for this process.
Show that for large t the distribution of the number of lines in use at
time t is approximately Poisson with mean AIJ-l.
Find the mean length of the busy periods during which at least one line
is in use.
Show that the expected number of lines in use at time t, given that n
are in use at time 0, is ne-J-Lt + A(l - e-J-Lt)1J-l.
Show that, in equilibrium, the number Nt of calls finishing in the time
interval [0, t] has Poisson distribution of mean At.
Is ( N t ) t ~ o a Poisson process?
3.8 Ergodic theorem
Long-run averages for continuous-time chains display the same sort of be-
haviour as in the discrete-time case, and for similar reasons. Here is the
result.
126 3. Continuous-time Markov chains II
Theorem 3.8.1 (Ergodic theorem). Let Q be irreducible and let v be
any distribution. If is Markov(v, Q), then
]p> t l{x
s
=i}ds _1_ as t 00) = 1
t io miqi
where mi = IEi(T
i
) is the expected return time to state i. Moreover, in the
positive recurrent case, for any bounded function f : I lR we have
where
and where (Ai: i E I) is the unique invariant distribution.
Proof. If Q is transient then the total time spent in any state i is finite, so
1 t 1 1
t Jo l{xs =i}ds::; t Jo l{xs =i}ds 0 = mi ·
Suppose then that Q is recurrent and fix a state i. Then hits i
with probability 1 and the long-run proportion of time in i equals the long-
run proportion of time in i after first hitting i. So, by the strong Markov
property (of the jump chain), it suffices to consider the case v = bi.
Denote by Mi the length of the nth visit to i, by Tin the time of the
nth return to i and by Li the length of the nth excursion to i. Thus for
n = 0,1,2, ... , setting Tp = 0, we have
M;+l = inf{t > Tin: X
t
=1= i} - Tin
T
i
n
+
1
= inf{t > Tin + M;+l : X
t
= i}

= T?1'+l - T!"
.
By the strong Markov property (of the jump chain) at the stopping times
Tin for n 0 we find that L}, , . .. are independent and identically dis-
tributed with mean mi, and that Ml, M?, ... are independent and identi-
cally distributed with mean l/qi. Hence, by the strong law of large numbers
(see Theorem 1.10.1)
+ ... + Lr:t
mi
n
+ ... +M!L 1

n qi


and hence
3.8 Ergodic theorem
+... +M!L 1

L} +··· +Li miqi
127
with probability 1. In particular, we note that Tin /T
i
n
+
1
1 as n 00
with probability 1. Now, for Tin t < T
i
n
+
1
we have
T!L +··· +M!L 1 it T!"+l +··· +M!"+l
<- 1
T!"+l +···+Lr:t - t 0 - T!L +... +L,,:+l

so on letting t 00 we have, with probability 1
In the positive recurrent case we can write
where Ai = 1/(miqi). We conclude that
1 it
- f(Xs)ds 1
t 0

with probability 1, by the same argument as was used in the proof of The-
orem 1.10.2. D
4
Further theory
In the first three chapters we have given an account of the elementary theory
of Markov chains. This already covers a great many applications, but is
just the beginning of the theory of Markov processes. The further theory
inevitably involves more sophisticated techniques which, although having
their own interest, can obscure the overall structure. On the other hand,
the overall structure is, to a large extent, already present in the elementary
theory. We therefore thought it worth while to discuss some features of the
further theory in the context of simple Markov chains, namely, martingales,
potential theory, electrical networks and Brownian motion. The idea is that
the Markov chain case serves as a guiding metaphor for more complicated
processes. So the reader familiar with Markov chains may find this chapter
helpful alongside more general higher-level texts. At the same time, further
insight is gained into Markov chains themselves.
4.1 Martingales
A martingale is a process whose average value remains constant in a par-
ticular strong sense, which we shall make precise shortly. This is a sort of
balancing property. Often, the identification of martingales is a crucial step
in understanding the evolution of a stochastic process.
We begin with a simple example. Consider the simple symmetric random
walk ( X n ) n ~ O on Z, which is a Markov chain with the following diagram
4.1 Martingales 129
i-I
1 1
2 2
I( • •
i i+l
The average value of the walk is constant; indeed it has the stronger prop-
erty that the average value of the walk at some future time is always simply
the current value. In precise terms we have
and the stronger property says that, for n m,
E(X
n
- X
m
I X
o
= io, ... ,X
m
= i
m
) = o.
This stronger property says that is in fact a martingale.
Here is the general definition. Let us fix for definiteness a Markov chain
and write F
n
for the collection of all sets depending only on
X
o
, ... ,X
n
. The sequence is called the filtration of and
we think of F
n
as representing the state of knowledge, or history, of the
chain up to time n. A process is called adapted if M
n
depends
only on X
o
, . .. ,X
n
. A process is called integmble if EIMnl < 00
for all n. An adapted integrable process is called a martingale if
for all A E F
n
and all n. Since the collection F
n
consists of countable
unions of elementary events such as
this martingale property is equivalent to saying that
for all i
o
, . .. ,in and all n.
A third formulation of the martingale property involves another notion of
conditional expectation. Given an integrable random variable Y, we define
lE(Y I F
n
) = L lE(Y I Xo = i o,· .. ,Xn = i n )l{xo=io, ... ,Xn=i
n
}'
io,··· ,in
130 4. Further theory
The random variable E(Y I F
n
) is called the conditional expectation of Y
given F
n
. In passing from Y to E(Y I F
n
), what we do is to replace on
each elementary event A E F
n
, the random variable Y by its average value
E(Y I A). It is easy to check that an adapted integrable process ( M n ) n ~ o
is a martingale if and only if
Conditional expectation is a partial averaging, so if we complete the process
and average the conditional expectation we should get the full expectation
E(E(Y I F
n
)) = E(Y).
It is easy to check that this formula holds.
In particular, for a martingale
so, by induction
This was already clear on taking A = n in our original definition of a
martingale.
We shall prove one general result about martingales, then see how it
explains some things we know about the simple symmetric random walk.
Recall that a random variable
T : n ~ {O, 1, 2, ... } u {(X)}
is a stopping time if {T = n} E F
n
for all n < 00. An equivalent condition
is that {T ::; n} E F
n
for all n < 00. Recall from Section 1.4 that all sorts
of hitting times are stopping times.
Theorem 4.1.1 (Optional stopping theorem). Let ( M n ) n ~ o be a
martingale and let T be a stopping time. Suppose that at least one of the
following conditions holds:
(i) T::; n for some n;
(ii) T < 00 and IMnl ~ C whenever n ~ T.
Then lEMr = lEMo.
Proof. Assume that (i) holds. Then
M
r
- M
o
= (M
r
- M
r
- 1 ) + ···+ (M1 - Mo)
n-l
= :2)Mk+l - Mk)lk<T.
k=O
4.1 Martingales
Now {k.< T} = {T k}C E Fk since T is a stopping time, and so
since is a martingale. Hence
n-l
EM
T
- EM
o
= L E[(Mk+l - Mk)lk<T] = O.
k=O
131
If we do not assume (i) but (ii), then the preceding argument applies to the
stopping time T 1\ n, so that IEMTAn = IEM
o
. Then
IIEM
T
- IEMol = IIEM
T
- IEMTAnl IEIM
T
- MTAnl 2CJP>(T > n)
for all n. But JP>(T > n) 0 as n 00, so EM
T
= EM
o
. D
Returning to the simple symmetric random walk suppose that
X
o
= 0 and we take
T = inf{n 0 : X
n
= -a or X
n
= b}
where a, bEN are given. Then T is a stopping time and T < 00 by
recurrence of finite closed classes. Thus condition (ii) of the optional stop-
ping theorem applies with M
n
= X
n
and C = a V b. We deduce that
IEXT = EX
o
= O. So what? Well, now we can compute
p = JP>(X
n
hits -a before b).
We have X
T
= -a with probability p and X
T
= b with probability 1 - p,
so
o= EXT = p( -a) + (1 - p)b
giving
p = b/(a +b).
There is an entirely different, Markovian, way to compute p, using the
methods of Section 1.4. But the intuition behind the result EXT = 0 is
very clear: a gambler, playing a fair game, leaves the casino once losses
reach a or winnings reach b, whichever is sooner; since the game is fair, the
average gain should be zero.
We discussed in Section 1.3 the counter-intuitive case of a gambler who
keeps on playing a fair game against an infinitely rich casino, with the
certain outcome of ruin. This game ends at the finite stopping time
T = inf{n 0 : X
n
= -a}
132 4. Further theory
where a is the gambler's initial fortune. Since XT = -a we have
EXT = -a =I 0 = EX
o
but this does not contradict the optional stopping theorem because neither
condition (i) nor condition (ii) is satisfied. Thus, while intuition might
suggest that EXT = EX
o
is rather obvious, some care is needed as it is not
always true.
The example just discussed was rather special in that the chain
itself was a martingale. Obviously, this is not true in general; indeed a
martingale is necessarily real-valued and we do not in general insist that
the state-space I is contained in JR. Nevertheless, to every Markov chain is
associated a whole collection of martingales, and these martingales charac-
terize the chain. This is the basis of a deep connection between martingales
and Markov chains.
We recall that, given a function f : I JR and a Markov chain
with transition matrix P, we have
(pn J)(i) = Ii = lEi (J(X
n
)).
jEI
Theorem 4.1.2. Let be a random process with values in I and
let P be a stochastic matrix. Write for the filtration of
Then the following are equivalent:
(i) is a Markov chain with transition matrix P;
(ii) for all bounded functions f : I JR, the following process is a mar-
tingale:
n-l
= f(X
n
) - f(X
o
) - L (P - I)f(X
m
).
m=O
Proof. Suppose (i) holds. Let f be a bounded function. Then
I(PJ)(i)1 = ILPij1i1 ::; llil
jEI J
so
2(n+1)suplfjl < 00
j
showing that is integrable for all n.
Let A = {X
o
= i
o
, ... ,X
n
= in}. By the Markov property
4.1 Martingales
so
- M! I A) = E[f(X
n
+
l
) - (Pf)(X
n
) I A] = 0
and so is a martingale.
On the other hand, if (ii) holds, then
for all bounded functions f. On taking f = l{i
n
+l} we obtain
133
so is Markov with transition matrix P. D
Some more martingales associated to a Markov chain are described in
the next result. Notice that we drop the requirement that f be bounded.
Theorem 4.1.3. Let be a Markov chain with transition matrix
P. Suppose that a function f : N x I lR satisfies, for all n 0, both
and
(Pf)(n+ 1,i) = LPijf(n+ 1,j) = f(n,i).
JEI
Then M
n
= f(n, X
n
) is a martingale.
Proof. We have assumed that M
n
is integrable for all n. Then, by the
Markov property
E(M
n
+
1
- M
n
I X
o
= i
o
,· .. ,X
n
= in) = E
in
[f(n +1, Xl) - f(n, X
o
)]
= (Pf)(n +1, in) - f(n, in) = O.
So is a martingale. D
Let us see how this theorem works in the case where is a simple
random walk on Z, starting from O. We consider f (i) = i and g(n, i) =
i
2
- n. Since IXnl n for all n, we have
Also
(Pf)(i) = (i - 1)/2 + (i +1)/2 = i = f(i),
(Pg)(n +1, i) = (i - 1)2/2 + (i - 1)2/2 - (n +1) = i
2
- n = g(n, i).
Hence both X
n
= f(X
n
) and Y
n
= g(n, X
n
) are martingales.
134 4. Further theory
In order to put this to some use, consider again the stopping time
T = inf{n ~ 0 : X
n
= -a or X
n
= b}
where a, bEN. By the optional stopping theorem
Hence
On letting n ---+ 00, the left side converges to E(T), by monotone conver-
gence, and the right side to E(Xf) by bounded convergence. So we obtain
We have given only the simplest examples of the use of martingales in
studying Markov chains. Some more will appear in later sections. For
an excellent introduction to martingales and their applications we recom-
mend Probability with Martingales by David Williams (Cambridge Univer-
sity Press, 1991).
Exercise
4.1.1 Let ( X n ) n ~ O be a Markov chain on I and let A be an absorbing set
in I. Set
T = inf{n ~ 0: X
n
E A}
and
hi = IPi(X
n
E A for some n ~ 0) = IPi(T < 00).
Show that M
n
= h(X
n
) is a martingale.
4.2 Potential theory
Several physical theories share a common mathematical framework, which is
known as potential theory. One example is Newton's theory of gravity, but
potential theory is also relevant to electrostatics, fluid flow and the diffusion
of heat. In gravity, a distribution of mass, of density p say, gives rise to a
gravitational potential ¢, which in suitable units satisfies the equation
-Da¢ = p,
where ~ = 8
2
/8x
2
+8
2
/8y2 +8
2
/ 8z
2
. The potential ¢ is felt physically
through its gradient
'\l¢ = (8¢ 8¢ 8¢)
8x' 8y' 8z
4.2 Potential theory 135
which gives the force of gravity acting on a particle of unit mass. Markov
chains, where space is discrete, obviously have no direct link with this the-
ory, in which space is a continuum. An indirect link is provided by Brownian
motion, which we shall discuss in Section 4.4.
In this section we are going to consider potential theory for a count-
able state-space, which has much of the structure of the continuum version.
This discrete theory amounts to doing Markov chains without the proba-
bility, which has the disadvantage that one loses the intuitive picture of the
process, but the advantage of wider applicability. We shall begin by intro-
ducing the idea of potentials associated to a Markov chain, and by showing
how to calculate these potentials. This is a unifying idea, containing within
it other notions previously considered such as hitting probabilities and ex-
pected hitting times. It also finds application when one associates costs to
Markov chains in modelling economic activity: see Section 5.4.
Once we have established the basic link between a Markov chain and its
associated potentials, we shall briefly run through some of the main features
of potential theory, explaining their significance in terms of Markov chains.
This is the easiest way to appreciate the general structure of potential
theory, unobscured by technical difficulties. The basic ideas of boundary
theory for Markov chains will also be introduced.
Before we embark on a general discussion of potentials associated to
a Markov chain, here are two simple examples. In these examples the
potential cP has the interpretation of expected total cost.
1
2
5
4
Example 4.2.1
Consider the discrete-time random walk on the directed graph shown above,
which at each step choses among the allowable transitions with equal proba-
bility. Suppose that on each visit to states i = 1,2,3,4 a cost Ci is incurred,
where Ci = i. What is the fair price to move from state 3 to state 4?
The fair price is always the difference in the expected total cost. We
denote by cPi the expected total cost starting from i. Obviously, cPs = 0 and
136 4. Further theory
by considering the effect of a single step we see that
¢l = 1 + ¢2,
¢2 = 2 + ¢3,
¢3 = 3 + +
¢4 = 4.
Hence ¢3 = 8 and the fair price to move from 3 to 4 is 4.
We shall now consider two variations on this problem. First suppose
our process is, instead, the continuous-time random walk on the
same directed graph which makes each allowable transition at rate 1, and
suppose cost is incurred at rate Ci = i in state i for i = 1,2,3,4. Thus the
total cost is now
1
00
c(Xs)ds.
What now is the fair price to move from 3 to 4? The expected cost incurred
on each visit to i is given by Ci/ qi and ql = 1, q2 = 1, q3 = 3, q4 = 1. So we
see, as before
¢l = 1 + ¢2,
¢2 = 2 + ¢3,
¢3 = i + +
¢4 = 4.
Hence ¢3 = 5 and the fair price to move from 3 to 4 is 1.
1
2
5
4
In the second variation we consider the discrete-time random walk
on the modified graph shown above. Where there is no arrow,
transitions are allowed in both directions. Obviously, states 1 and 5 are
absorbing. We impose a cost Ci = i on each visit to i for i = 2, 3, 4, and a
final cost Ii on arrival at i = 1 or 5, where Ii = i. Thus the total cost is
now
T-l
L c(X
n
) + f(X
T
)
n=O
4.2 Potential theory 137
where T is the hitting time of {I, 5}. Write, as before, cPi for the expected
total cost starting from i. Then cPl = 1, cPs = 5 and
cP2 = 2 + ~ ( c P l + cP3),
cP3 = 3 + ~ ( c P l +cP2 + cP4 + cPs),
cP4 = 4 + ~ ( c P 3 + cPs).
On solving these equations we obtain cP2 = 7, cP3 = 9 and cP4 = 11. So in
this case the fair price to move from 3 to 4 is -2.
Example 4.2.2
Consider the simple discrete-time random walk on Z with transition prob-
abilities Pi,i-l = q < P = Pi,i+l. Let c > 0 and suppose that a cost c
i
is
incurred every time the walk visits state i. What is the expected total cost
cPo incurred by the walk starting from O?
We must be prepared to find that cPo = 00 for some values of c, as the
total cost is a sum over infinitely many times. Indeed, we know that the
walk X
n
~ 00 with probability 1, so for c ~ 1 we shall certainly have
cPo = 00.
Let cPi denote the expected total cost starting from i. On moving one
step to the right, all costs are multiplied by c, so we must have
By considering what happens on the first step, we see
cPo = 1 + PcPl + qcP-l = 1 + (cp + q/c)cPo.
Note that cPo = 00 always satisfies this equation. We shall see in the general
theory that cPo is the minimal non-negative solution. Let us look for a finite
solution: then
so
c
cPo = .
c - c
2
p - q
The quadratic c
2
p - c + q has roots at q/p and 1, and takes negative values
in between. Hence the expected total cost is given by
{
c/(c- c
2
p-q)
cPo =
00
if c E (q/p, l)
otherwise.
138 4. Further theory
It was clear at the outset that cPo = 00 when c ~ 1. It is interesting that
cPo = 00 also when c is too small: in this case the costs rapidly become large
to the left of 0, and although the walk eventually drifts away to the right,
the expected cost incurred to the left of 0 is infinite.
In the examples just discussed we were able to calculate potentials by
writing down and solving a system of linear equations. This situation is
familiar from hitting probabilities and expected hitting times. Indeed, these
are simple examples of potentials for Markov chains. As the examples show,
one does not really need a general theory to write down the linear equations.
Nevertheless, we are now going to give some general results on potentials.
These will help to reveal the scope of the ideas used in the examples, and
will reveal also what happens when the linear equations do not have a
unique solution. We shall discuss the cases of discrete and continuous time
side-by-side. Throughout, we shall write ( X n ) n ~ O for a discrete-time chain
with transition matrix P, and ( X t ) t ~ O for a continuous-time chain with
generator matrix Q. As usual, we insist that ( X t ) ( ~ O be minimal.
Let us partition the state-space I into two disjoint sets D and aD; we call
aD the boundary. We suppose that functions (Ci : i E D) and (Ii: i E aD)
are given. We shall consider the associated potential, defined by
in discrete time, and in continuous time
where T denotes the hitting time of aD. To be sure that the sums and
integrals here are well defined, we shall assume for the most part that c
and I are non-negative, that is, Ci ~ 0 for all i E D and Ii ~ 0 for all
i E aD. More generally, ¢ is the difference of the potentials associated with
the positive and negative parts of c and I, so this assumption is not too
restrictive. In the explosive case we always set c(00) = 0, so no further
costs are incurred after explosion.
The most obvious interpretation of these potentials is in terms of cost:
the chain wanders around in D until it hits the boundary: whilst in D, at
state i say, it incurs a cost Ci per unit time; when and if it hits the boundary,
at j say, a final cost Ij is incurred. Note that we do not assume the chain
will hit the boundary, or even that the boundary is non-empty.
4.2 Potential theory 139
Theorem 4.2.3. Suppose that (Ci : i E D) and (Ii: i E aD) are non-
negative. Set
where T denotes the hitting time of aD. Then
(i) the potential ¢ = (¢i : i E I) satisfies
{
¢ = P¢+ C
¢=I
(ii) if'l/J = ('l/Ji : i E I) satisfies
in D
in aD;
(4.1)
{
'l/J ~ P'l/J+c in D
'l/J ~ I in aD
(4.2)
and 'l/Ji ~ 0 for all i, then 'l/Ji ~ ¢i for all i;
(iii) if IPi(T < 00) = 1 for all i, then (4.1) has at most one bounded
solution.
Proof. (i) Obviously, ¢ = f on aD. For i E D by the Markov property
IEi ( L c(Xn ) + f(XT )IT<oo Xl = j)
l ~ n < T
= IEj (L c(Xn ) + f(XT )lT <OO) = ¢j
n<T
so we have
<Pi = Ci +LpijlE ( L c(Xn ) + f(XT )lT <oo Xl = j)
jEI l ~ n < T
=Ci+ LPWPj
jEI
as required.
(ii) Consider the expected cost up to time n:
140 4. Further theory
By monotone convergence, ¢i(n) i ¢i as n 00. Also, by the argument
used in part (i), we find
{
¢(n + 1) = c + P¢(n) in D
¢(n + 1) = f in aD.
Suppose that 1/J satisfies (4.2) and 1/J 0 = ¢(O). Then 1/J P1/J + c
P¢(O) + c = ¢(1) in D and 1/J f = ¢(1) in aD, so 1/J ¢(1). Similarly
and by induction, 1/J ¢(n) for all n, and hence 1/J ¢.
(iii) We shall show that if 1/J satisfies (4.2) then
with equality if equality holds in (4.2). This is another proof of (ii). But
also, in the case of equality, if l1/Ji I M and Pi (T < 00) = 1 for all i, then

so 1/J = ¢(n) = ¢, proving (iii).
For i E D we have
'ljJi Ci + L Pij!j + LPij'ljJj
jEaD JED
and, by repeated substitution for 1/J on the right
'ljJi Ci + L Pijli + LPijCj
jEaD JED
+ ···+ 2: ... 2: Piil'" Pjn-2jn-l Cjn_l
jlED jn-IED
+ L '" L L PijI'" Pjn-lin !jn
jlED jn-IEDjnEaD
+ 2: ... L Pijl · · · Pjn-lin'ljJjn
jlED jnED
= E
i
(c(XO)lT>O + !(XdlT=l + C(Xdlr>l
+ ···+C(Xn-1)lT>n-l +!(Xn)lT=n +'ljJ(Xn)lT>n)
= ¢i(n - 1) + IE
i

as required, with equality when equality holds in (4.2). D
4.2 Potential theory 141
It is illuminating to think of the calculation we have just done in terms
of martingales. Consider
n-l
Mn = L c(Xk)lk<T + f(XT )IT<n +'ljJ(Xn)ln::;T'
k==O
Then
n-l
lE(Mn+l I Fn) = L c(Xk)lk<T + f(X
T
)lT<n
k==O
+(P1jJ + c)(X
n
)lT>n + I(X
n
)lT==n
:::;M
n
with equality if equality holds in (4.2). We note that M
n
is not necessarily
integrable. Nevertheless, it still follows that
with equality if equality holds in (4.2).
For continuous-time chains there is a result analogous to Theorem 4.2.3.
We have to state it slightly differently because when cP takes infinite val-
ues the equations (4.3) may involve subtraction of infinities, and therefore
not make sense. Although the conclusion then appears to depend on the
finiteness of cP, which is a priori unknown, we can still use the result to
determine cPi in all cases. To do this we restrict our attention to the set of
states J accessible from i. If the linear equations have a finite non-negative
solution on J, then (cPj : j E J) is the minimal such solution. If not, then
cPj = 00 for some j E J, which forces cPi = 00, since i leads to j.
Theorem 4.2.4. Assume that ( X t ) t ~ O is minimal, and that (Ci : i E D)
and (Ii: i E aD) are non-negative. Set
where T is the hitting time of aD. Then cP = (cPi : i E I), if finite, is the
minimal non-negative solution to
{
-QcP = C
cP=1
in D
in aD.
(4.3)
142 4. Further theory
If ¢i = 00 for some i, then (4.3) has no finite non-negative solution. More-
over, if IPi(T < 00) == 1 for all i, then (4.3) has at most one bounded
solution.
Proof. Denote by (Yn)n>O and 8
1
,8
2
, ... the jump chain and holding times
of and by IT the jump matrix. Then
iTc(Xt)dt +!(XT)lT<oo = L c(Yn)Sn+l +!(YN)lN<oo
o n<N
where N is the first time hits aD, and where we use the convention
ox 00 = 0 on the right. We have
()
") __ { Cj / qj
lE c(Yn Sn+l I Yn = J = Cj = 0
so, by Fubini's theorem
if Cj > 0
if Cj = 0,
¢i = lEi(L c(Yn) +!(YN)lN<oo).
n<N
By Theorem 4.2.3, ¢ is therefore the minimal non-negative solution to
{
¢ = IT¢ + c in D
¢ == f in aD,
(4.4)
which equations have at most one bounded solution if IPi(N < 00) = 1 for
all i. Since the finite solutions of (4.4) are exactly the finite solutions of
(4.3), and since N is finite whenever T is finite, this proves the result. D
It is natural in some economic applications to apply to future costs a
discount factor a E (0, 1) or rate A E (0, 00), corresponding to an interest
rate. Potentials with discounted costs may also be calculated by linear
equations; indeed the discounting actually makes the analysis easier.
Theorem 4.2.5. Suppose that (Ci : i E I) is bounded. Set
00
¢i = lEi L anc(X
n
)
n==O
then ¢ = (¢i : i E I) is the unique bounded solution to
¢ = aP¢+c.
4.2 Potential theory
Proof. Suppose that ICil ::; C for all i, then
00
I<Pi I :::; CLan = C/(l- a)
n==O
so ¢ is bounded. By the Markov property
Then
00
<Pi = lEi L anc(X
n
)
n==O
= ci +a LPijlE (fan-Ic(X
n
) Xl = j)
jEI n==l
= Ci +a LPij<Pj,
jEI
so
143
¢ = c+aP¢.
On the other hand, suppose that 1/J is bounded and also that 1/J = c + aP1/J.
Set M = sUPi l1/Ji - ¢il, then M < 00. But
1/J - ¢ = aP(1/J - ¢)
so
I'l/Ji - <Pi I :::; a LPijl'l/Jj - <pjl :::; aM.
jEI
Hence M ::; aM, which forces M = 0 and 1/J = ¢. D
We have a similar looking result for continuous time, which however lies
a little deeper, because it really corresponds to a version of the discrete-time
result where the discount factor may depend on the current state.
Theorem 4.2.6. Assume that ( X t ) t ~ O is non-explosive. Suppose that
(Ci : i E I) is bounded. Set
<Pi = lEi 1
00
e->..tc(Xt)dt,
then ¢ = (¢i : i E I) is the unique bounded solution to
(A - Q)¢ = c. (4.5)
144 4. Further theory
Proof. Assume for now that c is non-negative. Introduce a new state awith
Ca = O. Let T be an independent E(-X) random variable and define
- {Xt for t < T
X
t
=
a for t ~ T.
Then ( X t ) t ~ O is a Markov chain on I U {a} with modified transition rates
Qi = qi + -X, Qia = -X, qa = O.
Also T is the hitting time of a, and is finite with probability 1. By Fubini's
theorem
<Pi = Ei l
T
c(Xt)dt.
Suppose Ci :::; C for all i, then
so ¢ is bounded. Hence, by Theorem 4.2.4, ¢ is the unique bounded solution
to
-Q¢ = c,
which is the same as (4.5).
When C takes negative values we can apply the preceding argument to
the potentials
<P; = E
i
1
00
e->.tc±(Xt)dt
where ct = (±c) V o. Then ¢ = ¢+ - ¢- so ¢ is bounded. We have
so, subtracting
(-X - Q)¢ = c.
Finally, if 1jJ is bounded and (-X-Q)1jJ = c, then (-X-Q)(1jJ-¢) = 0, so 1jJ-¢
is the unique bounded solution for the case when c = 0, which is O. D
The point of view underlying the last four theorems was that we were
interested in a given potential associated to a Markov chain, and wished to
calculate it. We shall now take a brief look at some structural aspects of
the set of all potentials of a given Markov chain. What we describe is just
the simplest case of a structure of great generality. First we shall look at
the Green matrix, and then at the role of the boundary.
4.2 Potential theory 145
Let us consider potentials with non-negative costs c, and without bound-
ary. The potential is defined by
00
¢i = lEi L c(X
n
)
n==O
in discrete time, and in continuous time
By Fubini's theorem we have
00 00
¢i = L lEic(X
n
) = L(pnC)i = (GC)i
n==O n==O
where G = (9ij : i, j E I) is the Green matrix
00
Similarly, in continuous time ¢ = Gc, with
G = 1
00
P(t)dt.
Thus, once we know the Green matrix, we have explicit expressions for
all potentials of the Markov chain. The Green matrix is also called the
fundamental solution of the linear equations (4.1) and (4.3). The jth column
(9ij : i E I) is itself a potential. We have
00
9ij = lEi L lXn=j
n==O
in discrete time, and in continuous time
Thus 9ij is the expected total time in j starting from i. These quantities
have already appeared in our discussions of transience and recurrence in
Sections 1.5 and 2.11: we know that 9ij = 00 if and only if i leads to j and
j is recurrent. Indeed, in discrete time
146 4. Further theory
where hi is the probability of hitting j from i, and /j is the return proba-
bility for j. The formula for continuous time is
For potentials with discounted costs the situation is similar: in discrete
time
00 00
<Pi = lEi L anc(X
n
) = L anlEic(X
n
) = (RaC)i
n=O n=O
where
and in continuous time
where
R>.. = 1
00
e->..t P(t)dt.
We call (R
Q
: Q: E (0,1)) and (R>.. : ,\ E (0,00)) the resolvent of the Markov
chain. Unlike the Green matrix the resolvent is always finite. Indeed, for
finite state-space we have
and
We return to the general case, with boundary aD. Any bounded function
(¢i : i E I) for which
¢ = P¢ in D
is called harmonic in D. Our object now is to examine the relation between
non-negative functions, harmonic in D, and the boundary aD. Here are
two examples.
a
4.2 Potential theory
, ~ , ~
-
.....
......
--
b
147
Example 4.2.7
Consider the random walk ( X n ) n ~ O on the above graph, where each allow-
able transition is made with equal probability. States a and bare absorbing.
We set aD = {a, b}. Let hi denote the absorption probability for a, starting
from i. By the method of Section 1.3 we find
1/2 5/12)
1/2 1/3
1/2 0
in D
where we have written the vector h
a
as a matrix, corresponding in an ob-
vious way to the state-space. The linear equations for the vector h
a
read
{
ha = Ph
a
h ~ = 1, hg = o.
Thus we can find two non-negative functions h
a
and h
b
, harmonic in D,
but with different boundary values. In fact, the most general non-negative
harmonic function ¢ in D satisfies
{
¢=P¢
¢=f
where fa' fb 2:: 0, and this implies
in D
in aD
Thus the boundary points a and b give us extremal generators h
a
and h
b
of the set of all non-negative harmonic functions.
148 4. Further theory
Example 4.2.8
Consider the random walk on Z which jumps towards 0 with prob-
ability q and jumps away from 0 with probability p = 1 - q, except that at
oit jumps to -lor 1 with probability 1/2. We choose p > q so that the
walk is transient. In fact, starting from 0, we can show that is
equally likely to end up drifting to the left or to the right, at speed p - q.
Let us consider the problem of determining for the set C of all
non-negative harmonic functions cP. We must have
cPi = PcPi+l + qcPi-l
cPo = +
cPi = qcPi+l + PcPi-l
The first equation has general solution
for i = 1, 2, . .. ,
for i = -1, - 2, . .. .
cPi = A + B(l - (q/p)i) for i = 0,1,2, ... ,
which is non-negative provided A + B O. Similarly, the third equation
has general solution
cPi = A' + B' (1 - (q/p)-i) for i = 0, -1, -2, ... ,
non-negative provided A' + B' O. To obtain a general harmonic function
we must match the values cPo and satisfy cPo = (cPl + cP-l)/2. This forces
A = A' and B + B' = O. It follows that all non-negative harmonic functions
have the form
where f-, f+ 0 and where hi = and
+ _ { + (1 - (q/p)i)
hi - 1 1 ( ")
2 - 2 1 - (q/p)-t
for i = 0, 1, 2, ... ,
for i = -1, - 2, . .. .
In the preceding example the generators of C were in one-to-one corre-
spondence with the points of the boundary - the possible places for the
chain to end up. In this example there is no boundary, but the generators
of C still correspond to the two possibilities for the long-time behaviour of
the chain. For we have
The suggestion of this example, which is fully developed other works, is
that the set of non-negative harmonic functions may be used to identify a
4.2 Potential theory 149
generalized notion of boundary for Markov chains, which sometimes just
consists of points in the state-space, but more generally corresponds to the
varieties of possible limiting behaviour for X
n
as n ~ 00. See, for example,
Markov Chains by D. Revuz (North-Holland, Amsterdam, 1984).
We cannot begin to give the general theory corresponding to Example
4.2.8, but we can draw some general conclusions from Theorem 4.2.3 when
the situation is more like Example 4.2.7. Suppose we have a Markov chain
( X n ) n ~ O with absorbing boundary aD. Set
h? = JP>i(T < 00)
(4.6)
{
h8 = Ph
8
in D
h
8
= 1 in aD.
Note that hf = 1 for all i always gives a possible solution. Hence if (4.6) has
a unique bounded solution then hf = JP>i(T < 00) = 1 for all i. Conversely,
if Pi (T < 00) = 1 for all i, then, as we showed in Theorem 4.2.3, (4.6) has
a unique bounded solution. Indeed, we showed more generally that this
condition implies that
where T is the hitting time of aD. Then by the methods of Section 1.3 we
have
{
¢ = P¢ + c in D
¢ = f in aD
has at most one bounded solution, and since
(4.7)
is the minimal solution, any bounded solution is given by (4.7). Suppose
from now on that JP>i(T < 00) = 1 for all i. Let ¢ be a bounded non-negative
function, harmonic in D, with boundary values ¢i = Ii for i E aD. Then,
by monotone convergence
<Pi = lEi (J(X
T
)) = L hJI»i(XT=j).
jE8D
Hence every bounded harmonic function is determined by its boundary
values and, indeed
<P = L !i
hi
,
jE8D
where
150 4. Further theory
Just as in Example 4.2.7, the hitting probabilities for boundary states form
a set of extremal generators for the set of all bounded non-negative harmonic
functions.
Exercises
4.2.1 Consider a discrete-time Markov chain ( X n ) n ~ O and the potential ¢
with costs (Ci : i E D) and boundary values (Ii: i E aD). Set
ifn ~ T
if n > T,
n<T
where T is the hitting time of aD and a is a new state. Show that ( X n ) n ~ o
is a Markov chain and determine its transition matrix.
Check that
00
<Pi = E
i
L c(X
n
) = E
i
L c(X
n
)
n=O
where T = T + 1 and where we set Ci = Ii on aD and Ca = O. This
shows that a general potential may always be considered as a potential
with boundary value zero or, indeed, without boundary at all.
Can you find a similar reduction for continuous-time chains?
4.2.2 Prove the fact claimed in Example 4.2.8 that
4.2.3 Let (Ci : i E I) be a non-negative function. Partition I as D U aD and
suppose that the linear equations
{
¢ = P¢ +c in D
¢ = 0 in aD
have a unique bounded solution. Show that the Markov chain ( X n ) n ~ O
with transition matrix P is certain to hit aD.
Consider now a new partition Du aD, where D ~ D. Show that the
linear equations
{
'l/J = P'l/J + c in 15_
1f;=0 in aD
also have a unique bounded solution, and that
11/" < ,h.
0/'1, - 0/'1,
for all i E I.
4.3 Electrical networks
4.3 Electrical networks
151
An electrical network has a countable set I of nodes, each node i having a
capacity 1ri > O. Some nodes are joined by wires, the wire between i and
j having conductivity aij = aji 2:: o. Where no wire joins i to j we take
aij = O. In practice, each 'wire' contains a resistor, which determines the
conductivity as the reciprocal of its resistance. Each node i holds a certain
charge Xi, which determines its potential ¢i by
A current or flow of charge is any matrix (T'ij : i, j E I) with T'ij = -T'ji.
Physically it is found that the current T'ij from i to j obeys Ohm's law:
Thus charge flows from nodes of high potential to nodes of low potential.
The first problem in electrical networks is to determine equilibrium flows
and potentials, subject to given external conditions. The nodes are parti-
tioned into two sets D and aD. External connections are made at the nodes
in aD and possibly at some of the nodes in D. These have the effect that
each node i E aD is held at a given potential Ii, and that a given current 9i
enters the network at each node i ED. The case where gi = 0 corresponds
to a node with no external connection. In equilibrium, current may also
enter or leave the network through aD , but here it is not the current but
the potential which is determined externally.
Given a flow (T'ij : i, j E I) we shall write T'i for the total flow from i to
the network:
'Yi = 2: 'Yij'
JEI
In equilibrium the charge at each node is constant, so
T'i = 9i
for i E D.
Therefore, by Ohm's law, any equilibrium potential ¢ = (¢i : i E I) must
satisfy
{
LjEIaij(¢i - ¢j) = 9i,
¢i = fi'
for i E D
for i E aD.
(4.8)
There is a simple correspondence between electrical networks and reversible
Markov chains in continuous-time, given by
for i =I j.
152 4. Further theory
We shall assume that the total conductivity at each node is finite:
ai = Laij < 00.
j#i
Then ai = 7riqi = -7riqii. The capacities 7ri are the components of an
invariant measure, and the symmetry of aij corresponds to the detailed
balance equations. The equations for an equilibrium potential may now be
written in a form familiar from the preceding section:
{
-Q¢ = c in D
¢ = f in aD,
(4.9)
(4.10)
where Ci = 9i/7ri. It is natural that c appears here and not 9, because ct
and f have the same physical dimensions. We know that these equations
may fail to have a unique solution, indicating the interesting possibility
that there may be more than one equilibrium potential. However, to keep
matters simple here, we shall assume that I is finite, that the network is
connected, and that aD is non-empty. This is enough to ensure uniqueness
of potentials. Then, by Theorem 4.2.4, the equilibrium potential is given
by
¢i = E
i
(iT c(Xt)dt + f(X
T
))
where T is the hitting time of aD.
In fact, the case where aD is empty may be dealt with as follows: we
must have
L9i=O
iEI
or there is no possibility of equilibrium; pick one node k, set aD = {k}, and
replace the condition ~ k = 9k by ¢i = O. The new problem is equivalent to
the old, but now aD is non-empty.
A
B
c
2
1
2
1
2
1
2
D
E
F
4.3 Electrical networks 153
Example 4.3.1
Determine the equilibrium current in the network shown on the preceding
page when unit current enters at A and leaves at F. The conductivities are
shown on the diagram. Let us set cPA = 1 and cPF = O. This will result in
some flow from A to F, which we can scale to get a unit flow. By symmetry,
cPE = 1- cPB and cPD = 1- cPe. Then, by Ohm's law, since the total current
leaving Band C must vanish
(cPB - cPA) + (cPB - cPE) + 2(cPB - cPe) = 0,
2(cPe - cPF) + 2(cPe - cPB) = O.
Hence, cPB = 1/2 and cPe = 1/4, and the associated flow is given by =
1/2, = 1/2, = 1/2, = O. In fact, we were lucky - no scaling
was necessary.
Note that the node capacities do not affect the problem we considered.
Let us arbitrarily assign to each node a capacity 1. Then there is an asso-
ciated Markov chain and, according to (4.10), the equilibrium potential is
given by
cPi = Ei (lxT=A) = JP>i(XT = A)
where T is the hitting time of {A, F}. Different node capacities result
in different Markov chains, but the same jump chain and hence the same
hitting probabilities.
Here is a general result expressing equilibrium potentials, flows and
charges in terms of the associated Markov chain.
Theorem 4.3.2. Consider a finite network with external connections at
two nodes A and B, and the associated Markov chain
(a) The unique equilibrium potential cP with cPA = 1 and cPB = 0 is given
by
where TA and TB are the hitting times of A and B.
(b) The unique equilibrium flow with = 1 and = -1 is given by
where r
ij
is the number of times that jumps from i to j before
hitting B.
(c) The charge X associated with subject to XB = 0, is given by
154 4. Further theory
Proof. The formula for ¢ is a special case of (4.10), where c = 0 and f =
l{A}. We shall prove (b) and (c) together. Observe that if X
o
= A then
if i = A
if i {A,B}
if i = B
so if = EA(r
ij
- r
ji
) then is a unit flow from A to B. We have
00
roo = '""'1{,-," _0,-," 0 N}
'1,) L-J B
n=O
where NB is the hitting time of B for the jump chain So, by the
Markov property of the jump chain
00
lEA(rij) = LIPA(Y
n
= i, Y
n
+! = j, n < NB)
n=O
00
= LIPA(Y
n
= i,n < NB)1rij.
n=O
Set
fTB
Xi = lEA 10 l{Xt=i}dt
and consider the associated potential'l/Ji = Xi/1ri. Then
00
Xiqij = XiQi
1r
ij = LIPA(Y
n
= i,n < NB)
1r
ij = lEA(rij)
n=O
so
('l/Ji -'l/Jj)aij = Xiqij - Xjqij =
Hence'l/J = ¢, is the equilibrium unit flow and X the associated charge, as
required. D
The interpretation of potential theory in terms of electrical networks
makes it natural to consider notions of energy. We define for a potential
¢ = (¢i : i E I) and a flow = : i, j E I)
E(<p) = l L (<Pi - <pj)2aij ,
i,jEI
I(r) = l L ,f
j
aijl.
i,jEI
4.3 Electrical networks 155
The 1/2 means that each wire is counted once. When ¢ and ~ are related
by Ohm's law we have
E(¢) = l L (¢i - ¢j)rij = I(r)
i,jEI
and E(¢) is found physically to give the rate of dissipation of energy, as heat,
by the network. Moreover, we shall see that certain equilibrium potentials
and flows determined by Ohm's law minimize these energy functions. This
characteristic of energy minimization can indeed replace Ohm's law as the
fundamental physical principle.
Theorem 4.3.3. The equilibrium potential and flow may be determined
as follows.
(a) The equilibrium potential ¢ = (¢i : i E I) with boundary values
¢i = Ii for i E 8D and no current sources in D is the unique solution
to
minimize E (¢)
subject to ¢i = fi for i E aD.
(b) The equilibrium flow r = (rij : i, j E I) with current sources ri = 9i
for i E D and boundary potential zero is the unique solution to
minimize I (~ )
subject to ~ i = 9i for i E D.
Proof. For any potential ¢ = (¢i : i E I) and any flow ~ = ( ~ i j : i,j E I)
we have
L (¢i - ¢j)rij = 2 L ¢i'Yi.
i,jEI iEI
(a) Denote by ¢ = (¢i : i E I) and by ~ = ( ~ i j : i,j E I) the equilibrium
potential and flow. We have ~ i = 0 for i E D. We can write any potential
in the minimization problem in the form ¢ +c, where c = (ci : i E I) with
Ci = 0 for i E aD. Then
L (Ei - Ej)(¢i - ¢j)aij = L (Ei - Ej)rij = 2 LEi'Yi = 0
i,j EI i,j EI iEI
so
E(¢ +c) = E(¢) +E(c) ~ E(¢)
with equality only if c = o.
156 4. Further theory
(b) Denote by cP = (cPi : i E I) and by ~ = ( ~ i j : i, j E I) the equilibrium
potential and flow. We have cPi = 0 for i E aD. We can write any flow in
the minimization problem in the form ~ +8, where 8 = (8
ij
: i,j E I) is a
flow with 8
i
= 0 for i E D. Then
L 'Yij8ijai/ = L (¢i - ¢j )8ij = 2 L ¢i
8
i = 0,
i,jEI i,jEI iEI
so
I ( ~ +8) = I ( ~ ) +1(8) ~ 1(8)
with equality only if 8 = o. D
The following reformulation of part (a) of the preceding result states that
harmonic functions minimize energy.
Corollary 4.3.4. Suppose that ¢ = (¢i : i E I) satisfies
{
Q¢ = 0 in D
cP = I in aD.
Then cP is the unique solution to
minimize E (¢)
subject to ¢ = f in aD.
An important feature of electrical networks is that networks with a small
number of external connections look like networks with a small number
of nodes altogether. In fact, given any network, there is always another
network of wires joining the externally connected nodes alone, equivalent
in its response to external flows and potentials.
Let J ~ I. We say that a = (aij : i,j E J) is an effective conductivity on
J if, for all potentials I = (Ii : i E J), the external currents into J when J
is held at potential I are the same for (J, a) as for (I, a). We know that I
determines an equilibrium potential ¢ = (cPi : i E I) by
{
L.jEI(¢i - ¢j)aij : 0 for ~ ~ J
cPi - Ii for 'I, E J.
Then a is an effective conductivity if, for all I, for i E J we have
L(¢i - ¢j)aij = :E(Ji - Ji) aij'
JEI jEJ
For a conductivity matrix a on J, for a potential I = (Ii : i E J) and a flow
8 = (8
ij
: i, j E J) we set
- 1" 2
E(/) = 2 L.J (Ii - Ij) aij,
i,jEJ
1(8) = ~ L 8fj
u
i?·
i,jEJ
4.3 Electrical networks
Theorem 4.3.5. There is a unique effective conductivity a given by
aij = aij + L aik<P{

where for each j E J, q) = : i E I) is the potential defined by
157
{
- = 0
= 8
ij
for i tf- J
for i E J.
(4.11)
Moreover, a is characterized by the Dirichlet variational principle
E(/) = inf E(¢),
<Pi==fi on J
and also by the Thompson variational principle
inf 1(8) = inf
Oi==gi on J {J
gi on
"Yi==
o off J
Proof. Given I = (Ii: i E J), define ¢ = (¢i : i E I) by
<Pi = L 1i<p1
jEJ
then ¢ is the equilibrium potential given by
{
aij(¢i - ¢j) = 0
¢i = Ii
and, by Corollary 4.3.4, ¢ solves
for i fj. J
for i E J,
minimize E(¢)
subject to ¢i = Ii for i E J.
We have, for i E J
Z:=aij<Pj = z:=aijfj + z:=z:=aik<p{fj = z:=aijfjo
JEI jEJ jEJ
In particular, taking I == 1 we obtain
Laij = Laijo
JEI jEJ
158 4. Further theory
Hence we have equality of external currents:
2)cPi - cPj )aij = 'r)1i - Ii )Uij ·
JEI jEJ
Moreover, we also have equality of energies:
L (cPi - cPj)2aij = 2 L cPi L(cPi - cPj)aij
i,jEI iEI JEI
= 2 L Ii LUi -!i)Uij = L Ui _!i)2
Uij
.
iEJ jEJ i,jEJ
Finally, if gij = (Ii - Ij )aij and = (¢i - ¢j )aij, then
L "Yljai/ = L (cPi - cPj)2
aij
i,jEI i,jEI
= L (Ii - Ii )2Uij = L gfjUi/,
i,jEJ i,jEJ
so, by Theorem 4.3.3, for any flow 8 = (8ij : i,j E I) with 8i = gi for i E J
and bi = 0 for i ¢. J, we have
L
-1 > L 2 --1
v··a·· g··a··
- •
i,jEI i,jEJ
o
Effective conductivity is also related to the associated Markov chain
in an interesting way. Define the time spent in J
At = it l{X
s
EJ}ds
and a time-changed process (X by
X
t
= Xr(t)
where
r(t) = inf{s 0 : As > t}.
We obtain by observing whilst in J, and stopping the clock
whilst makes excursions outside J. This is really a transformation
of the jump chain. By applying the strong Markov property to the jump
chain we find that (X is itself a Markov chain, with jump matrix IT
given by
1'fij = 'lrij + L'lrik¢k

for i,j E J,
where
4.4 Brownian motion 159
¢{ = JP>k(X
T
= j)
and T denotes the hitting time of J. See Example 1.4.4. Hence
has Q-matrix given by
Qij = qij + L qik¢{

Since ¢-i = (¢{ : k E I) is the unique solution to (4.11), this shows that
so is the Markov chain on J associated with the effective conduc-
tivitya.
There is much more that one can say, for example in tying up the non-
equilibrium behaviour of Markov chains and electrical networks. More-
over, methods coming from one theory one provide insights into the other.
For an entertaining and illuminating account of the subject, you should
see Random Walks and Electrical Networks by P. G. Doyle and J. L. Snell
(earus Mathematical Monographs 22, Mathematical Association of Amer-
ica, 1984).
4.4 Brownian motion
Imagine a symmetric ran'dom walk in Euclidean space which takes infinitesi-
mal jumps with infinite frequency and you will have some idea of Brownian
motion. It is named after a botanist who observed such a motion when
looking at pollen grains under a microscope. The mathematical object now
called Brownian motion was actually discovered by Wiener, and is also
called the Wiener process.
A discrete approximation to Euclidean space ]Rd is provided by
where c is a large positive number. The simple symmetric random walk
on Zd is a Markov chain which is by now quite familiar. We shall
show that the scaled-down and speeded-up process
X
(c) - -1/2X
t - c ct
is a good approximation to Brownian motion. This provides an elementary
way of thinking about Brownian motion. Also, it makes it reasonable to
160 4. Further theory
suppose that some properties of the random walk carryover to Brownian
motion. At the end of this section we state some results which confirm that
this is true to a remarkable extent.
Why is space rescaled by the square-root of the time-scaling? Well, if
we hope that xi
c
) converges in some sense as c ~ 00 to a non-degenerate
limit, we will at least want IE[lxi
c
) 1
2
] to converge to a non-degenerate limit.
For ct E Z+ we have
so the square-root scaling gives
which is independent of c.
We begin by defining Brownian motion, and then show that this is not
an empty definition; that is to say, Brownian motions exist.
A real-valued random variable is said to have Gaussian distribution with
mean 0 and variance t if it has density function
cPt(X) = (27T"t)-1/2 exp{ _x
2
/2t}.
The fundamental role of Gaussian distributions in probability derives from
the following result.
Theorem 4.4.1 (Central limit theorem). Let Xl, X
2
, ••• be a se-
quence of independent and identically distributed real-valued random vari-
ables with mean 0 and variance t E (0,00). Then, for all bounded continu-
ous functions f, as n ~ 00 we have
We shall take this result and a few other standard properties of the
Gaussian distribution for granted in this section. There are many introduc-
tory texts on probability which give the full details.
A real-valued process (Xt)t;:::o is said to be continuous if
lP({w : t..-+ Xt(w) is continuous}) = 1.
A continuous real-valued process (Bt)t;:::o is called a Brownian motion if
B
o
= 0 and for all 0 = to < tl < ... < t
n
the increments
4.4 Brownian motion
are independent Gaussian random variables of mean 0 and variance
161
The conditions made on ( B t ) t ~ o are enough to determine all the probabil-
ities associated with the process. To put it properly, the law of Brownian
motion, which is a measure on the set of continuous paths, is uniquely de-
termined. However, it is not obvious that there is any such process. We
need the following result.
Theorem 4.4.2 (Wiener's theorem). Brownian motion exists.
Proof. For N = 0,1,2, ... , denote by D
N
the set of integer multiples of
2-
N
in [0,00), and denote by D the union of these sets. Let us say that
(B
t
: t E D
N
) is a Brownian motion indexed by D
N
if B
o
= 0 and for all
o= to < tl < ... < t
n
in D
N
the increments
are independent Gaussian random variables of mean 0 and variance
We suppose given, for each tED, an independent Gaussian random variable
yt of mean 0 and variance 1. For t E Do = Z+ set
then (B
t
: t E Do) is a Brownian motion indexed by Do. We shall show
how to extend this process successively to Brownian motions (B
t
: tEDN )
indexed by D
N
. Then (B
t
: tED) is a Brownian motion indexed by D.
Next we shall show that (B
t
: tED) extends continuously to t E [0,00),
and finally check that the extension is a Brownian motion.
Suppose we have constructed (B
t
: t E D
N
-
1
), a Brownian motion in-
dexed by D
N
-
1
• For t E DN\D
N
-
1
set r = t - 2-
N
S = t +2-
N
so that
s, t E D
N
-
1
and define
Zt = 2-(N+l)/2yt,
Bt = ~ ( B r +Bs) +Zt·
We obtain two new increments:
B
t
- B
r
= ~ (Bs - B
r
) +Zt,
B
s
- B
t
= ~ ( B s - B
r
) - Zt.
162
We compute
4. Further theory
E[(B
t
- B
r
)2] = E[(B
s
- B
t
)2] = +2-(N+I) = 2-
N
,
E[(B
t
- Br)(B
s
- B
t
)] = - 2-(N+I) = o.
The two new increments, being Gaussian, are therefore independent and of
the required variance. Moreover, being constructed from B
s
- B
r
and yt,
they are certainly independent of increments over intervals disjoint from
(r, s). Hence (B
t
: tEDN) is a Brownian motion indexed by D N, as
required. Hence, by induction, we obtain a Brownian motion (B
t
: tED).
For each N denote by the continuous process obtained by
linear interpolation from (B
t
: t E D
N
). Also, set zi
N
) = BiN) - BiN-I).
For t E D
N
-
I
we have zi
N
) = O. For t E DN\D
N
-
I
, by our construction
we have
with yt Gaussian of mean 0 and variance 1. Set
M
N
= sup IziN)I.
tE[O,I]
Then, since interpolates linearly between its values on D
N
, we
obtain
M
N
= sup 2-(N+I)/2Iytl.
tE(DN\DN-l)n[o,l]
There are 2
N
-
I
points in (DN\D
N
-
I
) n [0,1]. So for A > 0 we have
For a random variable X 0 and p > 0 we have the formula
Hence
= 1
00
p,Xp-
1
IP(2(N+l)/2M
N
> 'x)d'x
2
N
-
1
1
00
p,Xp-1IP(IY11 > 'x)d'x = 2
N
-
1
E(IY
1
IP)
4.4 Brownian motion
and hence, for any p > 2
00 00
ELMn= LE(MN )
N=O N=O
163
00 00
:::; L E(MKr)l/P :::; E(IY1IP)1/p L (2(p-2)/2
p
)-N < 00.
N=O N=O
It follows that, with probability 1, as N 00
BiN) = Bi
O
) +zi
1
) +... + zi
N
)
converges uniformly in t E [0,1], and by a similar argument uniformly for
t in any bounded interval. Now BiN) eventually equals B
t
for any tED
and the uniform limit of continuous functions is continuous. Therefore,
(B
t
: tED) has a continuous extension (Bt)t,?:o, as claimed.
It remains to show that the increments of (Bt)t,?:o have the required joint
distribution. But given 0 < t
1
< ... < t
n
we can find sequences (t''k)mEN
in D such that 0 < t
1
< ... < for all m and tf: tk for all k. Set
to = to = o. We know that the increments
are Gaussian of mean 0 and variance
tr - t(f, · · · -
Hence, using continuity of (Bt)t,?:o we can let m 00 to obtain the desired
distribution for the increments
D
Having shown that Brownian motion exists, we now want to show how
it appears as a universal scaling limit of random walks, very/much as the
Gaussian distribution does for sums of independent random variables.
-
Theorem 4.4.3. Let (Xn)n,?:O be a discrete-time real-valued random walk
with steps of mean 0 and variance 0'2 E (0,00). For c > 0 consider the
rescaled process
X
(c) - -1/2X
t - c ct
where the value of X
ct
when ct is not an integer is found by linear interpo-
lation. Then, for all m, for all bounded continuous functions f : jRm jR
and all 0 tl < ... < t
m
, we have
-tE[f(aB
h
,· .. ,aB
tm
)]
as c 00, where (Bt).t,?:o is a Brownian motion.
164 4. Further theory
Proof The claim is that ... , converges weakly to
(aBtl, ... ,aB
trn
) as c 00. In the proof we shall take for granted some
basic properties of weak convergence. First define
X
-(e) - -I/2X
t - e [et]
where (et] denotes the integer part of ct. Then
\(x
(e) X(e)) (X-(e) X-(e))\ -I/2\('V: 'V:)\
t 1 ,..., t
rn
- t 1 ,..., t
rn
:::; e .L [et 1 ] +1, · .. ,.L [et n] +1
where Y
n
denotes the nth step of The right side converges weakly
to 0, so it suffices to prove the claim with replacing xi
e
).
Consider now the increments
U
(e) - X-(e) - X-(e) Z (B B )
k - tk tk-l' k = a tk - tk-l
for k = 1, ... , m. Since .ide) = B
o
= 0 it suffices to show that
(Ui
e
), . .. converges weakly to (ZI, ... ,Zm). Then since both sets of
increments are independent, it suffices to show that converges weakly
to Zk for each k. But
[etk]
= C-
1
/
2
L Y
n
rv (C-
1
/
2
Nk(C)1/2)Nk(C)-1/2(Yi + ... +YN(c»)
n=[etk_-l]+1
where rv denotes identity of distribution and Nk(e) = [etk] - [etk-I]. By
the central limit theorem Nk(e)-I/2(Y
I
+ ... + YN(e)) converges weakly
to (tk - tk_l)-1/2Zk, and (C-
1
/
2
Nk(C)1/2) -t (tk - tk_l)1/2. Hence
converges weakly to Zk, as required. D
To summarize the last two results, we have shown, using special proper-
ties of the Gaussian distribution, that there is a continuous process
with stationary independent increments and such that B
t
is Gaussian of
mean 0 and variance t, for each t o. That was Wiener's theorem. Then,
using the central limit theorem applied to the increments of a rescaled ran-
dom walk, we established a sort of convergence to Brownian motion. There
now follows a series of related remarks.
Note the similarity to the definition of a Poisson process as a right-
continuous integer-valued process starting from 0, having station-
ary independent increments and such that X
t
is Poisson of parameter At
for each t O.
Given d independent Brownian motions (Bi . .. let us con-
sider the JRd-valued process B
t
= (Bi, ... ,Bt). We call a Brownian
4.4 Brownian motion 165
motion in ]Rd. There is a multidimensional version of the central limit the-
orem which leads to a multidimensional version of Theorem 4.4.3, with no
essential change in the proof. Thus if is a random walk in ]Rd with
steps of mean 0 and covariance matrix
and if V is finite, then for all bounded continuous functions f : (]Rd)m ]R,
as c 00 we have
Here are two examples. We might take to be the simple symmetric
random walk in Z3, then V = Alternatively, we might take the compo-
nents of to be three independent simple symmetric random walks
in Z, in which case V = I. Although these are different random walks, once
the difference in variance is taken out, the result shows that in the scaling
limit they behave asymptotically the same. More generally, given a random
walk with a complicated step distribution, it is useful to know that on large
scales all one needs to calculate is the variance (or covariance matrix). All
other aspects of the step distribution become irrelevant as c 00.
The scaling used in Theorem 4.4.3 suggests the following scaling invari-
ance property of Brownian motion (Bt)t>o, which is also easy to check from
the definition. For any c > 0 the proces; defined by
B
(e) - -1/2B
t - C et
is a Brownian motion. Thus Brownian motion appears as a fixed point of the
scaling transformation, which attracts all other finite variance symmetric
random walks as c 00.
The sense in which we have shown that converges to Brownian
motion is very weak, and one can with effort prove stronger forms of con-
vergence. However, what we have proved is strong enough to ensure that
does not converge, in the same sense, to anything else.
The discussion to this point has not really been about the Markov prop-
erty, but rather about processes with independent increments. To remedy
this we must first define Brownian motion starting from x: this is simply
any process such that B
o
= x and (B
t
- is a Brownian mo-
tion (starting from 0). As a limit of Markov chains it is natural to look in
Brownian motion for the structure of a Markov process. By analogy with
continuous-time Markov chains we look for a transition semigroup
166 4. Further theory
and a generator G. For any bounded measurable function f : ]Rd ]R we
have
lEx[J(B
t
)] = lEo[J(x + B
t
)] = { f(x + Y)¢t(Yd··· ¢t(Yd)dYl .. , dYd
JRd
= ( p(t, x, y)f(y)dy
JRd
where
p(t, x, y) = (27rt)-d/2 exp{-Iy - xI
2
/2t}.
This is the transition density for Brownian motion and the transition semi-
group is given by
(Ptf)(x) = ( p(t, x, y)f(y)dy = lEx [f(B
t
)].
JRd
To check the semigroup property PsP
t
= P
s
+
t
we note that
Ex[f(B
s
+
t
)] = Ex [f(B
s
+ (B
s
+
t
- B
s
))]
= Ex [Ptf(B
s
)] = (PsPtf)(x)
where we first took the expectation over the independent increment
B
s
+
t
- B
s
. For t > 0 it is easy to check that
:t p(t, x, y) = x, y)
where
a
2
a
2
= a 2 + · · · + a 2·
Xl x
d
Hence, if f has two bounded derivatives, we have
a
8
(Ptf)(x) = { x, y)f(y)dy
t JRd
= { x, y)f(y)dy
JRd
= ( p(t, x, y)(
JRd
=
as t ! O. This suggests, by analogy with continuous-time chains, that the
generator, a term we have not defined precisely, should be given by

4.4 Brownian motion 167
Where formerly we considered vectors (fi : i E I), now there are functions
f : jRd jR, required to have various degrees of local regularity, such as
measurability and differentiability. Where formerly we considered matrices
P
t
and Q, now we have linear operators on functions: P
t
is an integral
operator, G is a differential operator.
We would like to explain the appearance of the Laplacian by refer-
ence to the random walk approximation. Denote by the simple
symmetric random walk in tl
d
and consider for N == 1,2, ... the rescaled
process
xi
N
) == N-
I
/
2
X
Nt
, t == 0, liN, 2/N, . ...
For a bounded continuous function f : jRd jR, set
(pt(N) f)(x) == IEx[f(Xi
N
))], X E N-
I
/
2
71
d

The closest thing we have to a derivative in t at 0 for (pt(N))t=O,I/N,2/N, ...
is
(
(N) )) _ [ ( (N) ) ((N))]
N PI/Nf - f (x - NIE
x
f X
I
/
N
- f X
o
== NIE
N
l/2
x
[f(N-
I
/
2
Xl) - f(N-
I
/
2
X
O
)]
= (N/2){f(x - N-
I
/
2
) - 2f(x) + f(x +N-
I
/
2
)}.
If we assume that f has two bounded derivatives then, by Taylor's theorem,
as N 00,
f(x - N-
I
/
2
) - 2f(x) + f(x +N-
I
/
2
) == +o(N)),
so
N(pi;Jf - f)(x) -t
We finish by stating some results about Brownian motion which empha-
sise how much of the structure of Markov chains carries over. You will notice
some weasel words creeping in, such as measurable, continuous and differ-
entiable. These are various sorts of local regularity for functions defined on
the state-space jRd. They did not appear for Markov chains because a dis-
crete state-space has no local structure. You might correctly guess that the
proofs would require additional real analysis, relative to the corresponding
results for chains, and a proper measure-theoretic basis for the probabil-
ity. But, this aside, the main ideas are very similar. For further details
see, for example, Probability Theory - an analytic view by D. W. Stroock
(Cambridge University Press, 1993), or Diffusions, Markov Processes and
Martingales, Volume 1: Foundations by L. C. G. Roger.s and David Williams
(Wiley, Chichester, 2nd edition 1994).
First, here is a result on recurrence and transience.
168 4. Further theory
Theorem 4.4.4. Let ( B t ) t ~ o be a Brownian motion in jRd.
(i) If d = 1, then
JP>({t ~ 0: B
t
= O} is unbounded) = 1.
(ii) If d = 2, then
JP>(B
t
= 0 for some t > 0) = 0
but, for any € > 0
JP>( {t ~ 0 : IBt I < €} is unbounded) = 1.
(iii) If d = 3, then for any N < 00
JP>(I B
t
I ~ 00 as t ~ 00) = 1.
It is natural to compare this result with the facts proved in Section 1.6,
that in Z and Z2 the simple symmetric random walk is recurrent, whereas
in Z3 it is transient. The results correspond exactly in dimensions one and
three. In dimension two we see the fact that for continuous state-space
it makes a difference to demand returns to a point or to arbitrarily small
neighbourhoods of a point. If we accept this latter notion of recurrence the
correspondence extends to dimension two.
The invariant measure for Brownian motion is Lebesgue measure dx.
This has infinite total mass so in dimensions one and two Brownian motion
is only null recurrent. So that we can state some results for the positive
recurrent case, we shall consider Brownian motion in jRd projected onto the
torus T
d
= jRd/Zd. In dimension one this just means wrapping the line
round a circle of circumference 1. The invariant measure remains Lebesgue
measure but this now has total mass 1. So the projected process is positive
recurrent and we can expect convergence to equilibrium and ergodic results
corresponding to Theorems 1.8.3 and 1.10.2.
Theorem 4.4.5. Let (Bt)t>o be a Brownian motion in jRd and let
f : jRd ~ jR be a continuous periodic function, so that
f(x +z) = f(x) for all z E Zd.
Then for all x E jRd, as t ~ 00, we have
lEx[f(B
t
)] -t 1= [ f(z)dz
J[O,l]d
and, moreover
JI»x ( ~ it f(Bs)ds -t 1ast -t 00) = 1.
The generator ! ~ of Brownian motion in jRd reappears as it should in
the following martingale characterization of Brownian motion.
4.4 Brownian motion 169
Theorem 4.4.6. Let be a continuous ]Rd-valued random pro-
cess. Write (F
t
)t2::o for the filtration of Then the following are
equivalent:
(i) (X
t
)t2::o is a Brownian motion;
(ii) for all bounded functions f which are twice differentiable with
bounded second derivative, the following process is a martingale:
This result obviously corresponds to Theorem 4.1.2. In case you are unsure,
a continuous time process (M
t
)t2::o is a martingale if it is adapted to the
given filtration (F
t
)t2::o, if JEIMtl < 00 for all t, and
whenever s :::; t and A E F
8

We end with a result on the potentials associated with Brownian motion,
corresponding very closely to Theorem 4.2.3 for Markov chains. These
potentials are identical to those appearing in Newton's theory of gravity,
as we remarked in Section 4.2.
Theorem 4.4.7. Let D be an open set in ]Rd with smooth boundary aD.
Let c : D [0, 00) be measurable and let f : aD [0,00) be continuous.
Set
<jJ(x) = JEx [I
T
c(Bt)dt + f(XT )IT<oo]
where T is the hitting time of aD. Then
(i) ¢ if finite belongs to C
2
(D) n C(D) and satisfies
in D
in aD;
(4.12)
(ii) if 1/J E C
2
(D) n C(D) and satisfies
{
c in D
1/J f in aD
and 'l/J 0, then 'l/J ¢;
(iii) if ¢(x) = 00 for some x, then (4.12) has no finite solution;
(iv) if JPx(T < 00) = 1 for all x, then (4.12) has at most one bounded
solution in C
2
(D) n C(D).
5
Applications
Applications of Markov chains arise in many different areas. Some have
already appeared to illustrate the theory, from games of chance to the
evolution of populations, from calculating the fair price for a random reward
to calculating the probability that an absent-minded professor is caught
without an umbrella. In a real-world problem involving random processes
you should always look for Markov chains. They are often easy to spot.
Once a Markov chain is identified, there is a qualitative theory which limits
the sorts of behaviour that can occur - we know, for example, that every
state is either recurrent or transient. There are also good computational
methods - for hitting probabilities and expected rewards, and for long-run
behaviour via invariant distributions.
In this chapter we shall look at five areas of application in detail: bi-
ological models, queueing models, resource management models, Markov
decision processes and Markov chain Monte Carlo. In each case our aim is
to provide an introduction rather than a systematic account or survey of
the field. References to books for further reading are given in each section.
5.1 Markov chains in biology
Randomness is often an appropriate model for systems of high complex-
ity, such as are often found in biology. We have already illustrated some
aspects of the theory by simple models with a biological interpretation.
See Example 1.1.5 (virus), Exercise 1.1.6 (octopus), Example 1.3.4 (birth-
and-death chain) and Exercise 2.5.1 (bacteria). We are now going to give
5.1 Markov chains in biology 171
some more examples where Markov chains have been used to model bio-
logical processes, in the study of population growth, epidemics and genetic
inheritance. It should be recognised from the start that these models are
simplified and somewhat stylized in order to make them mathematically
tractable. Nevertheless, by providing quantitative understanding of various
phenomena they can provide a useful contribution to science.
Example 5.1.1 (Branching processes)
The original branching process was considered by Galton and Watson in the
1870s while seeking a quantitative explanation for the phenomenon of the
disappearance of family names, even in a growing population. Under the
assumption that each male in a given family had a probability Pk of having
k sons, they wished to determine the probability that after n generations
an individual had no male descendents. The solution to this problem is
explained below.
The basic branching process model has many applications to problems
of population growth, and also to the study of chain reactions in chemistry
and nuclear fission. Suppose at time n = 0 there is one individual, who dies
and is replaced at time n = 1 by a random number of offspring N. Suppose,
next, that these offspring also die and are themselves replaced at time n = 2,
each independently, by a random number of further offspring, having the
same distribution as N, and so on. We can construct the process by taking
for each n E N a sequence of independent random variables (N;:)kEN, each
with the same distribution as N, by setting X
o
= 1 and defining inductively,
for n 2: 1
X
n
= Nf + ... + N
Xn
_
1

Then X
n
gives the size of the population in the nth generation. The process
( X n ) n ~ O is a Markov chain on I = {O, 1,2, ... } with absorbing state o. The
case where P(N = 1) = 1 is trivial so we exclude it. We have
P(X
n
= 0 I X
n
-
1
= i) = P(N = O)i
so if P(N = 0) > 0 then i leads to 0, and every state i 2: 1 is transient. If
P(N = 0) = 0 then P(N 2: 2) > 0, so for i 2: 1, i leads to j for some j > i,
and j does not lead to i, hence i is transient in any case. We deduce that
with probability 1 either X
n
= 0 for some n or X
n
~ 00 as n ~ 00.
Further information on ( X n ) n ~ O is obtained by exploiting "the branching
structure. Consider the probability generating function
00
</J(t) = E(t
N
) = :EtkJP(N = k),
k==O
172 5. Applications
defined for 0 ~ t ~ 1. Conditional on X
n
-
l
= k we have
Xn =Nf+···+Nr
so
and so
00
lE(t
Xn
) = 'LlE(t
Xn
I X
n
-
1
= k)JP>(X
n
-
1
= k) = lE(</>(t)x
n
-
1
).
k==O
Hence, by induction, we find that E(t
Xn
) = ¢(n)(t), where ¢(n) is the n-fold
composition ¢ 0 ... 0 ¢. In principle, this gives the entire distribution of
X
n
, though ¢(n) may be a rather complicated function. Some quantities
are easily deduced: we have
E(X
n
) = lim dd lE(t
Xn
) = lim dd </>(n)(t) = (lim</>'(t)r = p,n,
til t til t til
where J-l = E(N); also
so, since 0 is absorbing, we have
q = P(X
n
= 0 for some n) = lim ¢(n)(o).
n--+-oo
Now ¢(t) is a convex function with ¢(1) = 1. Let us set r = inf{t E [0,1] :
¢(t) = t}, then ¢(r) = r by continuity. Since ¢ is increasing and 0 ~ r, we
have ¢(O) ~ r and, by induction, ¢(n)(o) ~ r for all n, hence q ~ r. On the
other hand
q = lim ¢(n+l) (0) = lim ¢(¢(n) (0)) = ¢(q)
n --+- 00 n --+- 00
so also q 2:: r. Hence q = r. If ¢'(1) > 1 then we must have q < 1, and if
¢'(1) ~ 1 then since either ¢" = 0 or ¢" > 0 everywhere in [0,1) we must
have q = 1. We have shown that the population survives with positive
probability if and only if J-l > 1, where J-l is the mean of the offspring
distribution.
There is a nice connection between branching processes and random
walks. Suppose that in each generation we replace individuals by their off-
spring one at a time, so if X
n
= k then it takes k steps to obtain X
n
+
l
.
5.1 Markov chains in biology 173
The population size then performs a random walk ( Y m ) m ~ O with step dis-
tribution N - 1. Define stopping times To = 0 and, for n 2: 0
Observe that X
n
= YT
n
for all n, and since ( Y m ) m ~ O jumps down by at
most 1 each time, (Xn)n>O hits 0 if and only if (Ym)m>O hits O. Moreover
- -
we can use the strong Markov property and a variation of the argument of
Example 1.4.3 to see that, if
qi = P(Y
m
= 0 for some m I Yo = i)
then qi = qf for all i and so
00
ql = P(N = 0) + L qfP(N = i) = ¢(ql)'
k==l
Now each non-negative solution of this equation provides a non-negative
solution of the hitting probability equations, so we deduce that ql is the
smallest non-negative root of the equation q = ¢(q), in agreement with the
generating function approach.
The classic work in this area is The Theory of Branching Processes by
T. E. Harris (Dover, New York, 1989).
Example 5.1.2 (Epidemics)
Many infectious diseases persist at a low intensity in a population for long
periods. Occasionally a large number of cases arise together and form an
epidemic. This behaviour is to some extent explained by the observation
that the presence of a large number of infected individuals increases the
risk to the rest of the population. The decline of an epidemic can also be
explained by the eventual decline in the number of individuals susceptible
to infection, as infectives either die or recover and are then resistant to fur-
ther infection. However, these naive explanations leave unanswered many
quantitative questions that are important in predicting the behaviour of
epidemics.
In an idealized population we might suppose that all pairs of individu-
als make contact randomly and independently at a common rate, whether
infected or not. For an idealized disease we might suppose t h ~ t on contact
with an infective, individuals themselves become infective and remain so for
an exponential random time, after which they either die or recover. These
two possibilities have identical consequences for the progress of the epi-
demic. This idealized model is obviously unrealistic, but it is the simplest
mathematical model to incorporate the basic features of an epidemic.
174 5. Applications
We denote the number of susceptibles by St and the number of infectives
by It. In the idealized model, X
t
= (St, It) performs a Markov chain on
(Z+)2 with transition rates
q(s,i)(s-i,i+l) = Asi, q(s,i)(s,i-l) = /-li
for some .x, /-l E (0, 00). Since St + It does not increase, we effectively
have a finite state-space. The states (s,O) for s E Z+ are all absorbing
and all the other states are transient; indeed all the communicating classes
are singletons. The epidemic must therefore eventually die out, and the
absorption probabilities give the distribution of the number of susceptibles
who escape infection. We can calculate these probabilities explicitly when
So +1
0
is small.
Of greater concern is the behaviour of an epidemic in a large population,
of size N, say. Let us consider the proportions sf = St/N and if' = It/N
and suppose that .x = v/N, where v is independent of N. Consider now a
sequence of models as N ~ 00 and choose s ~ ~ So and i ~ ~ i
o
. It can
be shown that as N ~ 00 the process (sf', if') converges to the solution
(St, it) of the differential equations
(d/dt)st = -vstit
(d/dt)i
t
= vStit - /-lit
starting from (so, i
o
). Here convergence means that E[I( sf', if') - (St, it) I] ~
ofor all t 2:: o. We will not prove this result, but will give an example of
another easier asymptotic calculation.
Consider the case where So = N -1,1
0
= 1, .x = l/N and /-l = O. This has
the following interpretation: a rumour is begun by a single individual who
tells it to everyone she meets; they in turn pass the rumour on to everyone
they meet. We assume that each individual meets another randomly at
the jump times of a Poisson process of rate 1. How long does it take until
everyone knows the rumour? If i people know the rumour, then N - i do
not, and the rate at which the rumour is passed on is
qi = i(N - i)/N.
The expected time until everyone knows the rumour is then
N-l 1 N-l N N-l(l 1) N-l
1
'" qi = '" . . = '" -=- + -. = 2 '" -=- rv 210gN
~ ~ ~ ( N - ~ ) ~ ~ N - ~ ~ ~
i=l i=l i=l i=l
as N ~ 00. This is not a limit as above but, rather, an asymptotic equiva-
lence. The fact that the expected time grows with N is related to the fact
5.1 Markov chains in biology 175
that we do not scale /0 with N: when the rumour is known by very few or
by almost all, the proportion of 'infectives' changes very slowly.
The final two examples come from population genetics. They represent
an attempt to understand quantitatively the consequences of randomness
in genetic inheritance. The randomness here might derive from the choice
of reproducing individual, in sexual reproduction the choice of partner, or
the choice of parents' alleles retained by their offspring. (The word gene
refers to a particular chromosomal locus; the varieties of genetic material
that can be present at such a locus are known as alleles.) This sort of
study was motivated in the first place by a desire to find mathematical
models of natural selection, and thereby to discriminate between various
competing accounts of the process of evolution. More recently, as scientists
have gained access to the genetic material itself, many more questions of a
statistical nature have arisen. We emphasise that we present only the very
simplest examples in a rich theory, for which we refer the interested reader
to Mathematical Population Genetics by W. J. Ewens (Springer, Berlin,
1979).
Example 5.1.3 (Wright-Fisher model)
This is the discrete-time Markov chain on {O, 1, ... ,m} with transition
probabilities
In each generation there are m alleles, some of type A and some of type a.
The types of alleles in generation n+1 are found by choosing randomly (with
replacement) from the types in generation n. If X
n
denotes the number of
alleles of type A in generation n, then ( X n ) n ~ O is a Markov chain with the
above transition probabilities.
This can be viewed as a model of inheritance for a particular gene with
two alleles A and a. We suppose that each individual has two genes, so the
possibilities are AA, Aa and aa. Let us take m to be even with m = 2k.
Suppose that individuals in the next generation are obtained by mating
randomly chosen individuals from the current generation and that offspring
inherit one allele from each parent. We have to allow that both parents
may be the same, and in particular make no requirement that parents be
of opposite sexes. Then if the generation n is, for example.
AA aA AA AA aa,
then each gene in generation n + 1 is A with probability 7/10 and a with
probability 3/10, all independent. We might, for example, get
aa aA Aa AA AA.
176 5. Applications
The structure of pairs of genes is irrelevant to the Markov chain ( X n ) n ~ O ,
which simply counts the number of alleles of type A.
The communicating classes of ( X n ) n ~ O are {O}, {I, ... ,m - I}, {m}.
States 0 and m are absorbing and {I, ... ,m - 1} is transient. The hit-
ting probabilities for state m (pure AA) are given by
This is obvious when one notes that ( X n ) n ~ O is a martingale; alternatively
one can check that
m
hi = LPijh
j
.
j==o
According to this model, genetic diversity eventually disappears. It is
known, however, that, for p E (0,1), as m ~ 00
lEpm(T) ~ -2m{(1 - p) log(l - p) +plogp}
where T is the hitting time of {O, m}, so in a large population diversity does
not disappear quickly.
Some modifications are possible which model other aspects of genetic
theory. Firstly, it may be that the three genetic types AA, Aa, aa have a
relative selective advantage given by lX, (3, ~ > 0 respectively. This means
that the probability of choosing allele A when X
n
= i is given by
'l/J. - a(ijm)2 + (lj2)(3i(m - i)jm
2
~ - a(ijm)2 + (3i(m - i)jm
2
+ ,((m - i)jm)2
and the transition probabilities are
Secondly, we may allow genes to mutate. Suppose A mutates to a with
probability u and a mutates to A with probability v. Then the probability
of choosing A when X
n
= i is given by
¢i = {i(l - u) + (m - i)v}/m
and
5.1 Markov chains in biology 177
With u, v > 0, the states 0 and m are no longer absorbing, in fact the chain
is irreducible, so attention shifts from hitting probabilities to the invariant
distribution 7r. There is an exact calculation for the mean of 7r: we have
m m
p, = L i7ri = E
7r
(XI) = L 7riEi(X1)
i=O i=O
m m
= 2: m7ri<Pi = 2:{i(l - u) + (m - i)V}7ri = (1 - u)p, + mv - vp,
i=O i=O
so that
J-L = mv/(u +v).
Example 5.1.4 (Moran model)
The Moran model is the birth-and-death chain on {O, 1, ... ,m} with tran-
sition probabilities
Pi,i-l = i(m - i)/m
2
, Pii = (i
2
+ (m - i)2)/m
2
, Pi,i+l = i(m - i)/m
2
.
Here is the genetic interpretation: a population consists of individuals of
two types, a and A; we choose randomly one individual from the population
at time n, and add a new individual of the same type; then we choose, again
randomly, one individual from the population at time n and remove it; so
we obtain the population at time n +1. The same individual may be chosen
each time, both to give birth and to die, in which case there is no change
in the make-up of the population. Now, if X
n
denotes the number of type
A individuals in the population at time n, then ( X n ) n ~ O is a Markov chain
with transition matrix P.
There are some obvious differences from the Wright-Fisher model: firstly,
the Moran model cannot be interpreted in terms of a species where genes
come in pairs, or where individuals have more than one parent; secondly in
the Moran model we only change one individual at a time, not the whole
population. However, the basic Markov chain structure is the same, with
communicating classes {O}, {I, . . . ,m - I}, {m}, absorbing states 0 and m
and transient class {I, ... ,m - I}. The Moran model is reversible, and,
like the Wright-Fisher model, is a martingale. The hitting probabilities are
given by
IPi(X
n
= m for some n) = i/m.
We can also calculate explicitly the mean time to absorption
178 5. Applications
where T is the hitting time of {O, m}. The simplest method is first to fix j
and write down equations for the mean time kf spent in j, starting from i,
before absorption:
kf = bij + (Pi,i-1
k
t-1 +Piikt +Pi,i+1
k
t+1) for i = 1, ... ,m - 1
kg = kin = 0.
Then, for i = 1, ... ,m - 1
so that
. {(i/j)k;
kf = ((m-i)/(m-j))k;
where k; is determined by
for i ~ j
for i ~ j
(
m-
j
-l j-l). m
2
---- -2+-- k ~ =----
m-j j j j(m-j)
which gives k; = m. Hence
m-1 { i ( . ) m-1. }
ki=Lkf=m L m=z. + L ~ ·
j=1 j=1 m J j=i+1 J
As in the Wright-Fisher model, one is really interested in the case where
m is large, and i = pm for some P E (0,1). Then
mp 1 m-1 1
m-
2
k
pm
= (1- p) L m _ . + P L ~ -t -(1- p) log(1- p) - plogp
j==1 J j==mp+1 J
as m ~ 00. So, as m ~ 00
Epm(T) ~ -m
2
{(1 - p) 10g(1 - p) +plogp}.
For the Wright-Fisher model we claimed that
Epm(T) ~ -2m{(1 - p) 10g(1 - p) +plogp}
which has the same functional form in p and differs by a factor of m/2.
This factor is partially explained by the fact that the Moran model deals
5.2 Queues and queueing networks 179
with one individual at a time, whereas the Wright-Fisher model changes
all m at once.
Exercises
5.1.1 Consider a branching process with immigration. This is defined, in
the notation of Example 5.1.1, by
X
n
= N
1
n
+ ... + N
x
n
+ In
n-l
where (In)n'?:o is a sequence of independent Z+-valued random variables
with common generating function 'ljJ(t) = E(t
1n
). Show that, if X
o
= 1,
then
n-l
lE(t
X
n) = ¢(n) ( t) II 1/J (¢(k) ( t) ) .
k==O
In the case where the number of immigrants in each generation is Poisson
of parameter A, and where P(N = 0) = 1 - P and P(N = 1) = p, find the
long-run proportion of time during which the population is zero.
5.1.2 A species of plant comes in three genotypes AA, Aa and aa. A
single plant of genotype Aa is crossed with itself, so that the offspring has
genotype AA, Aa or aa with probabilities 1/4, 1/2 and 1/4. How long on
average does it take to achieve a pure strain, that is, AA or aa? Suppose it
is desired to breed an AA plant. What should you do? How many crosses
would your procedure require, on average?
5.1.3 In the Moran model we may introduce a selective bias by making
it twice as likely that a type a individual is chosen to die, as compared
to a type A individual. Thus in a population of size m containing i type
A individuals, the probability that some type A is chosen to die is now
i/(i + 2(m - i)). Suppose we begin with just one type A. What is the
probability that eventually the whole population is of type A?
5.2 Queues and queueing networks
Queues form in many circumstances and it is important to be able to pre-
dict their behaviour. The basic mathematical model for- queues runs as
follows: there is a succession of customers wanting service; on arrival each
customer must wait until a server is free, giving priority to earlier arrivals;
it is assumed that the times between arrivals are independent random vari-
ables of the same distribution, and the times taken to serve customers are
also independent random variables, of some other distribution. The main
180 5. Applications
quantity of interest is the random process ( X t ) t ~ O recording the number
of customers in the queue at time t. This is always taken to include both
those being served and those waiting to be served.
In cases where inter-arrival times and service times have exponential
distributions, ( X t ) t ~ O turns out to be a continuous-time Markov chain, so
we can answer many questions about the queue. This is the context of
our first six examples. Some further variations on queues of this type have
already appeared in Exercises 3.4.1, 3.6.3, 3.7.1 and 3.7.2.
If the inter-arrival times only are exponential, an analysis is still pos-
sible, by exploiting the memorylessness of the Poisson process of arrivals,
and a certain discrete-time Markov chain embedded in the queue. This is
explained in the final two examples.
In each example we shall aim to describe some salient features of the
queue in terms of the given data of arrival-time and service-time distribu-
tions. We shall find conditions for the stability of the queue, and in the
stable case find means to compute the equilibrium distribution of queue
length. We shall also look at the random times that customers spend wait-
ing and the length of time that servers are continuously busy.
Example 5.2.1 (M/M/I queue)
This is the simplest queue of all. The code means: memoryless inter-arrival
times/memoryless service times/one server. Let us suppose that the inter-
arrival times are exponential of parameter A, and the service times are
exponential of parameter J-l. Then the number of customers in the queue
( X t ) t ~ O evolves as a Markov chain with the following diagram:
J-l A J-l A
III( •• 111( ••
i i + 1
To see this, suppose at time 0 there are i customers in the queue, where
i > O. Denote by T the time taken to serve the first customer and by A
the time of the next arrival. Then the first jump time J
1
is A 1\ T, which is
exponential of parameter A + JL, and XJl = i-I if T < A, XJl = i + 1 if
T > A, which events are independent of J
1
, with probabilities J-l/(A+J-l) and
A/(A+J-l) respectively. If we condition on J
1
= T, then A-J
1
is exponential
of parameter Aand independent of J1: the time already spent waiting for an
arrival is forgotten. Similarly, conditional on J
1
= A, T - J
1
is exponential
of parameter JL and independent of J
1
. The case where i = 0 is simpler
as there is no serving going on. Hence, conditional on XJl = j, ( X t ) t ~ O
5.2 Queues and queueing networks 181
begins afresh from j at time Jl. It follows that ( X t ) t ; ~ o is the claimed
Markov chain. This sort of argument should by now be very familiar and
we shall not spell out the details like this in later examples.
The MIMll queue thus evolves like a random walk, except that it does
not take jumps below o. We deduce that if ,\ > J-l then ( X t ) t ~ O is transient,
that is X
t
~ 00 as t ~ 00. Thus if A > J-l the queue grows without limit
in the long term. When A < J-l, ( X t ) t ~ O is positive recurrent with invariant
distribution
So when A < J-l the average number of customers in the queue in equilibrium
is given by
00 00
lE
7r
{X
t
) = LJP>7r{X
t
;::: i) = L{,\/JL)i = ,\/{JL - ,\).
i=l i=l
Also, the mean time to return to 0 is given by
so the mean length of time that the server is continuously busy is given by
rnO - (llqo) = 1/(J-l - A).
Another quantity of interest is the mean waiting time for a typical customer,
when A < J-l and the queue is in equilibrium. Conditional on finding a queue
of length i on arrival, this is (i + 1)I J-l, so the overall mean waiting time is
A rough check is available here as we can calculate in two ways the expected
total time spent in the queue over an interval of length t: either we multiply
the average queue length by t, or we multiply the mean waiting time by the
expected number of customers At. Either way we get AtlJ-l - A. The first
calculation is exact but we have not fully justified the sec9nd.
Thus, once the queue size is identified as a Markov chain, its behaviour
is largely understood. Even in more complicated examples where exact
calculation is limited, once the Markovian character of the queue is noted
we know what sort of features to look for - transience and recurrence,
convergence to equilibrium, long-run averages, and so on.
182 5. Applications
Example 5.2.2 (M/M/s queue)
This is a variation on the last example where there is one queue but there
are S servers. Let us assume that the arrival rate is A and the service
rate by each server is J-l. Then if i servers are occupied, the first service is
completed at the minimum of i independent exponential times of parameter
J-l. The first service time is therefore exponential of parameter iJ-l. The total
service rate increases to a maximum SJ-l when all servers are working. We
emphasise that the queue size includes those customers who are currently
being served. By an argument similar to the preceding example, the queue
size performs a Markov chain with the following diagram:
A J-l A 2J-l A
•• ••• •••
012
SJ-l A SJ-l A
• •• •••
s s+l
So this time we obtain a birth-and-death chain. It is transient in the
case A > SJ-l and otherwise recurrent. To find an invariant measure we look
at the detailed balance equations
Hence
for i = 0,1, ... ,S
for i = s + 1, S + 2, ....
The queue is therefore positive recurrent when A < SJ-l. There are two cases
when the invariant distribution has a particularly nice form: when S = 1
we are back to Example 5.2.1 and the invariant distribution is geometric of
parameter AIJ-l:
When S = 00 we normalize 1r by taking 1ro = e-)../J-L so that
and the invariant distribution is Poisson of parameter AIJ-l.
The number of arrivals by time t is a Poisson process of rate A. Each
arrival corresponds to an increase in X
t
, and each departure to a decrease.
Let us suppose that A < SJ-l, so there is an invariant distribution, and
consider the queue in equilibrium. The detailed balance equations hold and
is non-explosive, so by Theorem 3.7.3 for any T > 0,
5.2 Queues and queueing networks 183
and ( X T - t ) O ~ t ~ T have the same law. It follows that, in equilibrium, the
number of departures by time t is also a Poisson process of rate A. This is
slightly counter-intuitive, as one might imagine that the departure process
runs in fits and starts depending on the number of servers working. Instead,
it turns out that the process of departures, in equilibrium, is just as regular
as the process of arrivals.
Example 5.2.3 (Telephone exchange)
A variation on the M/M/s queue is to turn away customers who cannot
be served immediately. This might serve as a simple model for a telephone
exchange, where the maximum number of calls that can be connected at
once is s: when the exchange is full, additional calls are lost. The maximum
queue size or buffer size is s and we get the following modified Markov chain
diagram:
A J-L A 2J-L A
• I( • I( •
012
s-l s
We can find the invariant distribution of this finite Markov chain by solving
the detailed balance equations, as in the last example. This time we get a
truncated Poisson distribution
By the ergodic theorem, the long-run proportion of time that the exchange
is full, and hence the long-run proportion of calls that are lost, is given by
This is known as Erlang's formula. Compare this example with the bus
maintenance problem in Exercise 3.7.1.
Example 5.2.4 (Queues in series)
Suppose that customers have two service requirements: they arrive as a
Poisson process of rate A to be seen first by server A, and then by server
184 5. Applications
B. For simplicity we shall assume that the service times are independent
exponentials of parameters Q and j3 respectively. What is the average queue
length at B?
Let us denote the queue length at A by (Xt)t>o and that by B by (¥t)t>o.
- -
Then is simply an MIMll queue. If A > Q, then is transient
so there is eventually always a queue at A and departures form a Poisson
process of rate a. If A < a, then, by the reversibility argument of Example
5.2.2, the process of departures from A is Poisson of rate A, provided queue
A is in equilibrium. The question about queue length at B is not precisely
formulated: it does not specify that the queues should be in equilibrium;
indeed if A Q there is no equilibrium. Nevertheless, we hope you will agree
to treat arrivals at B as a Poisson process of rate Q /\ A. Then, by Example
5.2.1, the average queue length at B when Q /\ A < j3, in equilibrium, is
given by (Q /\ A) 1((3 - (Q /\ A)). If, on the other hand, Q /\ A > (3, then
is transient so the queue at B grows without limit.
There is an equilibrium for both queues if A < Q and A < j3. The
fact that in equilibrium the output from A is Poisson greatly simplifies the
analysis of the two queues in series. For example, the average time taken
by one customer to obtain both services is given by
1/(a - A) + 1/(j3 - A).
Example 5.2.5 (Closed migration process)
Consider, first, a single particle in a finite state-space I which performs
a Markov chain with irreducible Q-matrix Q. We know there is a unique
invariant distribution Jr. We may think of the holding times of this chain
as service times, by a single server at each node i E I.
Let us suppose now that there are N particles in the state-space, which
move as before except that they must queue for service at every node. If
we do not care to distinguish between the particles, we can regard this as
a new process with state-space Y= N
1
, where X
t
= (ni : i E I) if
at time t there are ni particles at state i. !n fact, this new process is
Markov chain. To describe its Q-matrix Q we define a function bi : I --+ I
by
Thus bi adds a particle at i. Then for i -=I j the non-zero transition rates
are given by
n E I, i,j E I.
5.2 Queues and queueing networks 185
Observe that we can write the invariant measure equation 1rQ = 0 in the
form
1ri L qij = L 1rjqji·
j#i j#i
For n = (ni : i E I) we set
1f(n) = II1rfi.
iEI
Then
(5.1)
1f(8
i
n) L q(8
i
n, 8
j
n) = II 1 r ~ k
j#i kEI
(
1r
i
Lqji)
j#i
(
L:: 1rjqji)
j#i
= L 1f(8
j
n)q(8
j
n, 8m).
j#i
Given mEl we can put m = 8
i
n in the last identity whenever mi ~ 1. On
summing the resulting equations we obtain
1f(m) L q(m, n) = L 1f(n)q(n, m)
n#m n#m
so 7r is an invariant measure for Q. The total number of particles is con-
served so Qhas communicating classes
and the unique invariant distribution for the N-particle system is given by
normalizing 7f restricted to eN.
Example 5.2.6 (Open migration process)
We consider a modification of the last example where new customers, or
particles, arrive at each node i E I at rate Ai. We suppose also that
customers receiving service at node i leave the network at rate /-li. Thus
customers enter the network, move from queue to queue according to a
Markov chain and eventually leave, rather like a shopping centre. This
model includes the closed system of the last example and also the queues
186 5. Applications
in series of Example 5.2.4. Let X
t
= (X; : i E I), where X; denotes the
number of customers at node i at time t. Then (Xt)t>o is a Markov chain
in Y= N
I
and the non-zero transition rates are given by
q(n, bin) = Ai, q(bi n , bjn) = qij, q(bjn, n) = /-lj
for n E I and distinct states i, LEI. We shall ass':,me that Ai > 0 for some
i and /-lj > 0 for some j; then Q is irreducible on I.
The system of equations (5.1) for an invariant measure is replaced here
by
1ri (f.1,i + L qi
j
) = Ai + L 1rjqji·
j#i j#i
This system has a unique solution, with 1ri > 0 for all i. This may be seen
by considering the invariant distribution for the extended Q-matrix Q on
I U {8} with off-diagonal entries
q8j = Aj, qij = qij, qi8 = /-li·
On summing the system over i E I we find
L 1rif.1,i = L Ai.
iEI iEI
As in the last example, for n = (ni : i E I) we set
1f(n) = II1 r ~ i .
iEI
Transitions from m E I may be divided into those where a new particle is
added and, for each i E I with mi 2:: 1, those where a particle is moved
from i to somewhere else. We have, for the first sort of transition
1f(m) Lq(m,8j m) = 1f(m) LAj
JEI JEI
= 1f(m) L 1rjf.1,j = L 1f(8j m)q(8j m, m)
JEI JEI
and for the second sort
1f(8
i
n) (q(8in, n) + L q(8
i
n, 8j n))
j#i
= II 1 r ~ k (1ri (f.1,i + L qij))
kEI j#i
= II 1 r ~ k ( Ai + L 1rjq
j
i)
kEI j#i
= 1f(n)q(n, 8
i
n) + L 1f(8j n)q(8j n, 8
i
n).
j#i
5.2 Queues and queueing networks
On summing these equations we obtain
1f(m) L: q(m, n) = L: 1f(n)q(n, m)
n#m n#m
187
so 7r is an invariant measure for Q. If 1ri < 1 for all i then 7r has finite total
mass niEI(l-1ri), otherwise the total mass if infinite. Hence, Qis positive
recurrent if and only if 1ri < 1 for all i, and in that case, in equilibrium, the
individual queue lengths (Xi: i E I) are independent geometric random
variables with
Example 5.2.7 (M/G/! queue)
As we argued in Section 2.4, the Poisson process is the natural probabilistic
model for any uncoordinated stream of discrete events. So we are often justi-
fied in assuming that arrivals to a queue form a Poisson process. In the pre-
ceding examples we also assumed an exponential service-time distribution.
This is desirable because it makes the queue size into a continuous-time
Markov chain, but it is obviously inappropriate in many real-world exam-
ples. The service requirements of customers and the duration of telephone
calls have observable distributions which are generally not exponential. A
better model in this case is the MIGll queue, where G indicates that the
service-time distribution is general.
We can characterize the distribution of a service time T by its distribu-
tion function
F(t) = JP>(T ~ t),
or by its Laplace transform
(The integral written here is the Lebesgue-Stieltjes integral: when T has
a density function f(t) we can replace dF(t) by f(t)dt.) Then the mean
service time J-l is given by
J-l = E(T) = -£'(0+).
To analyse the MIGll queue, we consider the queue size X
n
immediately
following the nth departure. Then
(5.2)
188 5. Applications
where Y
n
denotes the number of arrivals during the nth service time. The
case where X
n
= 0 is different because then we get an extra arrival before
the (n + 1)th service time begins. By the Markov property of the Poisson
process, Y
1
, Y
2
, • •• are independent and identically distributed, so ( X n ) n ~ O
is a discrete-time Markov chain. Indeed, except for visits to 0, ( X n ) n ~ O
behaves as a random walk with jumps Y
n
- 1.
Let Tn denote the nth service time. Then, conditional on Tn = t, Y
n
is
Poisson of parameter At. So
and, indeed, we can compute the probability generating function
A(z) = E(zY
n
) = 1
00
E(zY
n
I Tn = t)dF(t)
= 1
00
e-At(l-Z)dF(t) = £('\(1 - z)).
Set p = E(Y
n
) = AJ-l. We call p the service intensity. Let us suppose
that p < 1. We have
Xn = Xo + (Y1 + · · · + Yn) - n + Zn
where Zn denotes the number of visits of X
n
to 0 before time n. So
E(X
n
) = E(Xo) - n(l - p) +E(Zn).
Take X
o
= 0, then, since X
n
~ 0, we have for all n
o< 1 - p ~ E(Znln).
By the ergodic theorem we know that, as n --+ 00
E(Znln) --+ limo
where mo is the mean return time to o. Hence
mo ~ 1/(1 - p) < 00
showing that ( X n ) n ~ O is positive recurrent.
Suppose now that we start ( X n ) n ~ O with its equilibrium distribution Jr.
Set
00
G(z) = E(zX
n
) = I: 1riZi
i==O
5.2 Queues and queueing networks
then
00
= lE(ZYn+l) (1r
O
Z+ L 1r
i
Z
i
)
i==l
= A(z) (1t"OZ + G(z) -1t"o)
so
(A(z) - z)G(z) = 1t"
o
A(z)(l - z).
By I'Hopital's rule, as z i 1
(A(z) - z)/(l- z) --+ 1- A'(l-) = 1- p.
189
(5.3)
Since G(l) = 1 = A(l), we must therefore have 1t"o = 1 - p, rno = 1/(1 - p)
and
G(z) = (1 - p)(l - z)A(z)/(A(z) - z).
Since A is given explicitly in terms of the service-time distribution, we
can now obtain, in principle, the full equilibrium distribution. The fact
that generating functions work well here is due to the additive structure of
(5.2).
To obtain the mean queue length we differentiate (5.3)
(A(z) - z)G'(z) = (A'(z) - l)G(z) = (1 - p){ A'(z)(l - z) - A(z)},
then substitute for G(z) to obtain
G' (z) = (l-p)A' (z) (1- z) -(l-p)A(z) {(A' (z) -1) (1- z) + A(z) - z} .
(A(z) - z) (A(z) _ Z)2
By l'Hopital's rule:
lim (A'(z)-l)(l-z) + A(z)-z -lim A"(z)(l-z) _ _-_A_"_(l_-_)
zjl (A(Z)-Z)2 - zjl 2(A'(z)-1) (A(z)-z) - 2(1-p)2 ·
Hence
E(X
n
) = G'(l-) = p + A"(l-)/2(1 - p)
=p + A
2
£"(0+)/2(1 - p) = p + A
2
E(T
2
)/2(1 - p).
In the case of the M/M/1 queue p = AIJ-l, E(T
2
) = 2/J-l2 and E(X
n
) =
p/(l - p) = A/(J-l - A), as we found in Example 5.2.1.
190 5. Applications
We shall use generating functions to study two more quantities of interest
- the queueing time of a typical customer and the busy periods of the server.
Consider the queue (Xn)nEZ in equilibrium. Suppose that the customer
who leaves at time 0 has spent time Q queueing to be served, and time T
being served. Then, conditional on Q + T = t, X
o
is Poisson of parameter
>..t, since the customers in the queue at time 0 are precisely those who
arrived during the queueing and service times of the departing customer.
Hence
G(z) = E(e-
A
(Q+T)(l-Z)) = M(A(l- z))L(A(l- z))
where M is the Laplace transform
On substituting for G(z) we obtain the formula
M(w) = (1 - p)w/(w - .x(1 - L(w))).
Differentiation and l'Hopital's rule, as above, lead to a formula for the mean
queueing time
E(Q) = -M'(O+) = .xL"(0+)
2 (1 + AL' (0+)) 2
We now turn to the busy period 8. Consider the Laplace transform
Let T denote the service time of the first customer in the busy period. Then
conditional on T = t, we have
8=t+8
1
+ ... +8N,
where N is the number of customers arriving while the first customer is
served, which is Poisson of parameter At, and where 8
1
,8
2
, ... are inde-
pendent, with the same distribution as 8. Hence
B(w) = 1
00
E(e-
WS
IT = t)dF(t)
= 1
00
e-wte->.t(l-B(w»dF(t) = L(w + .x(1- B(w))).
5.2 Queues and queueing networks 191
Although this is an implicit relation for B(w), we can obtain moments by
differentiation:
E(S) = -B'(O+) = -£'(0+)(1 - AB'(O+)) = Jl(l + AE(S))
so the mean length of the busy period is given by
E(S) = Jl/(l - p).
Example 5.2.8 (M/G/oo queue)
Arrivals at this queue form a Poisson process, of rate A, say. Service times
are independent, with a common distribution function F(t) = lP(T ~ t).
There are infinitely many servers, so all customers in fact receive service
at once. The analysis here is simpler than in the last example because
customers do not interact. Suppose there are no customers at time O.
What, then, is the distribution of the number X
t
being served at time t?
The number Nt of arrivals by time t is a Poisson random variable of
parameter At. We condition on Nt = n and label the times of the n arrivals
randomly by AI, ... ,An. Then, by Theorem 2.4.6, AI, ... ,An are inde-
pendent and uniformly distributed on the interval [0, t]. For each of these
customers, service is incomplete at time t with probability
1 it 1 it
p=- JP>(T>s)ds=- (l-F(s))ds.
tot 0
Hence, conditional on Nt = n, X
t
is binomial of parameters nand p. Then
00
P(X
t
= k) = L P(X
t
= k I Nt = n)P(N
t
= n)
n==O
00
= e->.t(>.pt)k /k! L('\(1 - p)tt-
k
/(n - k)!
n==k
= e-APt(Apt)k /k!
So we have shown that X
t
is Poisson of parameter
,\ it(1 - F(s))ds.
192
Recall that
5. Applications
Hence if E(T) < 00, the queue size has a limiting distribution, which is
Poisson of parameter ,xE(T).
For further reading see Reversibility and Stochastic Networks by F. P.
Kelly (Wiley, Chichester, 1978).
5.3 Markov chains in resource management
Management decisions are always subject to risk because of the uncertainty
of future events. If one can quantify that risk, perhaps on the basis of past
experience, then the determination of the best action will rest on the cal-
culation of probabilities, often involving a Markov chain. Here we present
some examples involving the management of a resource: either the stock
in a warehouse, or the water in a reservoir, or the reserves of an insurance
company. See also Exercise 3.7.1 on the maintenance of unreliable equip-
ment. The statistical problem of estimating transition rates for Markov
chains has already been discussed in Section 1.10.
Example 5.3.1 (Restocking a warehouse)
A warehouse has a capacity of c units of stock. In each time period n, there
is a demand for D
n
units of stock, which is met if possible. We denote
the residual stock at the end of period n by X
n
. The warehouse manager
restocks to capacity for the beginning of period n + 1 whenever X
n
~ m,
for some threshold m. Thus ( X n ) n ~ O satisfies
if X
n
~ m
ifm < X
n
~ c.
Let us assume that D
1
, D
2
, ••• are independent and identically distributed;
then ( X n ) n ~ O is a Markov chain, and, excepting some peculiar demand
structures, is irreducible on {O, 1, ... ,c}. Hence ( X n ) n ~ O has a unique
invariant distribution 7r which determines the long-run proportion of time
in each state. Given that X
n
= i, the expected unmet demand in period
n +1 is given by
if i ~ m
if m < i :s; c.
5.3 Markov chains in resource management
Hence the long-run proportion of demand that is unmet is
c
u(m) = L 7l"i
U

i==O
The long-run frequency of restocking is given by
m
r(m) = L7l"i.
i==O
193
Now as m increases, u(m) decreases and r(m) increases. The warehouse
manager may want to compute these quantities in order to optimize the
long-run cost
ar(m) +bu(m)
where a is the cost of restocking and b is the profit per unit.
There is no general formula for 1r, but once the distribution of the demand
is known, it is a relatively simple matter to write down the (c +1) x (c +1)
transition matrix P for and solve 1rP = 1r subject to 1ri = 1.
We shall discuss in detail a special case where the calculations work out
nicely.
Suppose that the capacity c = 3, so possible threshold values are m =
0,1,2. Suppose that the profit per unit b = 1, and that the demand satisfies
P(D i) = 2-
i
for i = 0,1,2, ....
Then
00 00
lE((D - i)+) = LIP((D - i)+ 2: k) = LIP(D 2: i + k) = 2-
i
.
k=l k=l
The transition matrices for m = 0,1,2 are given, respectively, by
(
1/8 1/8 1/4 1/2) (1/8 1/8 1/4 1/2) (1/8 1/8 1/4 1/2)
1/2 1/2 0 0 1/8 1/8 1/4 1/2 1/8 1/8 1/4 1/2
1/4 1/4 1/2 0 1/4 1/4 1/2 0 1/8 1/8 1/4 1/2
1/8 1/8 1/4 1/2 1/8 1/8 1/4 1/2 1/8 1/8 1/4 1/2
with invariant distributions
(1/4,1/4,1/4,1/4), (1/6,1/6,1/3,1/3), (1/8,1/8,1/4,1/2).
Hence
u(O) = 1/4, u(l) = 1/6, u(2) = 1/8
194
and
5. Applications
r(O) = 1/4, r(l) = 1/3, r(2) = 1/2.
Therefore, to minimize the long-run cost ar(m) +u(m) we should take
{
2 if a ~ 1/4
m = 1 if 1/4 < a ~ 1
o if 1 < a.
Example 5.3.2 (Reservoir model - discrete time)
We are concerned here with a storage facility, for example a reservoir, of
finite capacity c. In each time period n, An units of resource are available
to enter the facility and B
n
units are drawn off. When the reservoir is
full, surplus water is lost. When the reservoir is empty, no water can be
supplied. We assume that newly available resources cannot be used in the
current time period. Then the quantity of water X
n
in the reservoir at the
end of period n satisfies
X
n
+
1
= ((X
n
-Bn+I)+ +A
n
+
l
) Ac.
If we assume that An, B
n
and c are integer-valued and that AI, A
2
, ••• are
independent and identically distributed, likewise B
I
, B
2
, ••• , then ( X n ) n ~ O
is a Markov chain on {O, 1, ... ,c}, whose transition probabilities may be
deduced from the distributions of An and B
n
. Hence we know that the long-
run behaviour of ( X n ) n ~ O is controlled by its unique invariant distribution
7r, assuming irreducibility. For example, the long-run proportion of time
that the reservoir is empty is simply 7ro. So we would like to calculate 7r.
A simplifying assumption which makes some calculations possible is to
assume that consumption in each period is constant, and that our units are
chosen to make this constant 1. Then the infinite capacity model satisfies
a recursion similar to the M/G/l queue:
X
n
+
1
= (X
n
- 1)+ + A
n
+
l
.
Hence, by the argument used in Example 5.2.7, if E(A
n
) < 1, then ( X n ) n ~ O
is positive recurrent and the invariant distribution 7r satisfies
00
L 7riZi = (1 - EA
n
)(1 - z)A(z)j(A(z) - z)
i=O
where A(z) = E(zA
n
). In fact, whether or not E(A
n
) < 1, the equation
00
L lIiZi = (1 - z)A(z)j(A(z) - z)
i=O
5.3 Markov chains in resource management 195
serves to define a positive invariant measure v for To see this,
multiply by A(z) - z and equate powers of z: the resulting equations are
the equilibrium equations for
Vo = lIo(ao +a1) +V1
a
O
i
l/i = l/i+l
a
O + L l/j
a
i-j+1, for i 1
j=O
where ai = P(A
n
= i).
Note that can only enter {O, 1, ... ,c} through c. Hence, by the
strong Markov property, observed whilst in {O, 1, ... ,c} is simply
the finite-capacity model. In the case where IE(A
n
) < 1, we can deduce for
the finite-capacity model that the long-run proportion of time in state i is
given by vi/(vo +... +v
e
). In fact, this is true in general as the equilibrium
equations for the finite-capacity model coincide with those for v up to level
c - 1, and the level c equation is redundant.
In reality, it is to be hoped that, in the long run, supply will exceed
demand, which is true if E(A
n
) > 1. Then is transient, so II must
have infinite total mass. The problem faced by the water company is to
keep the long-run proportion of time 1ro(c) that the reservoir is empty below
a certain acceptable fraction, € > °say. Hence c should be chosen large
enough to make
lIO/(lIo +... +lie) < c
which is always possible in the transient case.
Example 5.3.3 (Reservoir model - continuous time)
Consider a reservoir model where fresh water arrives at the times of
a Poisson process of rate A. The quantities of water 8
1
,8
2
, ... arriving
each time are assumed independent and identically distributed. We assume
that there is a continuous demand for water of rate 1. For a reservoir of
infinite capacity, the quantity of water held is just the stored
work in an M/G/I queue with the same arrival times and service times
8
1
,8
2
,. ... The periods when the reservoir is empty correspond to idle
periods of the queue. Hence in the positive recurrent case where AE(8
n
) <
1, the long-run proportion of time that the reservoir is empty is given by
IE(Sn)/(l - ,xIE(Sn)). Note that can enter [0, c] only through c.
As in the preceding example we can obtain the finite capacity model by
observing whilst in [0, c], but we shall not pursue this here.
The next example is included, in part, because it illustrates a surprising
and powerful connection between reflected random walks and the maxima
196 5. Applications
of random walks, which we now explain. Let Xl, X
2
, • •• denote a sequence
of independent, identically distributed random variables. Set Sn = Xl +
... + X
n
and define ( Z n ) n ~ O by Zo = 0 and
Zn+l = (Zn + X
n
+
l
)+.
Then, by induction, we have
so Zn has the same distribution as M
n
where
Example 5.3.4 (Ruin of an insurance company)
An insurance company receives premiums continuously at a constant rate.
We choose units making this rate 1. The company pays claims at the times
of a Poisson process of rate -X, the claims YI, Y
2
, ••• being independent and
identically distributed. Set p = -XE(Yi) and assume that p < 1. Then in
the long run the company can expect to make a profit of 1 - P per unit
time. However, there is a danger that large claims early on will ruin the
company even though the long-term trend is good.
Denote by Sn the cumulative net loss following the nth claim. Thus
Sn = Xl + .. · + X
n
, where X
n
= Y
n
- Tn and Tn is the nth inter-arrival
time. By the strong law of large numbers
as n ~ 00. The maximum loss that the company will have to sustain is
M= lim M
n
n--+oo
where
By the argument given above, M
n
has the same distribution as Zn, where
Zo = 0 and
Zn+l = (Zn +Y
n
- T
n
)+.
But Zn is the queueing time of the nth customer in the M/G/1 queue with
inter-arrival times Tn and service times Y
n
. We know by Example 5.2.7 that
the queue-length distribution converges to equilibrium. Hence, so does the
5.4 Markov decision processes 197
queueing-time distribution. Also by Example 5.2.7, we know the Laplace
transform of the equilibrium queueing-time distribution. Hence
The probability of eventual bankruptcy is P(M > a), where a denotes the
initial value of the company's assets. In principle, this may now be obtained
by inverting the Laplace transform.
5.4 Markov decision processes
In many contexts costs are incurred at a rate determined by some process
which may best be modelled as a Markov chain. We have seen in Section
1.10 and Section 4.2 how to calculate in these circumstances the long-run
average cost or the expected total cost. Suppose now that we are able to
choose the transition probabilities for each state from a given class and that
our choice determines the cost incurred. The question arises as to how best
to do this to minimize our expected costs.
Example 5.4.1
A random walker on {O, 1, 2, ... } jumps one step to the right with proba-
bility p and one step to the left with probability q = 1 - p. Any value of
p E (0,1] may be chosen, but incurs a cost
c(p) = l/p.
The walker on reaching 0 stays there, incurring no further costs.
If we are only concerned with minimizing costs over the first few time
steps, then the choice p = 1 may be best. However, in the long run the only
way to avoid an infinite total cost is to get to O. Starting from i we must
first hit i-I, then i - 2, and so on. Given the lack of memory in the model,
this makes it reasonable to pick the same value of p throughout, and seek
to minimize ¢(p), the expected total cost starting from 1. The expected
total cost starting from 2 is 2¢(p) since we must first hit 1. Hence
¢(p) = c(p) + 2p¢(p)
so that
¢(p) = { c(p)/(l - 2p) for p < 1/2
00 for p ~ 1/2.
Thus for c(p) = lip the choice p = 1/4 is optimal, with expected cost 8.
The general discussion which follows will make rigorous what we claimed
was reasonable.
198 5. Applications
Generally, let us suppose given some distribution A = (Ai: i E I) and,
for each action a E A, a transition matrix P(a) = (Pij(a) : i,j E I) and
a cost function c(a) = (Ci (a) : i E I). These are the data for a Markov
decision process, though so far we have no process and when we do it will
not in general be Markov. To get a process we must choose a policy, that
is, a way of determining actions by our current knowledge of the process.
Formally, a policy U is a sequence of functions
n=O,1,2, ....
Each policy u determines a probability law pu for a process ( X n ) n ~ O with
values in I by
(i) PU(X
o
= io) = Ai
o
;
(ii) PU(X
n
+
1
=in+11 X
o
=io, ... ,X
n
=i
n
) =Pi
n
i
n
+l(u
n
(i
o
, ... ,in)).
A stationary policy u is a function u : I ~ A. We abuse notation and write
u also for the associated policy given by
Under a stationary policy u, the probability law pu makes (Xn)n>O Markov,
with transition probabilities P"tj = Pij (u(i))· -
We suppose that a cost c(i, a) = ci(a) is incurred when action a is chosen
in state i. Then we associate to a policy u an expected total cost starting
from i, given by
00
VU(i) =E
U
LC(Xn,Un(X
o
, ... ,X
n
)).
n=O
So that this sum is well defined, we assume that c(i, a) ~ 0 for all i and a.
Define also the value function
V*(i) = infVU(i)
U
which is the minimal expected total cost starting from i.
The basic problem of Markov decision theory is how to minimize expected
costs by our choice of policy. The minimum expected cost incurred before
time n = 1 is given by
VI (i) = inf c(i, a).
a
Then the minimum expected cost incurred before time n = 2 is
V2 (i) = i ~ { c(i, a) + LPij(a)V
1
(j)}.
jE!
5.4 Markov decision processes
Define inductively
Vn+l (i) = i ~ f { c(i, a) +LPij(a)VnU)}.
jEI
199
(5.4)
It is easy to see by induction that V
n
(i) ~ V
n
+l (i) for all i, so V
n
(i) increases
to a limit Voo(i), possibly infinite. We have
Vn+l(i) :::; c(i,a) +LPij(a)VnU)
jEI
so, letting n ~ 00 and then minimizing over a,
for all a
Voo(i) :::; i ~ { c(i, a) +LPij(a)VOOU)}.
jEI
(5.5)
It is a reasonable guess that Voo(i), being the limit of minimal expected
costs over finite time intervals, is in fact the value function V*(i). This is
not always true, unless we can show that the inequality (5.5) is actually an
equality. We make three technical assumptions to ensure this. We assume
that
(i) for all i, j the functions Ci : A ~ [0,00) and Pij : A ~ [0,00) are
continuous;
(ii) for all i and all B < 00 the set {a : ci(a) ~ B} is compact;
(iii) for each i, for all but finitely many j, for all a E A we have Pij (a) = 0.
A simple case where (i) and (ii) hold is when A is a finite set. It is easy
to check that the assumptions are valid in Example 5.4.1, with A = (0,1],
ci(a) = l/a and
{
a ifj=i+1
Pij (a) = 0
1
- a if j = i-I
otherwise,
with obvious exceptions at i = O.
Lemma 5.4.2. There is a stationary policy u such that
Voo(i) = c(i, u(i)) + LPij (u(i))VooU)·
jEI
(5.6)
Proof. If Voo(i) = 00 there is nothing to prove, so let us assume that
Voo(i) ~ B < 00. Then
Vn+l(i) = ! ~ {C(i,a) +LPij(a)Vn(j)}
jEJ
200 5. Applications
where K is the compact set {a : c(i, a) ~ B} and where J is the finite set
{j : Pij ¢. O}. Hence, by continuity, the infimum is attained and
V
n
+l(i) = c(i,un(i)) + :EPij(un(i))Vn(j)
jEJ
(5.7)
for some un(i) E K. By compactness there is a convergent subsequence
u
nk
(i) ~ u(i), say, and, on passing to the limit nk ~ 00 in (5.7), we obtain
(5.6). D
Theorem 5.4.3. We have
(i) Vn(i) i V*(i) as n ~ 00 for all i;
(ii) if u * is any stationary policy such that a = u*(i) minimizes
c(i,a) + :EPij (a)V* (j)
jEI
for all i, then u* is optimal, in the sense that
v
u
* (i) = V*(i)
Proof. For any policy u we have
00
for all i.
VU(i) = Ei L c(X
n
, Un (X
o
, · " ,X
n
))
n=O
= c(i,uo(i)) + :EPij(UO(i))vu[i](j)
jEI
where u[i] is the policy given by
Hence we obtain
VU(i) ~ i ~ { c(i, a) + LPij (a)V* (j) }
jEI
and, on taking the infimum over u
V*(i) ~ i ~ { c(i, a) +LPij (a)V* (j) }.
jEI
(5.8)
Certainly, Vo(i) = 0 ~ V*(i). Let us suppose inductively that Vn(i) ~ V*(i)
for all i. Then by substitution in the right sides of (5.4) and (5.8) we find
V
n
+
1
(i) ~ V*(i) and the induction proceeds. Hence Voo(i) ~ V*(i) for all i.
5.4 Markov decision processes
Let u* be any stationary policy for which
Voo(i) ~ c(i,u*(i)) +LPij(U*(i))Voo(j).
jEI
201
We know such a policy exists by Lemma 5.4.2. Then by Theorem 4.2.3 we
have vu* (i) ~ Voo(i) for all i. But V*(i) ~ vu* (i) for all i, so
Voo(i) = V*(i) = v
u
* (i)
and we are done. D
for all i
The theorem just proved shows that the problem of finding a good policy
is much simpler than we might have supposed. For it was not clear at the
outset that there would be a single policy which was optimal for all i, even
less that this policy would be stationary. Moreover, part (i) gives an explicit
way of obtaining the value function V* and, once this is known, part (ii)
identifies an optimal stationary policy.
In practice we may know only an approximation to V*, for example V
n
for n large. We may then hope that, by choosing a = u(i) to minimize
c(i, a) + :EPij(a)Vn(j)
jEI
we get a nearly optimal policy. An alternative means of constructing nearly
optimal policies is sometimes provided by the method of policy improve-
ment. Given one stationary policy u we may define another Ou by the
requirement that a = (Ou)(i) minimizes
c(i,a) +:Epij(a)Vu(j).
jEI
Theorem 5.4.4 (Policy improvement). We have
(i) VeU(i) ~ VU(i) for all i;
(ii) VenU(i) ! V*(i) as n ~ 00 for all i, provided that
for all i. (5.9)
Proof. (i) We have, by Theorem 4.2.3
VU(i) = c(i,u(i)) + LPij(u(i))VU(j)
jEI
~ c(i,Ou(i)) + :EPij(Ou(i))vu(j)
jEI
so VU(i) ~ VeU(i) for all i, by Theorem 4.2.3.
202 5. Applications
(ii) We note from part (i) that
VOU(i) :::; c(i,a) +LPii(a)Vu(j)
jEI
for all i and a. (5.10)
Fix N 0 and consider for n = 0, 1, . .. ,N the process
n-l
M
n
= VON-nU(Xn) +LC(Xk,U*(Xk))'
k=O
Recall the notation for conditional expectation introduced in Section 4.1.
We have
E
U
* (M
n
+
1
I:F
n
) = LPXni (U*(Xn))VoN-n-lu(j) + c(X
n
, u*(X
n
))
jEI
n-l
+ LC(Xk,U*(Xk))
k=O

where we used (5.10) with u replaced by (IN-n-l u, i = X
n
and a = u*(X
n
).
It follows that EU· (M
n
+
1
) EU· (M
n
) for all n. Hence if we assume (5.9),
then
V
9N
U(i) = IEy· (M
o
) IEY· (M
N
)
=Ef(VU(XN)) +E
u
*
D
We have been discussing the minimization of expected total cost, which is
only relevant to the transient case. This is because we will have V* (i) = 00
unless for some stationary policy u, the only states j with positive cost
c(j, u(j)) > 0, accessible from i, are transient. The recurrent case is also
of practical importance and one way to deal with this is to discount costs
at future times by a fixed factor Q E (0,1). We now seek to minimize the
expected total discounted cost
00
V:(i) = EiLOnC(Xn,Un(X
o
, ... ,X
n
)).
n=O
Define the discounted value function
V;(i) = infV:(i).
U
5.4 Markov decision processes 203
In fact, the discounted case reduces to the undiscounted case by intro-
ducing a new absorbing state 8 and defining a new Markov decision process
by
Pij (a) = apij (a),
ci(a) = ci(a),
Pia(a) = 1 - a,
ca(a) = O.
Thus the new process follows the old until, at some geometric time of pa-
rameter a, it jumps to 8 and stays there, incurring no further costs.
Introduce VO,a (i) = 0 and, inductively
Vn+l,o:(i) = i ~ f {c(i, a) + a 2:Pij (a)Vn,o: (in
jEJ
and, given a stationary policy u, define another Oau by the requirement
that a = (Oau)(i) minimizes
c(i, a) + a 2:Pij(a)V
U
U).
jEJ
Theorem 5.4.5. Suppose that the cost function c(i, a) is uniformly
bounded.
(i) We have Vn,a(i) i VC:(i) as n ~ 00 for all i.
(ii) The value function VC: is the unique bounded solution to
V;(i) = i ~ f { c(i, a) + a 2: Pij(a)V;U) }.
jEI
(iii) Let u* be a stationary policy such that a = u*(i) minimizes
c(i,a) +a 2:Pij(a)V;U)
jEI
for all i. Then u* is optimal in the sense that
(5.11)
V:* (i) = VC:(i)
(iv) For all stationary policies u we have
for all i.
as n ~ 00 for all i.
Proof. With obvious notation we have
204 5. Applications
so parts (i), (ii) and (iii) follow directly from Theorems 5.4.3 and 5.4.4,
except for the uniqueness claim in (ii). But given any bounded solution V
to (5.11), there is a stationary policy u such that
V(i) = c(i,u(i)) +0: :Epij(u(i))V(j).
JEI
Then V = V ~ , by Theorem 4.2.5. Then (}au = U so (iv) will show that u is
optimal and V = VC:.
We have c(i, a) ~ B for some B < 00. So for any stationary policy u we
have
00
V:(i) = Ei:E o:nc(x
n
, u(X
n
)) :::; B/(l - 0:)
n=O
and so
iEf* (VU(X
n
)) = anEf* ( V ~ ( X n ) ) ~ Ba
n
/(l- a) ~ 0
as n ~ 00. Hence (iv) also follows from Theorem 5.4.4. D
We finish with a discussion of long-run average costs. Here we are con-
cerned with the limiting behaviour, as n ~ 00, of
We assume that
Ic(i, a)1 ~ B < 00
for all i and a.
This forces IV:(i) I ~ B for all n, but in general the sequence ~ (i) may
fail to converge as n ~ 00. In the case of a stationary strategy u for which
(Xn)n>O has a unique invariant distribution 1r
u
, we know by the ergodic
theorem that
1 n-l
;;: LC(Xk,U(Xk)) ~ L
7r
j
c
U,u(j))
k=O JEI
as n ~ 00, Pi-almost surely, for all i. So ~ (i) does converge in this
case by bounded convergence, with the same limit. This suggests that one
approach to minimizing long-run costs might be to minimize
L 7rjcU, u(j)).
JEI
But, although this is sometimes valid, we do not know in general that the
optimal policy is positive recurrent, or even stationary. Instead, we use a
martingale approach, which is more general.
5.4 Markov decision processes 205
Theorem 5.4.6. Suppose we can find a constant V* and a bounded func-
tion W(i) such that
V* +W(i) = +LPii(a)W(j)}
jEI
for all i. (5.12)
Let u* be any stationary strategy such that a = u*(i) achieves the infimum
in (5.12) for each i. Then
(i) v::* (i) -t V* as n -t 00 for all i;
(ii) v:: (i) V* for all i, for all u.
Proof. Fix a strategy u and set Un = un(Xo, ... ,X
n
). Consider
n-l
M
n
= W(X
n
) - nV* + L C(Xk' Uk).
k=O
Then
EU(Mn+l I F
n
)
= M
n
+ {C(X
n
, Un) +LPXni(Un)W(j)} - (V* +W(X
n
))
jEI
with equality if u = u*. Therefore
So we obtain
v* +2 sup IW(i)l/n.
i
This implies (ii) on letting n 00. When u = u* we also have
v::* (i) V* + 2 sup IW(i)l/n
i
and hence (i). D
The most obvious point of this theorem is that it identifies an optimal
stationary policy when the hypothesis is met. Two further aspects also
deserve comment. Firstly, if u is a stationary policy for which has
an invariant distribution 1r
u
, then
2: 1I"f (V* + W(i)) 2:1I"f (C(i'U(i)) + 2:Pii(U(i))W(j))
iEI iEI jEI
= 2:1I"fc(i,u(i)) + L1I"jW(j)
iEI jEI
206
so
5. Applications
v* ~ L 1rfc(i, u(i))
iEI
with equality if we can take u = u* .
Secondly, there is a connection with the case of discounted costs. Assume
that I is finite and that P(a) is irreducible for all a. Then we can show
that as a i 1 we have
V;(i) = V* /(1 - a) +W(i) +0(1 - a).
On substituting this into (5.11) we find
v* /(1 - a) +W(i) + 0(1 - a)
= i ~ f {C(i' a) + a LPij(a)(V*/(1- a) + W(j) + 0(1 - a))}
jEI
so
V* + W(i) = i ~ f {C(i' a) + a LPij(a)W(j)} + 0(1 - a)
jEI
which brings us back to (5.12) on letting a i 1.
The interested reader is referred to S.11. Ross, Applied Probability Mod-
els with Optimization Applications (Holden-Day, San Francisco, 1970) and
to H. C. Tijms, Stochastic Models - an algorithmic approach (Wiley, Chich-
ester, 1994) for more examples, results and references.
5.5 Markov chain Monte Carlo
Most computers may be instructed to provide a sequence of numbers
Ul = O.Ull U12
U
13 Ulm
U2 = O. U21 U22
U
23 U2m
U3 = 0.U31U32
U
33 U3m
written as decimal expansions of a certain length, which for many purposes
may be regarded as sample values of a sequence of independent random
variables, uniformly distributed on [0,1]:
5.5 Markov chain Monte Carlo 207
We are cautious in our language because, of course, Ul, U2, U3, ... are actu-
ally all integer multiples of 10-
m
and, more seriously, they are usually de-
rived sequentially by some entirely deterministic algorithm in the computer.
Nevertheless, the generators of such pseudo-random numbers are in general
as reliable an imitation as one could wish of U1(w), U
2
(w), U
3
(w), .... This
makes it worth while considering how one might construct Markov chains
from a given sequence of independent uniform random variables, and then
might exploit the observed properties of such processes.
We shall now describe one procedure to simulate a Markov chain ( X n ) n ~ O
with initial distribution A and transition matrix P. Since EiEI Ai = 1 we
can partition [0,1] into disjoint subintervals (Ai: i E I) with lengths
Similarly for each i E I, we can partition [0,1] into disjoint subintervals
(A
ij
: j E I) such that
Now define functions
Go : [0, 1] ~ I,
G : I x [0, 1] ~ I
by
Go(U) = i
G(i,u)=j
if u E Ai,
if u E A
ij
.
Suppose that U
o
, U
1
, U
2
, • •• is a sequence of independent random variables,
uniformly distributed on [0,1], and set
X
o
= Go(U
o
),
X
n
+
1
= G(X
n
, U
n
+
1
) for n ~ 0.
Then
lP(X
o
= i) = lP(U
o
E Ai) = Ai,
lP(Xn +1 = i n +1 I Xo = io, ... ,Xn = in) = JP>(Un +1 E Ainin+l) = Pi
n
i
n
+l
so ( X n ) n ~ O is Markov(A, P).
This simple procedure may be used to investigate empirically those as-
pects of the behaviour of a Markov chain where theoretical calculations
become infeasible.
208 5. Applications
The remainder of this section is devoted to one application of the simu-
lation of Markov chains. It is the application which finds greatest practical
use, especially in statistics, statistical physics and computer science, known
as Markov chain Monte Carlo. Monte Carlo is another name for computer
simulation so this sounds no different from the procedure just discussed.
But what is really meant is simulation by means of Markov chains, the
object of primary interest being the invariant distribution of the Markov
chain and not the chain itself. After a general discussion we shall give two
examples.
The context for Markov chain Monte Carlo is a state-space in product
form
I = II 8m
mEA
where A is a finite set. For the purposes of this discussion we shall also
assume that each component 8
m
is a finite set. A random variable X with
values in I is then a family of component random variables (X(m) : mEA),
where, for each site mEA, X(m) takes values in 8
m
.
We are given a distribution 7r = (7ri : i E I), perhaps up to an unknown
constant multiple, and it is desired to compute the number
(5.13)
for some given function I = (Ii : i E I). The essential point to understand is
that A is typically a large set, making the state-space I very large indeed.
Then certain operations are computationally infeasible - performing the
sum (5.13) state by state for a start.
An alternative approach would be to simulate a large number of inde-
pendent random variables Xl, ... ,X
n
in I, each with distribution 7r, and
to approximate (5.13) by
1 n
;;, L!(Xk).
k=l
The strong law of large numbers guarantees that this is a good approxi-
mation as n ~ 00 and, moreover, one can obtain error estimates which
indicate how large to make n in practice. However, simulation from the
distribution 7r is also difficult, unless 7r has product form
1r(X) = II 1r
m
{x(m)).
mEA
For recall that a computer just simulates sequences of independent U[O, 1]
random variables. When 7r does not have product form, Markov chain
Monte Carlo is sometimes the only way to simulate samples from 7r.
5.5 Markov chain Monte Carlo 209
The basic idea is to simulate a Markov chain ( X n ) n ~ O , which is con-
structed to have invariant distribution Jr. Then, assuming aperiodicity and
irreducibility, we know, by Theorem 1.8.3, that as n ~ 00 the distribution
of X
n
converges to Jr. Indeed, assuming only irreducibility, Theorem 1.10.2
shows that
with probability 1. But why should simulating an entire Markov chain be
easier than simulating a simple distribution Jr? The answer lies in the fact
that the state-space is a product.
Each component Xo(m) of the initial state X
o
is a random variable in 8
m
.
It does not matter crucially what distribution X
o
is given, but we might,
for example, make all components independent. The process ( X n ) n ~ O is
made to evolve by changing components one site at a time. When the
chosen site is m, we simulate a new random variable X
n
+
1
(m) with values
in 8
m
according to a distribution determined by X
n
, and for k =I m we set
Xn+1 ( k) = Xn ( k) . Thus at each step we have only to simulate a random
variable in 8
m
, not one in the much larger space I.
Let us write i ~ j if i and j agree, except possibly at site m. The law for
simulating a new value at site m is described by a transition matrix P(m),
where
pij(m) = 0 unless i ~ j.
We would like Jr to be invariant for P(m). A sufficient condition is that the
detailed balance equations hold: thus for all i, j we want
There are many possible choices for P(m) satisfying these equations. In-
deed, given any stochastic matrix R(m) with
rij(m) = 0 unless i ~ j
we can determine such a P(m) by
for i =I j, and then
pii(m) = 1- 2:Pij(m) ~ O.
j#i
210 5. Applications
This has the following interpretation: if X
n
= i we simulate a new random
variable Y
n
so that Y
n
= j with probability rij(m), then if Y
n
= j we set
with probability (7ririj(m)/7rjrji(m)) 1\ 1
otherwise.
This is called a Hastings algorithm.
There are two commonly used special cases. On taking
for i ~ j
we also find
for i ~ j.
So we simply resample X
n
(m) according to the conditional distribution
under 7r, given the other components. This is called the Gibbs sampler. It
is particularly useful in Bayesian statistics.
On taking rij(m) = rji(m) for all i and j we find
for i ~ j, i =1= j.
This is called a Metropolis algorithm. A particularly simple case would be
to take
rij(m) == l/(N
m
- 1) for i ~ j, i =1= j
where N
m
== ISml. This amounts to choosing another value jm at site m
uniformly at random; if 7rj > 7ri, then we adopt the new value, whereas if
7rj ~ 7ri we adopt the new value with probability 7rj/7ri.
We have not yet specified a rule for deciding which site to visit when.
In practice this may not matter much, provided we keep returning to every
site. For definiteness we mention two possibilities. We might choose to visit
every site once and then repeat, generating a sequence of sites ( m n ) n ~ O .
Then (m
n
, X n ) n ~ O is a Markov chain in A x I. Alternatively, we might
choose a site randomly at each step. Then ( X n ) n ~ O is itself a Markov chain
with transition matrix
P = IAI-
1
:E P(m).
mEA
We shall stick with this second choice, where the analysis is simpler to
present. Let us assume that P is irreducible, which is easy to ensure in the
examples. We know that
5.5 Markov chain Monte Carlo
for all m and all i, j, so also
211
7riPij = 7rjPji
and so 7r is the unique invariant measure for P. Hence, by Theorem 1.10.2,
we have
1 n-1
- L f(Xk) -t L 7rdi
n k=O iEI
as n ~ 00 with probability 1. Thus the algorithm works eventually. In
practice one is concerned with how fast it works, but useful information
of this type cannot be gained in the present general context. Given more
information on the structure of 8
m
and the distribution 7r to be simulated,
much more can be said. We shall not pursue the matter here. It should
also be emphasised that there is an empirical side to simulation: with due
caution informed by the theory, the computer output gives a good idea
of how well we are doing. For further reading we recommend Stochastic
Simulation by B. D. Ripley (Wiley, Chichester, 1987), and Markov Chain
Monte Carlo in practice by W. R. Gilks, S. Richardson and D. J. Spiegelhal-
ter (Chapman and Hall, London, 1996). The recent survey article Bayesian
computation and stochastic systems by J. Besag, P. Green, D. Higdon and
K. Mengersen (Statistical Science, 10 (1), pp. 3-40, 1995) contains many
interesting references. We finish with two examples.
Example 5.5.1 (Bayesian statistics)
In a statistical problem one may be presented with a set of independent
observations Y
1
, . .. ,Y
n
, which it is reasonable to assume are normally dis-
tributed, but with unknown mean /-l and variance 7-
1
. One then seeks
to draw conclusions about /-l and 7 on the basis of the observations. The
Bayesian approach to this problem is to assume that /-l and 7 are themselves
random variables, with a given prior distribution. For example, we might
assume that
/-l rv N(0
0
, cPo
1
), 7 rv r(0:0, ,80),
that is to say, /-l is normal of mean 0
0
and variance cPo
1
, and 7 has gamma
distribution of parameters 0:0 and ,80. The parameters 0
0
, cPo, 0:0 and ,80
are known. Then the prior density for (/-l, 7) is given by
7r(/-l, 7) ex exp{-cPO(/-l- O
o
)2/2}7
ao
-
1
exp{-,807}.
The posterior density for (/-l, 7), which is the conditional density given
the observations, is then given by Bayes' formula
7r(/-l, 7 I y) ex 7r(/-l, 7) f (y I /-l, 7)
ex exp{-¢o(p- (
0
)2/2} exp { -Tt.(Yi -p)2/2} T
ao
-l+
n
/
2
exp{-{jOT}.
212 5. Applications
Note that the posterior density is no longer in product form: the condition-
ing has introduced a dependence between J-l and T. Nevertheless, the full
conditional distributions still have a simple form
1r(pl Y, r) ex exp{-¢o(p- (
0
)2/2} exp { -r t.(Yi - p)2/2} I'.J N(On, ¢;;1),
1r(r I Y, p) ex r
CYo
-l+
n
/
2
exp { -r (,80 +t,(Yi - p)2/2) }I'.J r(a
n
, ,8n)
where
n
an = ao + n/2, ,8n = ,80 + 2)Yi - p)2/2.
i==l
Our final belief about J-l and T is regarded as measured by the posterior
density. We may wish to compute probabilities and expectations. Here the
Gibbs sampler provides a particularly simple approach. Of course, numeri-
cal integration would also be feasible as the dimension is only two. To make
the connection with our general discussion we set
1=8
1
X 8
2
= JR x [0,00).
We wish to simulate X = (J-l, T) with density 7r(J-l, T I y). The fact that JR
and [0, 00) are not finite sets does not affect the basic idea. In any case the
computer will work with finite approximations to JR and [0,00). First we
simulate X
o
, say from the product form density 7r(J-l, T). At the kth stage,
given X
k
= (J-lk, Tk), we first simulate J-lk+1 from 7r(J-l I y, Tk) and then Tk+1
from 7r(T I y,J-lk+1), then set Xk+1 = (J-lk+1,Tk+1). Then ( X k ) k ~ O is a
Markov chain in I with invariant measure 7r(J-l, T I y), and one can show
that
k-1
~ ~ f(Xj ) -t 1f(x)1r(x I y)dx as k -t 00
with probability 1, for all bounded continuous functions f : I ---+ JR. This
is not an immediate consequence of the ergodic theorem for discrete state-
space, but you may find it reasonable at an intuitive level, with a rate of
convergence depending on the smoothness of 7r and f.
We now turn to an elaboration of this example where the Gibbs sampler
is indispensible. The model consists of m copies of the preceding one, with
5.5 Markov chain Monte Carlo 213
different means but a common variance. Thus there are mn independent
observations }!ij, where i = 1, ... n, and j = 1, ... ,m, normally distributed,
with means jjj and common variance 7-
1
. We take these parameters to be
independent random variables as before, with
Let us write jj = (jj1, . .. ,jjn). The prior density is given by
and the posterior density is given by
1r(J-l, T I y) ex exp { -¢o ~ ( J - l j - ( 0 )2/2}
x exp { -Tt.~ ( Y i j - J-lj)2/2} TQo-Hmn/2 exp{-,8oT}.
Hence the full conditional distributions are
where
n m
On = 00 + mn/2, ,8n = f30 + L L(Yij - J-lj)2/2.
i=1 j=1
We can construct approximate samples from 7r(jj, 7 I y), just as in the case
m = 1 discussed above, by a Gibbs sampler method. Note that, conditional
on 7, the means jjj, for j = 1, ... ,m, remain independent. Thus one can
update all the means simultaneously in the Gibbs sampler. This has the.
effect of speeding convergence to the equilibrium distribution. In cases
where m is large, numerical integration of 7r(jj,7 I y) is infeasible, as is
direct simulation from the distribution, so the Markov chain approach is
the only one available.
214 5. Applications
Example 5.5.2 (Ising model and image analysis)
Consider a large box A = AN in 71
2
A = {-N, ... ,-1,0,1, ... ,N}2
with boundary 8A = AN\A
N
-
1
, and the configuration space
For x E A define
H(x) = ! I::(x(m) - x(m,))2
where the sum is taken over all pairs {m, m
/
} ~ A with 1m - m'l = 1. Note
that H(x) is small when the values taken by x at neighbouring sites are
predominantly the same. We write
I+ = {x E I : x(m) = 1 for all m E 8A}
and for each (3 > °define a probability distribution (rr(x) : x E I+) by
1t"(x) ex e-(3H(x).
As (3 ! °the weighting becomes uniform, whereas, as (3 i 00 the mass
concentrates on configurations x where H(x) is small. This is one of the
fundamental models of statistical physics, called the Ising model. A famous
and deep result of Onsager says that if X has distribution 1t", then
In particular, if sinh 2(3 ~ 1, the fact that X is forced to take boundary
values 1 does not significantly affect the distribution of X(O) when N is
large, whereas if sinh 2{3 > 1 there is a residual effect of the boundary
values on X(O), uniformly in N.
Here we consider the problem of simulating the Ising model. Simulations
may sometimes be used to guide further developments in the theory, or even
to detect phenomena quite out of reach of the current theory. In fact, the
Ising model is rather well understood theoretically; but there are many
related models which are not, where simulation is still possible by simple
modifications of the methods presented here.
First we describe a Gibbs sampler. Consider the sets of even and odd
sites
A+ = {(ml' m2) E A : ml +m2 is even},
A- = {(ml' m2) E A : ml +m2 is odd}
and for x E I set
5.5 Markov chain Monte Carlo 215
x± = (x(m) : m E A±).
We can exploit the fact that the conditional distribution 1r(x+ I x-) has
product form
1r(X+ I x-) ex II e/3x(m)s(m)
mEA+\8A
where, for mEA+\8A
s(m) = L x-(m').
Im'-ml=l
Therefore, it is easy to simulate from 1r(x+ I x-) and likewise from
1r(x- I x+). Choose now some simple initial configuration X
o
in 1+. Then
inductively, given X;; = x-, simulate firstly X ~ + l with distribution
1r(. I x-) and then given X ~ + l = x+, simulate X;+l with distribution
1r(. I x+). Then according to our general discussion, for large n, the distri-
bution of X
n
is approximately 1r. Note that we did not use the value of the
normalizing constant
Z = L e-/3H(x)
xEI+
wllich is hard to compute by elementary means when N is large.
An alternative approach is to use a Metropolis algorithm. We can again
exploit the even/odd partition. Given that X
n
= x, independently for each
m E A+\8A, we change the sign of Xt(m) with probability
p(m,x) = (1r(x)/1r(x)) 1\ 1 = e
2
,Bx(m)s(m) 1\ 1
where x ~ x with x(m) = -x(m). Let us call the resulting configuration
Y
n
. Next we apply the corresponding transformation to Y
n
- ( m) for the odd
sites m E A-\8A, to obtain X
n
+
1
. The process ( X n ) n ~ O is then a Markov
chain in 1+ with invariant distribution 1r.
Both methods we have described serve to simulate samples from 1r; there
is little to choose between them. Convergence is fast in the subcritical case
sinh 2,8 < 1, where 1r has an approximate product structure on large scales.
In a Bayesian analysis of two-dimensional images, the Ising model is
sometimes used as a prior. We may encode a digitized image on a two-
dimensional grid as a particular configuration (x(m) : mEA) E I, where
x(m) = 1 for a white pixel and x(m) = -1 for a black pixel. By varying
the parameter ,8 in the Ising model, we vary the tendency of black pixels
216 5. Applications
to clump together; the same for white pixels. Thus (3 is a sort of texture
parameter, which we choose according to the sort of image we expect, thus
obtaining a prior 7r(x). Observations are now made at each site which record
the true pixel, black or white, with probability p E (0,1). The posterior
distribution for X given observations Y is then given by
7r(x I y) ex 7r(x)f(y I x) ex e-
f3H
(x)pa(x,y) (1 - p)d(x,y)
where a(x, y) and d(x, y) are the numbers of sites at which x and y agree and
disagree respectively. 'Cleaned-up' versions of the observed image Y may
now be obtained by simulating from the posterior distribution. Although
this is not exactly the Ising model, the same methods work. We describe
the appropriate Metropolis algorithm: given that X
n
= x, independently
for each m E A+\8A, change the sign of X:(m) with probability
p(m, x, y) = (7r(x I Y)/7r(x I y)) 1\ 1
= e-
2
,6x(m)s(m)((1_ p)/pt(m)y(m)
where x x with x(m) = -x(m). Call the resulting configuration X
n
+
1
/
2
.
Next apply the corresponding transformation to for the odd sites
to obtain X
n
+
1
. Then is a Markov chain in /+ with invariant
distribution 7r(. I y).
6
Appendix: probability and measure
Section 6.1 contains some reminders about countable sets and the discrete
version of measure theory. For much of the book we can do without explicit
mention of more general aspects of measure theory, except an elementary
understanding of Riemann integration or Lebesgue measure. This is because
the state-space is at worst countable. The proofs we have given may be read
on two levels, with or without a measure-theoretic background. When in-
terpreted in terms of measure theory, the proofs are intended to be rigorous.
The basic framework of measure and probability is reviewed in Sections 6.2
and 6.3. Two important results of measure theory, the monotone conver-
gence theorem and Fubini's theorem, are needed a number of times: these
are discussed in Section 6.4. One crucial result which we found impossi-
ble to discuss convincingly without measure theory is the strong Markov
property for continuous-time chains. This is proved in Section 6.5. Finally,
in Section 6.6, we discuss a general technique for determining probability
measures and independence in terms of 1r-systems, which are often more
convenient than a-algebras.
6.1 Countable sets and countable sums
A set I is countable if there is a bijection f : {I, . .. ,n} ~ I for some n E N,-
or a bijection f : N ~ I. In either case we can enumerate all the elements
of I
218 6. Appendix: probability and measure
where in one case the sequence terminates and in the other it does not.
There would have been no loss in generality had we insisted that all our
Markov chains had state-space N or {I, ... ,n} for some n E N: this just
corresponds to a particular choice of the bijection f.
Any subset of a countable set is countable. Any finite cartesian product
of countable sets is countable, for example tl
n
for any n. Any countable
union of countable sets is countable. The set of all subsets of N is uncount-
able and so is the set of real numbers JR.
We need the following basic fact.
Lemma 6.1.1. Let I be a countably infinite set and let Ai ~ 0 for all i E I.
Then, for any two enumerations of I
~ 1 , ~ 2 , ~ 3 , ••• ,
we have
00 00
LAin = LAin'
n=l n=l
Proof. Given any N E N we can find M ~ Nand N' ~ M such that
Then
N M N'
""" A· < """ A· < """ A·
L.-J 't n - L.-J In - L.-J 't
n
n=l n=l n=l
and the result follows on letting N ~ 00. D
Since the value of the sum does not depend on the enumeration we are
justified in using a notation which does not specify an enumeration and
write simply
More generally, if we allow Ai to take negative values, then we can set
where
6.1 Countable sets and countable sums 219
allowing that the sum over I is undefined when the sums over I+ and I-
are both infinite. There is no difficulty in showing for Ai, jji 2 0 that
I)Ai + Pi) = LAi + LPi.
iEI iEI iEI
By induction, for any finite set J and for Aij 2 0, we have
L (LAi
j
) = L (LAij).
iEI jEJ jEJ iEI
The following two results on sums are simple versions of fundamental
results for integrals. We take the opportunity to prove these simple versions
in order to convey some intuition relevant to the general case.
Lemma 6.1.2 (Fubini's theorem - discrete case). Let I and J be
countable sets and let Aij 2 0 for all i E I and j E J. Then
L (LAi
j
) = L (LAij).
iEI jEJ jEJ iEI
Proof. Let jl,j2,j3, ... be an enumeration of J. Then
as n ~ 00. Hence
and the result follows by symmetry. D
Lemma 6.1.3 (Monotone convergence - discrete case). Suppose for
each i E I we are given an increasing sequence ( A i ( n ) ) n ~ O with limit Ai, .
and that Ai ( n) 2 0 for all i and n. Then
LAi(n) i LAi as n-t 00.
iEI iEI
220 6. Appendix: probability and measure
Proof. Set 8
i
(1) = Ai(l) and for n ~ 2 set
Then 8
i
(n) ~ 0 for all i and n, so as n ~ 00, by Fubini's theorem
~ A i ( n ) = ~ (t,8
i
(k))
= t. ( ~ 8 i ( k ) ) i t. ( ~ 8 i ( k ) )
= L(f
8i
(k)) = LAi
o
iEI k=l iEI
6.2 Basic facts of measure theory
D
We state here for easy reference the basic definitions and results of measure
theory. Let E be a set. A a-algebra £ on E is a set of subsets of E satisfying
(i) 0 E £;
(ii) A E £ =* AC E £;
(iii) (An E £,n E N) =* Un An E £.
Here AC denotes the complement E\A of A in E. Thus £ is closed under
countable set operations. The pair (E, £) is called a measurable space. A
measure J-l on (E, £) is a function J-l : £ ~ [0,00] which has the following
countable additivity property:
The triple (E, £, J-l) is called a measure space. If there exist sets En E £,
n E N with Un En = E and J-l(E
n
) < 00 for all n, then we say J-l is a-finite.
Example 6.2.1
Let I be a countable set and denote by I the set of all subsets of I. Recall
that A = (Ai: i E I) is a measure in the sense of Section 1.1 if Ai E [0,00)
for all i. For such A we obtain a measure on the measurable space (I,I) by
setting
In fact, we obtain in this way all a-finite measures J-l on (I,I).
6.2 Basic facts of measure theory 221
Example 6.2.2
Let A be any set of subsets of E. The set of all subsets of E is a a-
algebra containing A. The intersection of any collection of a-algebras is
again a a-algebra. The collection of a-algebras containing A is therefore
non-empty and its intersection is a a-algebra a(A), which is called the
a-algebra generated by A.
Example 6.2.3
In the preceding example take E = JR and
A = {(a,b): a,b E JR,a < b}.
The a-algebra B generated by A is called the Borel a-algebra of JR. It can
be shown that there is a unique measure J.-t on (JR, B) such that
J.-t(a, b) = b - a for all a, b.
This measure J.-t is called Lebesgue measure.
Let (E
1
, £1) and (E
2
, £2) be measurable spaces. A function f : E
1
~ E
2
is measurable if f-1(A) E £1 whenever A E £2. When the range E
2
= JR we
take £2 = B by default. When the range E
2
is a countable set I we take £2
to be the set of all subsets I by default.
Let (E, £) be a measllrable space. We denote by m£ the set of measurable
functions f : E ~ JR. Then m£ is a vector space. We denote by m£+ the
set of measurable functions f : E ~ [0, 00], where we take on [0, 00] the
a-algebra generated by the open intervals (a, b). Then m£+ is a cone
(f, 9 E m£+ ,0:, (3 ~ 0) ~ o:f +{3g E m£+.
Also, m£+ is closed under countable suprema:
(fi E m£+,i E I) ~ SUpfi E m£+.
i
It follows that, for a sequence of functions f n E m£+, both limsUPn f nand
liminf
n
fn are in m£+, and so is limn fn when this exists. It can be shown
that there is a unique map ji : m£+ ~ [0,00] such that
(i) ji(lA) = J.-t(A) for all A E £;
(ii) ji(o:f +(3g) = o:ji(f) +(3ji(f) for all f,g E m£+, 0:, {3 ~ 0;
(iii) (fn E m£+, n E N) ~ ji(En fn) = En ji(fn).
222 6. Appendix: probability and measure
For f E mE, set f± = (±f) V 0, then f+,f- E m£+, f = f+ - f- and
IfI = f+ + f-· If jt(lfl) < 00 then f is said to be integrable and we set
We call ji(f) the integral of f. It is conventional to drop the tilde and
denote the integral by one of the following alternative notations:
p(J) = r fdp = r f(x)p(dx).
lE lXEE
In the case of Lebesgue measure jj, one usually writes simply
r f(x)dx.
lXEJR
6.3 Probability spaces and expectation
The basic apparatus for modelling randomness is a probability space
(0, F, P). This is simply a measure space with total mass P(O) = 1. Thus
F is a a-algebra of subsets of 0 and P : F ~ [0,1] satisfies
(i) P(O) = 1;
(ii) P(AI n A
2
) = P(A
I
) +P(A
2
) for AI, A
2
disjoint;
(iii) P(A
n
) i P(A) whenever An i A.
In (iii) we write An i A to mean Al ~ An ~ ... with Un An = A. A
measurable function X defined on (0, F) is called a random variable. We
use random variables Y : 0 ~ lR to model random quantities, where for a
Borel set B ~ lR the probability that Y E B is given by
P(Y E B) = P({w: Y(w) E B}).
Similarly, given a countable state-space I, a random variable X : 0 ~ I
models a random state, with distribution
Ai = P(X = i) = p({w : X(w) = i}).
To every non-negative or integrable real-valued random variable Y is asso-
ciated an average value or expectation E(Y), which is the integral of Y with
respect to P. Thus we have
(i) E(IA) = P(A) for A E F;
(ii) E(oX +(3Y) = oE(X) +(3E(Y) for X, Y E mF+, o,{3 ~ 0;
6.4 Monotone convergence and Fubini's theorem 223
(iii) (Y
n
E mF+, n E N, Y
n
i Y) :::} IE(Y
n
) i IE(Y).
When X is a random variable with values in I and f : I [0,00] the
expectation of Y = f(X) = foX is given explicitly by
E(J(X)) = LAdi
iEI
where A is the distribution of X. For a real-valued random variable Y the
probabilities are sometimes given by a measurable density function p in
terms of Lebesgue measure:
P(Y E B) = Lp(y)dy.
Then for any measurable function f : lR [0,00] there is an explicit formula
E(J(Y)) = Lf(y)p(y)dy.
6.4 Monotone convergence and Fubini's theorem
Here are the two theorems from measure theory that come into play in
the main text. First we shall state the theorems, then we shall discuss
some places where they are used. Proofs may be found, for example, in
Probability with Martingales by D. Williams (Cambridge University Press,
1991).
Theorem 6.4.1 (Monotone convergence). Let (E, £, J-t) be a measure
space and let be a sequence of non-negative measurable functions.
Then, as n 00
(fn(x) i f(x) for all x E E) :::} J-t(fn) i J-t(f)·
Theorem 6.4.2 (Fubini's theorem). Let (E
1
, £1, J-l1) and (E
2
, £2, J-l2) be
two a-finite measure spaces. Suppose that f : E
1
x E
2
[0, 00] satisfies
(i) x f(x, y) : E
1
[0,00] is £1 measurable for all Y E E
2
;
(ii) Y IXEE
1
f(x, y)J-t1(dx) : E
2
[0,00] is £2 measurable.
Then
(a) y f(x, y) : E
2
[0,00] is £2 measurable for all x E E
1
;
(b) x f
yE
E
2
f(x, Y)J-l2(dy) : E
1
[0,00] is £1 measurable;
(c) r (1 (r
JxEE
l
yEE2 ') yEE2 JxEE
l
')
224 6. Appendix: probability and measure
The measurability conditions in the above theorems rarely need much
consideration. They are powerful results and very easy to use. There is
an equivalent formulation of monotone convergence in terms of sums: for
non-negative measurable functions 9n we have
To see this just take .fn = 91 +... +9n. This form of monotone convergence
has already appeared in Section 6.2 as a defining property of the integral.
This is also a special case of Fubini's theorem, provided that (E, £, J-t) is
a-finite: just take E
2
= {I, 2, 3, ... } and J-t2( {n}) = 1 for all n.
We used monotone convergence in Theorem 1.10.1 to see that for a non-
negative random variable Y we have
IE(Y) = lim IE(Y /\ N).
N--+oo
We used monotone convergence in Theorem 2.3.2 to see that for random
variables Sn ~ 0 we have
E(LSn) = LE(Sn)
n n
and
E(ex
p
{- LSn}) = E ( J ~ = ex
p
{- L Sn})
n n ~ N
=J ~ = E(ex
p
{ - L Sn}).
n ~ N
In the last application convergence is not monotone increasing but mono-
tone decreasing. But if 0 ~ X
n
~ Y and X
n
! X then Y - X
n
i Y - X.
So IE(Y - X
n
) i IE(Y - X) and if IE(Y) < 00 we can deduce IE(X
n
) ! IE(X).
Fubini's theorem is used in Theorem 3.4.2 to see that
Thus we have taken (E
1
, £1, J-t1) to be [0,00) with Lebesgue measure and
(E
2
, £2, J-t2) to be the probability space with the measure Pi.
6.5 Stopping times and the strong Markov property
The strong Markov property for continuous-time Markov chains cannot
properly be understood without measure theory. The problem lies with the
6.5 Stopping times and the strong Markov property 225
notion of 'depending only on', which in measure theory is made precise as
measurability with respect to some a-algebra. Without measure theory the
statement that a set A depends only on (X
s
: s t) does not have a precise
meaning. Of course, if the dependence is reasonably explicit we can exhibit
it, but then, in general, in what terms would you require the dependence
to be exhibited? So in this section we shall give a precise measure-theoretic
account of the strong Markov property.
Let be a right-continuous process with values in a countable set
I. Denote by F
t
the a-algebra generated by {X
s
: s t}, that is to say,
by all sets {X
s
= i} for s t and i E I. We say that a random variable T
with values in [0,00] is a stopping time of if {T t} E F
t
for all
t O. Note that this certainly implies
{T<t}=U{T::;t-l/n}EF
t
forall
n
We define for stopping times T
F
T
= {A E F : A n {T t} E F
t
for all t O}.
This turns out to be the correct way to make precise the notion of sets
which 'depend only on {X
t
: t T}'.
Lemma 6.5.1. Let Sand T be stopping times of Then both X
T
and {S T} are FT-measurable.
Proof. Since is right-continuous, on {T < t} there exists an n 0
such that for all m n, for some k 1, (k - 1)2-
m
T < k2-
m
t and
X
k2
-rn = X
T
. Hence
so X
T
is FT-measurable.
We have
U

so {S > T} E Fr, and so {S T} E Fr· D
226 6. Appendix: probability and measure
Lemma 6.5.2. For all m 0, the jump time J
m
is a stopping time of

Proof. Obviously, Jo = 0 is a stopping time. Assume inductively that J
m
is a stopping time. Then
{J
m
+! t} = U {J
m
s} n {X
s
=1= X
J71
J E F
t

for all t 0, so J
m
+
1
is a stopping time and the induction proceeds. D
We denote by Qm the a-algebra generated by yo,··· ,Y
m
and 8
1
, ... ,8
m
,
that is, by events of the form {Y
k
= i} for k m and i E I or of the form
{8k > s} for k m and s > o.
Lemma 6.5.3. Let T be a stopping time of and let A EFT.
Then for all m 0 there exist a random variable Tm and a set Am, both
measurable with respect to Qm, such that T = T
m
and lA = lA
Tn
on
{T < J
m
+
1
}.
Proof. Fix t 0 and consider
Since Qm is a a-algebra, so is At. For s t we have
{X
s
= i} n {t < J
m
+1}
= (D\Yk =i,Jk s < Jk+l}U{Ym =i,Jm s}) n{t< Jm+d
k=O
so {X
s
= i} E At. Since these sets generate F
t
, this implies that At = Ft·
For T a stopping time and A E FT we have B(t) := {T :s; t} E F
t
and
A(t) := An {T t} E F
t
for all t O. So we can find Bm(t), Am(t) E Qm
such that
B(t) n {T < J
m
+
1
} = Bm(t) n {T < J
m
+1},
A(t) n {T < J
m
+
1
} = Am(t) n {T < J
m
+
1
}.
Set
Am = UAm(t)
tEQ
then T
m
and Am are Qm-measurable and
Tml{T<J
Tn
+l} = suptlB
Tn
(t)n{T<J
Tn
+l}
tEQ
= (sup l{T<J
Tn
+l} = Tl{T<J
Tn
+l}
tEQ
6.5 Stopping times and the strong Markov property 227
and
Am n {T < Jm+d = UAm(t) n {T < Jm+d
tEQ
= U(A n {T t}) n {T < Jm+d = An {T < Jm+d
tEQ
as required. D
Theorem 6.5.4 (Strong Markov property). Let be
Markov(A, Q) and let T be a stopping time of Then, conditional
on T < ( and X
T
= i, is Markov(8
i
, Q) and independent of FT.
Proof On {T < (} set X
t
= X
T
+
t
and denote by the jump chain
and by the holding times of We have to show that, for all
A EFT, all io, ... ,in E I and all S1, ... ,Sn 0
IF({Yo = io, ... , Y
n
= in, 8
1
> S1, ... ,8
n
> sn} nAn {T < (} n{X
T
= i})
= lFi(Y
O
= io, ... , Y
n
= in, 8
1
> S1, ... ,8
n
> sn)
X IF(A n {T < (} n {X
T
= i}).
It suffices to prove this with {T < (} replaced by {J
m
T < J
m
+
1
}
for all m 0 and then sum over m. By Lemmas 6.5.1 and 6.5.2,
{J
m
T} n {X
T
= i} E FT so we may assume without loss of generality
that A {J
m
T} n {X
T
= i}. By Lemma 6.5.3 we can write T = T
m
and 1A = 1A
Tn
on {T < J
m
+
1
}, where T
m
and Am are Qm-measurable.
. 8
1
: 82
:c: .:c: .:
o
8m +1 :
i
T
On {J
m
T < J
m
+
1
} we have, as shown in the diagram
228 6. Appendix: probability and measure
Now, conditional on Y
m
= i, 8
m
+
1
is independent of gm and hence of
T
m
- J
m
and Am and, by the memoryless property of the exponential
Hence, by the Markov property of the jump chain
P({Yo = io, ,Y
n
= in,
8
1
> 81, ,8
n
> 8
n
} nAn {J
m
~ T < J
m
+
1
} n {X
T
= i})
= p({Y
m
= io,· .. , Y
m
+
n
= in, 8
m
+
1
> 81 +(T
m
- J
m
),
8
m
+
2
> 82, ,8
m
+
n
> 8 n} n Am n {8m+
1
> T
m
- J
m
})
= Pi(Y
o
= io, ,Y
n
= in,
8
1
> 81, ,8
n
> 8
n
)P(A n {J
m
~ T < J
m
+
1
} n {X
T
= i})
as required. D
6.6 Uniqueness of probabilities and independence of a-algebras
For both discrete-time and continuous-time Markov chains we have given
definitions which specify the probabilities of certain events determined by
the process. From these specified probabilities we have often deduced ex-
plicitly the values of other probabilities, for example hitting probabilities.
In this section we shall show, in measure-theoretic terms, that our defini-
tions determine the probabilities of all events depending on the process.
The constructive approach we have taken should make this seem obvious,
but it is illuminating to see what has to be done.
Let 0 be a set. A 7r-system A on 0 is a collection of subsets of 0 which
is closed under finite intersections; thus
We denote as usual by a(A) the a-algebra generated by A. If a(A) = :F
we say that A generates :F.
Theorem 6.6.1. Let (O,:F) be a measurable space. Let PI and P
2
be
probability measures on (0, F) which agree on a 7r-system A generating :F.
Then PI = P
2
·
Proof. Consider
6.6 Uniqueness of probabilities and independence of a-algebras 229
We have assumed that A ~ V. Moreover, since PI and P
2
are probability
measures, V has the following properties:
(i) 0 E V;
(ii) (A, B E V and A ~ B) :::} B\A E V;
(iii) (An E V, An i A) :::} A E V.
Any collection of subsets having these properties is called a d-system. Since
A generates F, the result now follows from the following lemma. D
Lemma 6.6.2 (Dynkin's 1r-system lemma). Let A be a 1r-system and
let V be a d-system. Suppose A ~ V. Then a(A) ~ V.
Proof. Any intersection of d-systems is again a d-system, so we may without
loss assume that V is the smallest d-system containing A. You may easily
check that any d-system which is also a 1r-system is necessarily a a-algebra,
so it suffices to show V is a 1r-system. This we do in two stages.
Consider first
VI = {A E V : A n B E V for all B E A}.
Since A is a 1r-system, A ~ VI. You may easily check that VI is ad-system
- because V is a d-system. Since V is the smallest d-system containing A,
this shows VI = V.
Next consider
V
2
= {A E V : A n B E V for all B E V}.
Since VI = V, A ~ V
2
. You can easily check that V
2
is also ad-system.
Hence also V
2
= V. But this shows V is a 1r-system. D
The notion of independence used in advanced probability is the indepen-
dence of a-algebras. Suppose that (0, F, P) is a probability space and F
1
and F
2
are sub-a-algebras of F. We say that Fl and F
2
are independent if
The usual means of establishing such independence is the following corollary
of Theorem 6.6.1.
Theorem 6.6.3. Let Al be a 1r-system generating F
1
and let A2 be a
1r-system generating F2. Suppose that
Then Fl and F
2
are independent.
230 6. Appendix: probability and measure
Proof. There are two steps. First fix A
2
E A
2
with P(A
2
) > 0 and consider
the probability measure
We have assumed that P(A) = P(A) for all A E AI, so, by Theorem 6.6.1,
jp> = P on :Fl. Next fix Al E :F1 with P(A
1
) > 0 and consider the probability
measure
We showed in first step that P(A) = P(A) for all A E A2, so, by
Theorem 6.6.1, P = P on :F
2
. Hence:F1 and :F
2
are independent. D
We now review some points in the main text where Theorems 6.6.1 and
6.6.3 are relevant.
In Theorem 1.1.1 we showed that our definition of a discrete-time Markov
chain with initial distribution ,\ and transition matrix P deter-
mines the probabilities of all events of the form
But subsequently we made explicit calculations for probabilities of events
which were not of this form - such as the event that visits a set
of states A. We note now that the events {X
o
= io, ... ,X
n
= in} form a
1r-system which generates the a-algebra a(X
n
: n 0). Hence, by Theorem
6.6.1, our definition determines (in principle) the probabilities of all events
in this a-algebra.
In our general discussion of continuous-time random processes in Section
2.2 we claimed that for a right-continuous process the probabilities
of events of the form
for all n 0 determined the probabilities of all events depending on
Now events of the form {X
to
= io, ... ,X
tn
= in} form a 1r-system which
generates the a-algebra a(X
t
: t 0). So Theorem 6.6.1 justifies (a precise
version) of this claim. The point about right-continuity is that without
such an assumption an event such as
{X
t
= i for some t > O}
which might reasonably be considered to depend on is not nec-
essarily measurable with respect to a(X
t
: t 0). An argument given in
6.6 Uniqueness of probabilities and independence of a-algebras 231
Section 2.2 shows that this event is measurable in the right-continuous case.
We conclude that, without some assumption like right-continuity, general
continuous-time processes are unreasonable.
Consider now the method of describing a minimal right-continuous pro-
cess via its jump process and holding times Let
us take F = a(X
t
: t 0). Then Lemmas 6.5.1 and 6.5.2 show that
and are F-measurable. Thus 9 F where
9 =
On the other hand, for all i E I
{X
t
= i} = U{I
n
t < In+d n {Y
n
= i} E g,

so also F C g.
A useful1r-system generating 9 is given by sets of the form
B = {Yo = i
o
, .. · ,Y
n
= i
n
,S1 > S1,·.· ,Sn > sn}.
Our jump chain/holding time definition of the continuous-time chain
with initial distribution .x and generator matrix Q may be read
as stating that, for such events
l1J)(B) - \ . I'fr.. I'fr. • e-qio81 e-qin-18n
C - A'tO"'tO'tl ••• "'tn-l't
n
••• •
Then, by Theorem 6.6.1, this definition determines JP> on 9 and hence on F.
Finally, we consider the strong Markov property, Theorem 6.5.4. Assume
that is Markov(.x, Q) and that T is a stopping time of On
the set n= {T < (} define X
t
= X
T
+
t
and let j = a(X
t
: t 0); write
and for the jump chain and holding times of and
set
9=
Thus F and 9are a-algebras on n, and coincide by the same argument as
for F = g. Set
B= {Yo = i
o
, ... ,Y
n
= i
n
,S1 > S1, .. · ,Sn > sn}.
Then the conclusion of the strong Markov property states that
JP>(B I T < (, X
T
= i) = lPi(B)
with B as above, and that
JP>(C n A IT < (,XT = i) = JP>(C IT < (,X
t
= i)JP>(A IT < (,XT = i)
for all C E F and A E FT. By 6.6.3 it suffices to prove the
independence assertion for the case C = B, which is what we did in the
proof of Theorem 6.5.4.
Further reading
We gather here the references for further reading which have appeared in
the text. This may provide a number of starting points for your exploration
of the vast literature on Markov processes and their applications.
J. Besag, P. Green, D. Higdon and K. Mengersen, Bayesian computation
and stochastic systems, Statistical Science 10 (1) (1995), 3-40.
K.L. Chung, Markov Chains with Stationary Transition Probabilities,
Springer, Berlin, 2nd edition, 1967.
P.G. Doyle and J.L. Snell, Random Walks and Electrical Networks, Carus
Mathematical Monographs 22, Mathematical Association of America,
1984.
W.J. Ewens, Mathematical Population Genetics, Springer, Berlin, 1979.
D. Freedman, Markov Chains, Holden-Day, San Francisco, 1971.
W.R. Gilks, S. Richardson and D.J. Spiegelhalter, Markov Chain Monte
Carlo in Practice, Chapman and Hall, London, 1996.
T.E. Harris, The Theory of Branching Processes, Dover, New York, 1989.
F.P. Kelly, Reversibility and Stochastic Networks, Wiley, Chichester, 1978.
D. Revuz, Markov Chains, North-Holland, Amsterdam, 1984.
B.D. Ripley, Stochastic Simulation, Wiley, Chichester, 1987.
L.C.G. Rogers and D. Williams, Diffusions, Markov Processes and Martin-
gales, Vol 1: Foundations, Wiley, Chichester, 2nd edition, 1994.
S.M. Ross, Applied Probability Models with Optimization Applications,
Holden-Day, San Francisco, 1970.
Further reading 233
D.W. Stroock, Probability Theory - An Analytic View, Cambridge Univer-
sity Press, 1993.
H.C. Tijms, Stochastic Models - an Algorithmic Approach, Wiley, Chich-
ester, 1994.
D. Williams, Probability with Martingales, Cambridge University Press,
1991.
Index
absorbing state 11, 111
absorption probability 12, 112
action 198
adapted 129
alleles 175
aperiodicity 40
average number of customers 181
backward equation 62, 96
Bayesian statistics 211
biological models 6, 9, 16, 82, 170
birth process 81
infinitesimal definition 85
jump chain/holding time definition
85
transition probability definition 85
birth-and-death chain 16
boundary 138
boundary theory for Markov chains
147
branching process 171
with immigration 179
Brownian motion 159
as limit of random walks 164
existence 161
in jRd 165
scaling invariance 165
starting from x 165
transition density 166
busy period 181
capacity 151
central limit theorem 160
charge 151
closed class 11, 111
closed migration process 184
communicating class 11, 111
conditional expectation 129
conductivity 151
continuous-time Markov chains 87
construction 89
infinitesimal definition 94
jump chain/holding time definition
94, 97
transition probability definition
94, 97
continuous-time random process 67
convergence to equilibrium 41, 121,
168
countable set 217
coupling method 41
current 151
Index
detailed balance 48, 124
discounted value function 202
distribution 1
lE, expectation 222
E(:A), exponential distribution of
parameter :A 70
e
Q
, exponential of Q 62
effective conductivity 156
electrical network 151
energy 154·
epidemic model 173
equilibrium distribution 33, 117
ergodic theorem 53, 126, 168
Erlang's formula 183
excursions 24
expectation 222
expected hitting time 12, 113
expected return time 37, 118
explosion
for birth processes 83
for continuous-time chains 90
explosion time 69
explosive Q-matrix 91
exponential distribution 70
F
n
, filtration 129
fair price 135
filtration 129
finite-dimensional distributions 67
first passage decomposition 28
first passage time 19, 115
flow 151
forward equation 62, 100
for birth processes 84
for Poisson process 78
Fubini's theorem 223
discrete case 219
full conditional distributions 212
fundamental solution 145
1'1, expected time in i between visits
to j 35
Galton-Watson process 171
gambling 131
Gaussian distribution 160
generator 166
generator matrix 94, 97
235
Gibbs sampler 210
gravity 134, 169
Green matrix 144, 145
harmonic function 146
Hastings algorithm 210
hitting probability 12
hitting time 12, 111
holding times 69
I, state-space 2
infective 173
integrable 129, 222
integral form of the backward
equation 98
integral form of the forward equation
101
inter-arrival times 180
invariant distribution 33, 117
computation of 40
irreducibility 11, 111
Ising model 214
jump chain 69
jump matrix 87
jump times 69
last exit time 20
long-run proportion of time 53, 126
mi, expected return time 37, 118
J.t{, expected time in i between visits
to j 118
Markov(:A, P) 2
Markov(:A, Q) 94,97
Markov chain
continuous-time 88
discrete-time 2
Markov chain Monte Carlo 206, 208
Markov decision process 197
expected total cost 198
expected total discounted cost 202
long-run average costs 204
Markov property 3
for birth processes 84
for continuous-time chains 93
for Poisson process 75
martingale 129, 141, 176, 204
236
associated to a Markov chain 132
associated to Brownian motion
169
matrix exponentials 105
maximum likelihood estimate 56
measure 1
memoryless property 70
Metropolis algorithm 210
minimal non-negative solution 13
minimal process 69
monotone convergence 223
discrete case 219
Moran model 177
mutation 6, 176
non-minimal chains 103
null recurrence 37, 118
o(t),O(t), order notation 63
Ohm's law 151
open migration process 185
optional stopping theorem 130
IP, probability 222
P, transition matrix 2
[>, transition matrix of reversed
chain 47
P(t), transition semigroup 96
P(t), semigroup of reversed chain
124
p ~ j ) , n-step transition probability 5
II, jump matrix 87
1r-system 228
Poisson process 74
infinitesimal definition 76
jump chain/holding time definition
76
transition probability definition 76
policy 198
policy improvement 201
population genetics 175
population growth 171
positive recurrence 37, 118
potential 138
associated to a Markov chain 138
associated to Brownian motion
169
Index
gravitational 134
in electrical networks 151
with discounted costs 142
potential theory 134
probability generating function 171
probability measure 222
probability space 222
Q-matrix 60
Q, generator matrix of reversed chain
124
qi, rate of leaving i 61
qij, rate of going from i to j 61
queue 179
MIGll 187
M/G/oo 191
MIMll 180
M/M/s 182
queueing network 183-185
queues in series 183
random chessboard knight 50
random walk
on tl
d
29
on a graph 49
recurrence 24, 114, 167
recurrence relations 57
reflected random walks 195
reservoir model 194, 195
resolvent 146
resource management 192
restocking a warehouse 192
return probability 25
reversibility 48, 125
right-continuous process 67
ruin
gambler 15
insurance company 196
selective advantage 176
semigroup 96
semigroup property 62
service times 180
shopping centre 185
simple birth process 82
simulation 206
skeleton 122
state-space 1
stationary distribution 33, 117
stationary increments 76
stationary.policy 198
statistics 55, 211, 215
stochastic matrix 2
stopping time 19
strong law of large numbers 52
strong Markov property 19, 93, 227
success-run chain 38
susceptible 173
telephone exchange 183
texture parameter 216
time reversal 47, 123
transience 24, 114, 167
transition matrix 2
irreducible 11
Index 237
maximum likelihood estimate 56
transition semigroup 165
truncated Poisson distribution 183
unit mass 3
Vi(n), number of visits to i before n
53
valency 50
value function 198
weak convergence 164
Wiener process 159
Wiener's theorem 161
Wright-Fisher model 175
(, explosion time 69

Markov Chains

J. R. Norris University of Cambridge

~u~~u CAMBRIDGE
::: UNIVERSITY PRESS

PUBLISHED BY THE PRESS SYNDICATE OF THE UNIVERSITY OF CAMBRIDGE

The Pitt Building, Trumpington Street, Cambridge CB2 lRP, United Kingdom
CAMBRIDGE UNIVERSITY PRESS

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© Cambridge University Press 1997

This book is in copyright. Subject to statutory exception and to the provisions of relevant collective licensing agreements, no reproduction of any part may take place without the written permission of Cambridge University Press. First published 1997 Reprinted 1998 First paperback edition 1998 Printed in the United States of America TYPeset in Computer Modem
A catalogue record for this book is available from the British Library Library of Congress Cataloguing-in-Publication Data is available

ISBN 0-521-48181-3 hardback ISBN 0-521-63396-6 paperback

For my parents

Contents

Preface Introduction 1. Discrete-time- Markov chains 1.1 Definition and basic properties 1.2 Class structure 1.3 Hitting times and absorption probabilities 1.4 Strong Markov property 1.5 Recurrence and transience 1.6 Recurrence and transience of random walks 1.7 Invariant distributions 1.8 Convergence to equilibrium 1.9 Time reversal 1.10 Ergodic theorem 1.11 Appendix: recurrence relations 1.12 Appendix: asymptotics for n! 2. Continuous-time Markov chains I 2.1 Q-matrices and their exponentials 2.2 Continuous-time random processes 2.3 Some properties of the exponential distribution

ix xiii 1
1

10 12 19 24
29

33
40 47

52
57 58 60 60

67
70

5 Stopping times and the strong Markov property 6.1 Countable sets and countable sums 6.6 Uniqueness of probabilities and independence of a-algebras Further reading Index .10 Appendix: matrix exponentials 73 81 87 90 93 103 105 108 108 111 112 114 117 121 123 125 128 128 134 151 159 170 170 179 192 197 206 217 217 220 222 223 224 228 232 234 3.4 Recurrence and transience 3.9 Non-minimal chains 2.2 Queues and queueing networks 5. Applications 5.3 Probability spaces and expectation 6.7 Time reversal 3.5 Birth processes 2. Further theory 4. Continuous-time Markov chains II 3.5 Markov chain Monte Carlo 6.2 Class structure 3.3 Electrical networks 4.6 Jump chain and holding times 2.3 Markov chains in resource management 5.5 Invariant distributions 3.4 Poisson processes 2.2 Basic facts of measure theory 6.1 Basic properties 3.viii Contents 2.8 Ergodic theorem 4.6 Convergence to equilibrium 3.8 Forward and backward equations 2.1 Martingales 4.2 Potential theory 4.4 Brownian motion 5.4 Markov decision processes 5. Appendix: probability and measure 6.1 Markov chains in biology 5.4 Monotone convergence and Fubini's theorem 6.7 Explosion 2.3 Hitting times and absorption probabilities 3.

measure theory is not a prerequisite. The material is quite straightforward and the ideas introduced permeate the whole book. At the same time. The first half of the book is based on lecture notes for the undergraduate course. the class of Markov chains is rich enough to serve in many applications. There are no strict prerequisites but it is envisaged that the reader will have taken a course in elementary probability. The basic pattern of Chapter 1 is repeated in Chapter 3 for continuous-time chains. with applications. Careful proofs are given throughout.Preface Markov chains are the simplest mathematical models for random phenomena evolving in time. This book is an account of the elementary theory of Markov chains. and is the basis of all that follows. It was conceived as a text for advanced undergraduates or master's level students. and which has been tested over several years. In particular. which forms the basis of classwork done by the students. Chapter 1 deals with the theory of discrete-time Markov chains. This makes Markov chains the first and most important examples of random processes. In between. Their simple structure makes it possible to say a great deal about their behaviour. Indeed. making it easy to follow the development byanalogy. the whole of the mathematical study of random processes can be regarded as a generalization in one way or another of the theory of Markov chains. and is developed from a course taught to undergraduates for several years. You must begin here. There is a selection of exercises. Illustrative examples introduce many of the key ideas. Chapter 2 explains how to set up the theory of continuous- .

exploiting to the full the probabilistic viewpoint. for example to population growth. the book is more focused on the Markovian context than most other books dealing with the elementary theory of stochastic processes. Overall. to study the properties of continuous-time chains before the technically more demanding construction. potentials. or very easily made rigorous. Also treated are recurrence and transience. mathematical genetics. All the results are proved. hitting probabilities. reversibility.I inherited parts of it from Martin Barlow and Chris Rogers. The course on which it is based has evolved over many years and under many hands . It is a pleasure to acknowledge the work of colleagues from which I have benefitted in preparing this book. such as martingales. No conditions of uniformly bounded rates are needed. In some sections the style is a little more demanding. queues and networks of queues. and convergence to equilibrium is proved by the coupling method. We have left measure theory in the background. Chapter 6 is an appendix to the main text. Chapter 5 is devoted to applications. Geoffrey Grim- . but the proofs are intended to be rigorous. Markov decision processes and Monte Carlo simulation. The following paragraph is directed primarily at an instructor and assumes some familiarity with the subject. and establish analogues of all the main results obtained for discrete time. where we explain some of the basic notions of probability and measure used in the rest of the book and give careful proofs of the few points where measure theory is really needed. some of the ideas crucial to the advanced study of Markov processes. For example. and the ergodic theorem for long-run averages. In Chapters 2 and 3 we proceed via the jump chain/holding time construction to treat all right-continuous. I believe that this restriction in scope is desirable for the greater coherence and depth it allows. The second half of the book comprises three independent chapters intended to complement the first half. The student has the option to take Chapter 3 first. In recent years it has been given by Doug Kennedy and Colin Sparrow. Some further details are given in Chapter 6. The treatment of discrete-time chains in Chapter 1 includes the calculation of transition probabilities. electrical networks and Brownian motion. Chapter 4 introduces. minimal continuous-time chains. convergence to equilibrium. when considered in measure-theoretic terms. Richard Gibbens. in the context of elementary Markov chains. we use excursions and the strong Markov property to obtain conditions for recurrence and transience. expected hitting times and invariant distributions. beginning with simple examples such as the Poisson process and chains with finite state space.x Preface time chains.

Brian Ripley and David Williams made constructive suggestions for improvement of an early version. Violet Lo and David Rose pointed out many typos . and to Sarah Shea-Simonds who typeset the whole book with efficiency. precision and good humour. Frank Kelly and Gareth Roberts gave expert advice at various stages. Meena Lakshmanan.and ambiguities. 1996 James Norris . I am especially grateful to David Thanah at Cambridge University Press for his suggestion to write the book and for his continuing support.Preface xi mett. Cambridge.

1. What makes them important is that not only do Markov chains model many phenomena of interest. m. . In this book we shall present general techniques for the analysis of Markov chains. but also the lack of memory property makes it possible to predict how a Markov chain may behave. We shall be concerned exclusively with the case where the process can assume only a finite or countable set of states. We shall consider chains both in discrete time n E Z+ and continuous time = {O. (0). Such a process is called a Markov process. . together with many examples and applications. Examples of Markov chains abound. 2. when it is usual to refer it as a Markov chain. The characteristic property of this sort of process is that it retains no memory of where it has been in the past. } t E jR+ = [0... and to compute probabilities and expected values which quantify that behaviour. Thus we write (Xn)n~O for a discrete-time process and (Xt)t~O for a continuous-time process. whereas t and s will refer to real numbers. This means that only the current state of the process can influence where it goes next. In this introduction we shall discuss a few very simple examples and preview some of the questions which the general theory will answer. as you will see throughout the book. The letters n. k will always denote integers.Introduction This book is about a certain sort of random process.

of which we now give some simple examples: (i) (Discrete time) 1 3 3 1 2 You move from state 1 to state 2 with probability 1.~-... We might have drawn a loop from 2 to itself with label 2/3. But since the total probability on jumping from 2 must equal 1. this does not convey any more information and we prefer to leave the loops out. and from 2 you jump to 3 with probability 1/3. otherwise stay at 2.XIV Introduction Markov chains are often best described by diagrams. then jump to 1. E(A) for short.. 00 ). The resulting process is called the Poisson process of rate A. From state 3 you move either to 1 or to 2 with equal probability 1/2. (ii) (Continuous time) o••---~.. Thus the density function of the waiting time T is given by for t We write T rv A ~ o. (iii) (Continuous time) o • • A 1 • A 2 3 4 Here.. . 1 When in state 0 you wait for a random time with exponential distribution of parameter A E (0. and so on.. when you get to 1 you do not stop but after another independent exponential time of parameter A jump to 2.

but {I. the long-run proportion of time spent in 2 is 3/8. . The closed classes here are recurrent. (b) Starting from 1. (c) Starting from 1. We shall show how to establish the following facts by solving some simple linear/ equations. 3} is not. The rules for states 1 and 2 are as given in examples (ii) and (iii). 5. 3} and {4. Two of these classes are closed. the probability of hitting 6 is 1/4. 6}. meaning that you return again and again to every state. (v) (Discrete time) 3 6 2 5 o We use this example to anticipate some of the ideas discussed in detail in Chapter 1. namely {O}. It is a simple matter to show that the time spent in 3 is exponential of parameter 2 + 4 = 6. You might like to try from first principles. {I. meaning that you cannot escape. it takes on average three steps to hit 3. if T 1 is the smaller you go to 1 after time T 1 . The details are given later. 5. The class {O} is transient. (a) Starting from 0. 2. and that the probability of jumping from 3 to 1 is 2/(2 + 4) = 1/3.Introduction 1 xv 3 4 2 (iv) (Continuous time) In state 3 you take two independent exponential times T1 rv E(2) and T2 rv E (4). 6} is periodic. The class {4. The states may be partitioned into communicating classes. the probability of hitting 3 is 1. 2. and if T2 is the smaller you go to 2 after time T 2 . (d) Starting from 1.

n---+oo . (g) lim pg4 = 1/124. (f) P04 does not converge as n ~ 00. Then we have: (e) lim POI n---+oo = 9/32.xvi Introduction Let us write pij for the probability starting from i of being in state j after n steps.

If in addition the total mass EiEI Ai equals 1.3. For better orientation we now list the key theorems: these are Theorems 1. and Theorem 1.5.3.1 Discrete-time Markov chains This chapter is the foundation for all that follows. . Theorem 1. Suppose we set Ai = IF(X = i) = IF( {w : X(w) = i}). Theorem 1. Once you understand these you will understand the basic theory. Discrete-time Markov chains are defined and their behaviour is investigated.2 on the strong Markov property.8. 1.3 on reversibility.1 Definition and basic properties Let I be a countable set. Theorem 1. F. We say that A = (Ai: i E I) is a measure on I if 0 ~ Ai < 00 for all i E I. Exercises at the end of each section are an important part of the exposition. Part of that understanding will come from familiarity with examples.2 and 1.4. Each i E I is called a state and I is called the state-space.3 on convergence to equilibrium. We work'throughout with a probability space (0. then we call A a distribution.3 characterizing recurrence and transience.5 on hitting times. Theorem 1. Theorem 1.7 on invariant distributions and positive recurrence.9.10. lP). so a large number are worked out in the text. Recall that a random variable X with values in I is a function X : 0 --+ I.7.2 on longrun averages.

. . P) if and only if for all io.in+l E I. . ..2 1.1 . . conditional on X n == i..1.. Here are two examples: P- (I-a (3 1 ~ /3) 1 p= ( ~ 1/2 1 1/2 0 1/2 1~2 ) 3 1 2 2 We shall now formalize the rules for a Markov chain by a definition in terms of the corresponding matrix P. X n + 1 has distribution (Pij : j E I) and is independent of X o..iN E I (Xn)O<n<N is . these conditions state that. . following result appears to give a more comprehensive description. Theorem 1.N . and it is the key to some later calculations. We think of X as modelling a random state which takes the value i with probability Ai... j E I) is stochastic if every row (Pij : j E I) is a distribution.. for n 2: 0 and io.·· .Xn == in) == Pi n i n +1 • We say that (Xn)n~O is Markov (A. (ii) for n ~ 0. P) for short. (ii) P(Xn + 1 == i n + 1 I X o == io. Discrete-time Markov chains Then A defines a distribution. (i) P (X 0 == io) == Aio. P). There is a one-to-one correspondence between stochastic matrices P and the sort of diagrams described in the Introduction. We say that (Xn)n~O is a Markov chain wit'h initial distribution A and transition matrix P if (i) X o has distribution A.1. . . We say that a matrix P == (Pij : i. then we again say (Xn)O~n~N is Markov (A. It is in terms of properties (i) and (ii) that most real-world examples are seen to be Markov chains. More explicitly.Xn .1. But mathematically the. If (Xn)O~n~N is a finite sequence of random variables satisfying (i) and (ii) for n == 0. There is a brief review of some basic facts about countable sets and probability spaces in Chapter 6... the distribution of X. A discrete-time random process Markov(A.

1 and. for n 0.. P). by induction for all n = 0.Xm .. P) and is independent of the random variables X o. .1) holds for N ..1.Xn = in. .1. Let (Xn)n~O be Markov(A..··· . .. .1. Theorem 1.Xn = in) = P(Xo = i o. X n+1 = in+I)/P(XO = i o. . then by summing both sides over iN E I and using EjEI Pij = 1 we see that (1... Proof.Xm+n = im+n } n A I X m = i) Xo~. .1. P(Xn+ 1 = i n+ 1 I X o = io.1.2) then the result follows by Theorem 1.. where 8ij ={ ° I ifi=j otherwise. .1. .Xn = in) So (Xn)O~n~N is Markov(A. if (1. In particular.· ... . . ·Pirn+n-lirn+nlP(A I Xm = i) (1. lP(XN = iN I X o = io.1. .N .. (Xm+n)n~O is Markov(8 i . . .XN = iN) = P(Xo = iO)P(XI = il I X o = io) .N. ...XI = i l .. .· . then P(Xo = iO. P).. D The next result reinforces the idea that Markov chains have no memory. We write 8i = (8 ij : j E I) for the unit mass at i. First consider the case of elementaryevents A = {X o = i o.1) holds for N. .Xm = 8iirnPirnirn+l . Suppose (Xn)O~n~N is Markov(A. We have to show that for any event A determined by we have lP({Xm = im. Then. .XN.Xm = i m }.. P). . conditional on X m = i.I = iN-I) On the other hand.1 Definition and basic properties 3 Proof.....2 (Markov property). . P(Xo = io) = Aio and. .

. Theorem 1. We regard distributions and measures A as row vectors whose components are indexed by I. For these objects. Let (Xn)n~O ° be Markov(A.· . Then we shall look at some examples where this may be done explicitly.4 1. (Xn)n~O is Markov(8i .. So the behaviour of (Xn)n~O under lPi does not depend on A. (ii) lP\(Xn = j) = JP(Xn + m = j I X m = i) = p~j) · . P). . (p2)ik = LPijPjk. any event A determined by X o. . matrix multiplication is a familiar operation. . We extend matrix multiplication to the general case in the obvious way. By the Markov property at time m = 0. j) entry in pn. then A will be an N-vector and P an N x N-matrix. The context will make it clear when I refers to the state-space and when to the identity matrix.N.1.1.Xm+n = i m+n and i = im)/P(Xm = i) = biirnPi rn irn+l X Pirn+n-l i rn + n lP(Xo = io.3. defining a new measure AP and a new matrix p 2 by (AP)j = L iEI AiPij. where (I)ij = 8ij . .2. for all n. We write p~j) = (pn)ij for the (i. P).. m ~ 0. Then. When I is finite we will often label the states 1. . In general. Discrete-time Markov chains In that case we have to show P(Xo = i o. (i) P(Xn = j) = (Apn)j..1. k=l 00 Then the desired identity (1. under lPi..2) for A follows by summing up the corresponding identities for A k . D The remainder of this section addresses the following problem: what is the probability that after n steps our Markov chain is in a given state~ First we shall see how the problem reduces to calculating entries in the nth power of the transition matrix. In the case where Ai > we shall write Pi(A) for the conditional probability P(A I X o = i). just as P is a matrix whose entries are indexed by I x I. We agree that pO is the identity matrix I.Xm may be written as a countable disjoint union of elementary events A= U Ak.Xm = i m and i = im)/lP(Xm = i) which is true by Theorem 1. jEI We define pn similarly for any n..

(3) PII + {3 . The following examples give some methods for calculating p~j)..4 The most general two-state chain has transition matrix of the form p = ( I-a {3 and is represented by the following diagram: {3 We exploit the relation p n+ I = pn P to write PII (n+I) _ - PI2 (n){3 + PII (1 _ a ) .I = in-I. so we just take A = 8i in (i). D = i..11): (n) PII = {_(3_ + a + {3 1 _a_(l_ a a + {3 (3)n for a for a + {3 > 0 + {3 = O. conditional on X m (8i .Xn.1. (n) This has a unique solution (see Section 1. . Example 1.··· . (Xm+n)n~O is Markov In light of this theorem we call p~j) the n-step transition probability from i to j.1 Definition and basic properties Proof.1 5 P(Xn = j) = = ioEI L ·. so by eliminating pi~) we get a recurrence relation for pi~): PII (n+I) - (1 . P). (n) We also know that pi~) + pi~) = IP\ (Xn = 1 or 2) = 1.1. L P(Xo = i o. (i) By Theorem 1.a .1.. L L . X n = j) AioPioil" · Pin-Ii = (Apnk in-lEI ioEI in-lEI (ii) By the Markov property.

Thus we have a two-state chain with diagram a/(N . this sort of lumping together of states may not produce a Markov chain.-!. in this example there is a much simpler approach.6 Consider the three-state chain with diagram 1 3 2 1 2 .6 1.a. Example 1.1) and by putting (3 = a/(N . Discrete-time Markov chains Example 1. which relies on exploiting the symmetry present in the mutation rules.1) in Example 1.4 we find that the desired probability is -!.) (1. and a transition from another state to the initial state with probability a/(N .~)n N N N-1· Beware that in examples having less symmetry. + (1.1). What is the probability that the strain in the nth generation is the same as that in the Oth? We could model this process as an N-state chain. with N x N transition matrix P given by Pii = 1 . In fact. which is chosen at random.1. or with probability a mutates to another strain.5 (Virus mutation) Suppose a virus can exist in N different strains and in each generation either stays the same. Pij = a / (N - 1) for i =I j.1. Then the answer we want would be found by computing pi~).1. At any time a transition is made from the initial state to another with probability a.

(3 and ~: 1= pi~) = Q p(2) 11 - o = pii) O- + (3 = + ~l' Q r\J L. so we get equations to solve for Q. i/2. The first few values of pi~) are easy to write down.2 ( . (3 aDd~. for some invertible matrix U we have -i/2 and hence ~ ) U- 1 p n = U 1 (00 (i/~t o ~) U(-i/2)n 2 1 which forces pi~) to have the form claimed.)n + c (")n ~ ~ for some constants a. band c.1 Definition and basic properties and transition matrix 7 p= (~ ~ I)· = ~(x . P is diagonalizable. -i/2 and from this we deduce that pi~) has the form Pu (n) =a+b 2 . First we compute the eigenvalues of P by writing down its characteristic equation o = det (x - P) = x(x - ~)2 .1)(4x 2 The problem is to find a general formula for pi~). (The justification comes from linear algebra: having distinct eigenvalues. - 1(3 4 . The eigenvalues are 1.1.) The answer we want is real and (±~)n = (~)ne±in~/2= (~)n (cosn 7r ±isin n 7r ) 2 so it makes sense to rewrite pi~) in the form for constants Q.~ + 1).(. that is.

1 Let B I . . as in the example. .) for any M-state chain and any states i and j.. Show that if A is another event and P(AIBn ) = P for all n then P(A) = p.1. • •• be disjoint events with U~l B n = O. P).3 Let X o be a random variable with values in a countable set I. be a sequence of independent random variables. 1.1. Let YI . (i) Compute the eigenvalues AI. the following method may in principle be used to find a formula for p~. 1].) has the form Pij (n) _ - alAI \n \n + . Deduce that if X and Yare discrete random variables then the following are equivalent: (a) X and Yare independent. Can all Markov chains be realized in this way? How would you simulate a Markov chain using a computer? . Exercises 1. Y2 .. show that (Yn)n~O is Markov (A. .2 Suppose that (Xn)n~O is Markov (A. uniformly distributed on [0.. Discrete-time Markov chains = 1/5.AM of P by solving the characteristic equation. If an eigenvalue A is repeated (once. . (b) the conditional distribution of X given Y = y is independent of y. + aMAM for some constants al. (iii) As roots of a polynomial with real coefficients. B 2 . . 1] and define inductively --+ I Show that (Xn)n~O is a Markov chain and express its transition matrix P in terms of G.. . 1. (3 = 4/5. Suppose we are given a function G : I x [0. p k )..8 SO Q: 1.. .1. say) then the general form includes the term (an+b)A n .aM (depending on i and j). (ii) If the eigenvalues are distinct then p~. If Y n = Xkn. complex eigenvalues will come in conjugate pairs and these are best written using sine and cosine. ~ = -2/5 and More generally.

1 = k) is not independent of k. Set So = 0. By considering the relationship between the two dice find the value of p for the new die.. 1. It is in state 1 before the first trial. Find the probability that after n hops the flea is back where it started.1 Definition and basic properties 9 Suppose now that Zo. If the first score fS 6. all other scores having equal probability. + Sn).] 1. are independent..6 An octopus is trained to choose object A from a pair of objects A. What is the probablity that it is in state 1 just before the (n+l)th trial? What is the probability Pn+1 (A) that it chooses A on the (n + 1)th trial ? . After each tr·ial it may change its state of mind according to the transition matrix State 1 State 2 State 3 ~ ~ 0 5 12 ~ 0 l2 0 1.1. all other scores having probability 1/5. in state 3 it remembers and chooses A and never forgets.4 A flea hops about at random on the vertices of a triangle. In the cases where (Xn)n~O is a Markov chain find its state-space and transition matrix.1. What is the probability that after n hops this second flea is back where it started? [Recall that e±i7r/6 = V3/2 ± i/2. Z1. The octopus may be in one of three states of mind: in state 1 it cannot remember which object is rewarded and is equally likely to choose either. in state 2 it remembers and chooses A but may forget again. (b) X n = Sn. 1.. X n. + Zn. A second flea also hops about on the vertices of a triangle.1. what is the probability p that the nth score is 6? What is the probability that the nth score is I? Suppose now that a new die is produced which cannot score one greater (mod 6) than the preceding score. + Sn. B by being given repeated trials in which it is shown both and is rewarded with food if it chooses A. (c) X n = So + ... (d)X n = (Sn. . identically distributed random variables such that Zi = 1 with probability p and Zi = 0 with probability 1 . but this flea is twice as likely to jump clockwise as anticlockwise.5 A die is 'fixed' so that each time it is rolled the score cannot be the same as the preceding score. with all jumps equally likely. Sn = Z1 + . In each of the following cases determine whether (Xn)n~O is a Markov chain: (a) X n = Zn...1. and in the cases where it is not a Markov chain give an example where P(Xn+1 = ilXn = j.p. . So + .

in-l Pii 1 P i li2 . We say that i leads to j and write i ~ j if ~ Pi(Xn = j for some n We say i communicates with j and write i 0) > o. This is done by identifying the communicating classes of the chain. .in with io = i and in = j. Also p~j) = L il . each of which is relatively easy to understand. Discuss. Proof. . (c) p = 1/12.1.P 0 ) 1/3 0 .10 1. It is sometimes possible to break a Markov chain into smaller pieces. Theorem 1.. ~ ~ j if both i j and j ~ i. P i oi l P i li2 . L p~j) n=O 00 which proves the equivalence of (i) and (iii). Calculate P(Xn = 11Xo = 1) in each of the following cases: (a) p (b) p = 1/6. Pin-li n > 0 for some states io. and which together give an understanding of the whole.7 Let (Xn)n~O be a Markov chain on {1.. Discrete-time Markov chains Someone suggests that the record of successive choices (a sequence of As and Bs) might arise from a two-state Markov chain with constant transition probabilities. lPi(Xn =j for some n ~ 0) ::. 0 . For distinct states i and j the following are equivalent: (i) i (ii) ~ j. 1.1. 1. (iii) p~j) > 0 for some n ~ O.2.il....3} with transition matrix 1 2/3 1. with reference to the value of Pn+ 1 (A) that you have found. Observe that p~j) ::.2.2 Class structure = 1/16.. ·Pin-d so that (ii) and (iii) are equivalent.. . whether this is possible..

2. The smaller pieces referred to above are these communicating classes. So ~ satisfies the conditions for an equivalence relation on I. A chain or transition matrix P where I is a single class is called irreducible.6} being closed.3}.2. Example 1.1 Identify the communicating classes of the following transition matrix: 2 0 0 0 2 1 1 0 2 0 :4 0 1 1 P= 0 0 1 :4 0 1 0 2 0 :4 0 1 1 2 0 0 :4 1 2 1 1 Which classes are closed? .1. and thus partitions I into communicating classes. We say that a class C is closed if i E C. As the following example makes clear.3 Hitting times and absorption probabilities 11 It is clear from (ii) that i ~ j and j ~ k imply i ~ k.6}.2. when one can draw the diagram.2 Find the communicating classes associated to the stochastic matrix 2 0 1 P= 3 1 0 0 0 2 0 0 0 0 0 1 0 1 0 0 0 0 0 0 3 1 1 0 0 3 1 1 2 0 0 2 0 1 0 0 0 0 1 0 The solution is obvious from the diagram 1 4 2 6 the classes being {1. the class structure of a chain is very easy to find. A state i is absorbing if {i} is a closed class. Also i ~ i for any state i. Thus a closed class is one from which there is no escape. i ~ j imply j E C. {4} and {5. Exercises 1. with only {5.

1. The mean time taken for (Xn)n~O to reach A is given by kt = lEi(H A ) = 2: nJP>(H n<oo A = n) + ooJP>(H A = (0).. 1. hf is called the absorption probability.2. The hitting time of a subset A of I is the random variable H A : n ~ {O.1 Consider the chain with the following diagram: 1 1 1 • 1 2 E 2 • • 2 41( 2 1 3 • 2 ~ 4 • Starting from 2. We shall often write less formally Remarkably.12 1. } U {oo} given by HA(w) = inf{n ~ 0 : Xn(w) E A} where we agree that the infimum of the empty set 0 is starting from i that (Xn)n~O ever hits A is then 00. Before we give the general theory. these quantities can be calculated explicitly by means of certain linear equations associated with the transition matrix P.2 Show that every transition matrix on a finite state-space has at least one closed communicating class.3.3 Hitting times and absorption probabilities Let (Xn)n>O be a Markov chain with transition matrix P. Example 1. . what is the probability of absorption in 4? How long does it take until the chain is absorbed in 1 or 4? Introduce . Find an example of a transition matrix with no closed communicating class..2. The probability When A is a closed class. here is a simple example. Discrete-time Markov chains 1.

So The 1 appears in the second formula because we count the time for the first step.3 Hitting times and absorption probabilities 13 Clearly. First we show that h A satisfies (1. A.3).) i E I) is another solution with 0 Proof. So. the probability of hitting 4 is 1/3 and the mean time to absorption is 2. (1. Similarly. k2 = 1 + ~k3 = 1 + ~(1 + ~k2). starting from 2. h4 = 1 and k l = k4 = o. then Xi ~ hi for all i. then H A so hf = 1. hI = 0. so by the Markov property = 0. Note that in writing down the first equations for h2 and k2 we made implicit use of the Markov property. Hence h2 = ~ h 3 = ~ ( ~ h 2 + ~).2. then H A ~ 1. Suppose now that we start at 2. The vector of hitting probabilities h A = (hf : i E I) is the minimal non-negative solution to the system of linear equations hf = 1 { hf = EjEI Pij h (Xi: for i E A 1 for i fj. and hf = lP\(H A < 00) = LJPi(H A < oo.3) Xi ~ (Minimality means that if x = for all i.1. Here is a general result for hitting probabilities. With probability 1/2 we jump to 1 and with probability 1/2 we jump to 3. Theorem 1. jEI jEI A .3. and consider the situation after making one step. If X o = i E A. If X o = i fj.XI = j) jEI = LJPi(H < 00 I Xl = j)JPi(XI = j) = LPijhf. A. in assuming that the chain begins afresh from its new position after the first jump.

then Xi Substitute for Xi Xj = Xi = 1 = '2:PijXj jEI = '2:Pij jEA + '2:PijXj. L PiiIPjli2 · · · Pjn-lin Xjn' Now if X is non-negative. X 2 X E A) + '2: '2: PijPjkXk· j~A k~A By repeated substitution for Xi = JP>i(XI E A) in the final term we obtain after n steps fj.1 (continued) The system of linear equations (1.3..Xn I + . j~A to obtain = LPij jEA + LPij(LPjk + j~A LPjkXk) k~A kEA = JPli(X1 E A) + JPli(X1 ¢ A. Suppose i ¢ A. Then hf for i E A. A. but the minimality condition now makes us take hI = 0.3). h2 = ~hl + ~h3.3) for h = h{4} are given here by = 1.3).. . + JP>i(XI jn~A fj..14 1. . so we recover h 2 = 1/3 as before. D Example 1. Of course... and the remaining terms sum to JP>i(H A ~ n).. So Xi ~ JP>i(H A ~ n) for all n and then Xi ~ lim JP>i(H A ~ n) n--+-oo = JP>i(H A < 00) = hi. X n E A) + L jl~A . the extra boundary condition hI = 0 was obvious from the beginning . so is the last term on the right. h4 so that h3 = ~h2 + ~h4 and The value of hI is not determined by the system (1. A. Discrete-time Markov chains Suppose now that X = (Xi: i E I) is any solution to (1.

1 . then h is the minimal non-negative solution to h o = 1. The transition probabilities are Poo = 1.) If P < q. If p =I q this recurrence relation has a general solution hi = A +B (~) i .. so the minimal nonq the recurrence relation . Pi. If p > q. if p has a general solution hi = A+ Bi ~ = 0.... then since h o = 1 we get a family of solutions for a non-negative solution we must have A negative solution is hi = (q / p) i.3 Hitting times and absorption probabilities 15 so we built it into our system of equations and did not have to worry about minimal non-negative solutions. so there is no upper limit to your fortune. But what is the probability that you leave broke? Set hi = IPi(hit 0)..2. (See Section 1. ..i+l = P Imagine that you enter a casino with a fortune of £i and gamble.. for i = 1. which is the case in most successful casinos. for i = 1. Finally. . then the restriction 0 ~ hi ~ 1 forces B = 0.3. The resources of the casino are regarded as infinite.q < 1. q 1( p o • I( 1 i i +1 •• where 0 < P = 1 .3 (Gamblers' ruin) Consider the Markov chain with diagram q p • .i-l = q. as we shall see in the next examples.11..1. Example 1. hi = ph i+1 + qhi . q I( p . so hi = 1 for all i. Then..2. £1 at a time. In cases where the state-space is infinite it may not be possible to write down a corresponding extra boundary condition. Pi. with probability P of doubling your stake and probability q of losing it. the minimality condition is essential.

. This recurrence relation has variable coefficients so the usual technique fails.t(-. In the case L::o ~i = 00.qi < 1. ...-••. Example 1.. so where the final equality defines UI ~i. Thus..~ ql PI qi Pi ---. the restriction 0 ~ hi ~ 1 forces A = 0 and hi = 1 for all i.. At this point A remains to be determined. But consider Ui = h i .t(~--- 1 i ..16 1. then PiUi+1 = qiUi..2. ... for i = 1. for i = 1. We write down the usual system of equations ho = 1.. hi = Pihi+1 + qihi-I... But if L::o ~i < 00 then we can take A > 0 so long as l-A(~o+ .. so hi = 1 for all i. we have 0 < Pi = 1 . (I---... 0 is an absorbing state and we wish to calculate the absorption probability starting from i.. Pi being the probability that we get a birth before a death in a population of size i.4 (Birth-and-death chain) Consider the Markov chain with diagram o ...• t i+l qi+1 Pi+1 where.. ..2. .. recorded each time it changes...I .. As in the preceding example. Then = h o . -. Such a chain may serve as a model for the size of a population..hi..hi + . + Ui so where A = UI and ~o = 1....... you are certain to end up broke. This apparent paradox is called gamblers' ruin... But here we allow Pi and qi to depend on i. .3. Then hi = IPi(hit 0) is the extinction probability starting from i.. +~i-I)~O for all i. Discrete-time Markov chains and again the restriction 0 ~ hi ~ 1 forces B = 0.---. even if you find a fair casino..

. then H A ~ 1. The vector of mean hitting times k A = (k A : i E I) is the minimal non-negative solution to the system of linear equations kf { kf = 0 = 1 for i E A + Ej~A pijkf for i f/: A. Then for i E A. First we show that k A satisfies (1.3. . by the Markov property. so.4). . then HA so kf = o. and kt = Ei(H A ) = = LEi(H JEI A L JEI E i(H A 1X1 =j) I Xl = j)JP\(XI = j) = 1 + LPijkf· j~A Suppose now that Y = (Yi : i E I) is any solution to (1. Theorem 1. Recall that kf = Ei(H A ). = 0. Here is the general result on mean hitting times.. for i = 1.2. If X o = i f/: A.. We use the notation 1B for the indicator function of B. where H A is the first time (Xn)n~O hits A. If X o = i E A. we have hi < 1.4). so the population survives with positive probability.5.4) Proof.. 'Pjn-dnYjn' . + lP'i(H A ~ n) + L jl~A .. 1x1 ==j is the random variable equal to 1 if Xl = j and equal to 0 otherwise.. for example.. so. (1. If i f/: A.3 Hitting times and absorption probabilities 17 Thus the minimal non-negative solution occurs when A = then (E:o Ii) -1 and In this case. L jn~A PiilPilh .1. then Yi kf = Yi = 0 = 1 + LPijYj j~A = 1 + LPij j~A (l + LPjkYk) k~A = lP'i(H A ~ 1) + lP'i(H A ~ 2) + L L PijPjkYk· j~A k~A By repeated substitution for Y in the final term we obtain after n steps Yi = lP'i(H A ~ 1) + .

3. otherwise he loses his stake. to £10.1 Prove the claims (a). Pro~e that the What is the expected number of tosses until the gambler either achieves his aim or loses his capital? 1. (b) and (c) made in example (v) of the Introduction. Yi 2: Wi(H A 2: 1) and. if a player bets on the right side. 1. + . Let X o == 2 and let X n be his capital after n throws.18 1.2 A gambler has £2 and needs to increase it to £10 in a hurry. he wins a sum equal to his stake. + Wi(H A = 2: n) Yi 2': Exercises L IP\(H n==l A 2': n) JEi(H A ) = Xi- D 1. Discrete-time Markov chains So.. if y is non-negative. and his stake is returned..3 A simple game of 'snakes and ladders' is played on a board of nine squares. gambler will achieve his aim with probability 1/5.3.3. and otllerwise stakes just enough to increase his capital. The gambler decides to use a bold strategy in which he stakes all his money if he has £5 or less. . letting n ----* 00. if he wins. He can play a game with the following rules: a fair coin is tossed.

after all. What can one say about the process after time H? What if we replaced H by a more general random time.4 Strong Markov property In Section 1. Pi.4 Let (Xn)n~O be a Markov chain on {O. Intuitively. i ~ 1.. 1.4.Xn E A}. conditional on X m = i. How many turns on average does it take to complete the game? What is the probability that a player who has reached the middle square will complete the game without slipping back to square I? 1. . . you know at the time when T occurs..I? In this section we shall identify a class of random times at which a version of the Markov property does hold.. .Xn l ~ A. we simply waited for the process to hit state i..i-l = 1.3.. you know when to stop.2. ..1 we proved the Markov property. for example H . } U {(X)} is called a stopping time if the event {T = n} depends only on X o . but if you land at the head of a snake you slide down to the tail.Xn for n = 0. instead of conditioning on X m = i. A random variable T : n ~ {O. at some random time H.. This says that for each time m..i+l = i + ( -i- 1) 2 Pi.1.1 (a) The first passage time Tj = inf{n ~ 1 : Xn = j} is a stopping time because (b) The first hitting time H A of Section 1.2. If you land at the foot of a ladder you climb to the top. the process after time H . . } with transition probabilities given by POI = 1. Pi. If asked to stop at T. 1.4 Strong Markov property 19 At each turn a player tosses a fair coin and advances one or two places according to whether the coin lands heads or tails... Examples 1. Xl. .3 is a stopping time because {H A = n} = {X o ~ A.1.i+l + Pi. . This class will include H but not H -. Show that if X o = 0 then the probability that X n ~ 1 for all n ~ 1 is 6/1T 2 • 1.1 jumps straight to i.1. by watching the process. Suppose.i-l. . the process after time m begins afresh from i.. so it does not simply begin afresh.

.Xn = jn)JP>(B I T < 00. Xl..Xm . . 1.. Xl.~ 1 i +1 . . Discrete-time Markov chains (c) The last exit time LA = sup{n ~ 0 : X n E A} is not in general a stopping time because the event {LA whether (Xn+m)m~l visits A or not. Xl. X T = i) to obtain JP>( {XT = jo. so.. .4. .. == n} depends on We sllall show that the Markov property holds at stopping times. Now sum over m == 0. Let (Xn)n~O be Markov(A. then B n {T == m} is determined by X o. X T = i) = JP>i(XO = jo. if T is a stopping time and B ~ n is determined by X o.20 1. .. Example 1.Xn = jn)JP>(B n {T = m} n {XT = i}) where we have used the condition T = m to replace m by T. XT+I = il. (XT+n)n~O is Markov(8 i .XT+n = in} n B n {T = m} n {XT = i}) = JP>i(XO = io. D The following example uses the strong Markov property to get more information on the hitting times of the chain considered in Example 1.4.·. and divide by lP(T < 00..XT .2 (Strong Markov property).XT+n = jn} n BIT < 00.XT .. for all m = 0. Xl = jl...XT. . . . Xl. X T = i). Theorem 1. Proof.XI .Xm . . If B is an event determined by X o. . . . 2..3 Consider the Markov chain (Xn)n~O with diagram q p • ~ q I( • p ~ q i p o • I( I(. P) and independent of XO... by the Markov property at time m lP( {XT = io.. The crucial point is that.3.3.. . 2. then B n {T = m} is determined by X o. X T+I = jl. conditional on T < 00 and X T = i. Then. . 1. P) and let T be a stopping time of (Xn)n~O.X I = jl.

Set H j = inf{n ~ 0 : X n = j} and.. So E 2(SHO) = E 2(sHl I HI < 00)E 2(sHO I HI < 00)JP>2(Hl < 00) = E2(sHI1Hl<OO)E2(sHO I HI < 00) = E 2(sHl)2 = ¢(s)2. slPl(Ho = 1) + s2lP l (Ho = 2) + s3lP l (Ho = 3) + . 2 3 . Then. we have H o = 1 + H o. for 0 ~ s < 1 </>(s) = lEI (sHo) = 2: snIP (Ho = n). conditional on HI < 00.3 the probability of hitting 0 starting from 1.3. To recover the distribution of H o we expand the square-root as a power series: </>(s) = 2~S { 1 - (1 + !( -4pqs 2) + !(-lH _4pqs 2)2 /2! + . the time taken after time 1 to get to 0.. where H o.q < 1. Thus ¢ = ¢( s) satisfies and pS¢2 . Since ¢(O) ~ 1 and ¢ is continuous we are forced to take the negative root at s = 0 and stick with it for all 0 ~ s < 1.1.5) ¢ = (1 ± VI . Here we obtain the complete distribution of the time to hit 0 starting from 1 in terms of its probability generating function.. where iio. has the same distribution as H o does under lP 2 . by the Markov property at time 1.. conditional on Xl = 2. Apply the strong Markov property at !II to see that under lP 2. the time taken after HI to get to 0. So ¢(s) = El(sHo) = pEl (sHo I Xl = = pEl (sl+Ho I Xl = psE 2(sHo ) + qEl(sHo I Xl = 0) = 2) + qEl(s I Xl = 0) 2) + qs = ps¢(s)2 + qs.4 Strong Markov property 21 where 0 < p = 1 . ) } = qs +pq s = + ..¢ + qs =0 (1. we have H o = HI + H o.4pqs2)/2ps. 1 n<oo Suppose we start at 2. is independent of HI and has the (unconditioned) distribution of HI.. We know from Example 1..

so VI .4pq = VI . for m.1rl (Ii < 00 ) _ 1- VI - 4pq _ { 1 if p ~ q 2p q/p if p > q.1 for a connection with branching processes..1. is a stopping time. .2p) = l/(q . . T m + 1 = inf{n > Tm : X n E J}.. .rn +l 't 't .4p + 4p2 = 11 We can also find the mean hitting time using 2pl = 12q .··· . See Example 5. rn . that P(Ym +1 = i m +1 I Yo = i o. where the mean hitting time has a chance of being finite. .22 1.5) to obtain 2ps¢¢' so + p¢2 - ¢' + q = 0 ¢'(s) = (p¢(S)2 + q)/(l - 2ps¢(s)) ~ 1/(1 . The resulting process (Ym)m~O may be obtained formally by setting Ym = X Trn . the time of the mth visit to strong Markov property applies to show.) It is only worth considering the case p ~ q. So the i o. Let us assume that lP(Tm < 00) = 1 for all easily that T m. are readily checked from first principles.P 1(Ho = 2). In the first instance suppose that J is some subset of the state-space I and that we observe the chain only when it takes values in J.4. Example 1.im+l E J. Ym = i m ) = P(XTrn + 1 = i m + 1 I X To = i o. where To = inf{n ~ 0 : X n E J} and. 1. 2. so . (Remember that q = 1- p.··· . On letting s lI]) i 1 we have ¢(s) ~ P1(Ho < 0 00). For each m we can check J. Differentiate (1. for m = 0. Discrete-time Markov chains The first few probabilities P1(Ho = 1).p) as s i 1..11..4 We now consider an application of the strong Markov property to a Markov chain (Xn)n~O observed only at certain times...XTrn = i m) = Pi rn (XT 1 = i m +1 ) = p-.

for i. Define H o = inf{n ~ 0 : X n = O}. Let us assume there are no absorbing states.6) h{ = Pij + LPik h 1· k~J Thus (Ym)m~O is a Markov chain on J with transition matrix P.4.Xsrn = im ) = lPirn (XS1 = i m +1 ) = Pirnirn+l where Pii = 0 and.1 Let Y1 .2 the claim made at (1. A second example of a similar type arises if we observe the original chain (Xn)n~O only when it moves. .1. Find the probability generating function ¢(s) = E(sHO).··· . X n = X o + Y1 + .6). + Yn for n ~ 1. ••• be independent identically distributed random variables with lP(Y1 = 1) = lP(Y1 = -1) = 1/2 and set X o = 1.Zm = i m) = lP(XSrn + 1 = im+l I XS o = io. The resulting process (Zm)m~O is given by Zm = XS rn where 8 0 = 0 and for m = 0. = 2) = 1/2.. the vector (h{ : i E I) is the minimal non-negative solution to (1.. for j E J. .. . k=j:i Thus (Zm)m~O is a Markov chain on I with transition matrix Exercises P. for i =I j Pij = Pij/ LPik. j E J Pii - = hi i and where.1. Suppose the distribution of Y1 . 1.2¢ + s = 0 . "Y2. Y2 . 1. Again the random times 8 m for m ~ 0 are stopping times and.. . ..2 Deduce carefully from Theorem 1.3. Show that ¢ now satisfies s¢3 . by the strong Markov property lP(Zm+l = im+l I Zo = io.4 Strong Markov property 23 where.2..4.. is changed to lP(Y1 lP(Y1 = -1) = 1/2..

1. We IIOW define inductively the rth passage time Ti(r) to and. Discrete-time Markov chains 1. Recall that the first passage time to state i is the random variable T i defined by Ti(W) = inf{n ~ 1 : Xn(w) = i} where inf 0 = state i by 00.2. .24 1.(O) ~ n .. Thus a recurrent state is one to which you keep coming back and a transient state is one which you eventually leave for ever.5 Recurrence and transience Let (Xn)n~O be a Markov chain with transition matrix P. . The length of the rth excursion to i is then S~r) ~ = { T(r) _ T(r-I) 0 i i 1 ·f T(r-I) < i otherwise. We say that i is transient if IPi(Xn =i for infinitely many n) = O. for r = 0.. We say that a state i is recurrent if lPi(Xn =i for infinitely many n) = 1. We shall show that every state is either recurrent or transient. 00 The following diagram illustrates these definitions: Xn i T.

Lemma 1.1. we have Pi (Vi > r) = fi. n==O n==O Also. so by induction the result is true for all r.. .XT . D . we can compute the distribution of Vi under Pi in terms of the return probability Lemma 1.1... D sir) is the first passage time of (XT+n)n~O to state i. P) and independent of X o. (XT+n)n~O is Markov(8i .3. For r = 2. Xl. It is automatic that X T = i on T < 00.. .1. conditional on T < 00. When r the result is true. . then Pi ( Vi > r + 1) = Pi ( T i(r+I) < 00 00 ) 00) = Pi(Ti(r) < = Pi (Sfr+I) = fif. Observe that if X o = i then {Vi > r} = {Ti(r) < oo}. Recall that the indicator function l{xl==j} is the random variable equal to 1 if Xl = j and 0 otherwise. . and si r+ I) < < 00 I Ti(r) < oo)Pi(Ti(r) < 00) = f[+1 by Lemma 1. But sir) so = inf{n ~ 1 : X T +n = i}. sir) is inde- Proof.2. Suppose inductively that it is true for r.1. For r = 0.. =0 Proof. So. which may be written in terms of indicator functions as Vi and note that 00 = L n==O 00 l{x n =i} lEi(Vi) = lEi L n==O l{X n =i} =L n==O 00 00 00 lEi(l{Xn =i}) = LlPi(Xn = i) = LP~7). .2. .5.. Let us introduce the number of visits Vi to i.5. Apply the strong Markov property at the stopping time T = Ti(r-I). conditional on Ti(r-I) < pendent of {Xm : m ~ Ti(r-I)} and 00.5 Recurrence and transience 25 Our analysis of recurrence and transience will rest on finding the joint distribution of these excursion lengths.5.

26

1. Discrete-time Markov chains

Recall that one can compute the expectation of a non-negative integervalued random variable as follows:
00 00 00

LP(V > r)
r=O

=

L

L

P(V

=

v)
00

r=Ov=r+1 00 v-I

=

L LP(V
v=lr=O

-="'

v) = L vP(V = v) = E(V).
v=1

The next theorem is the means by which we establish recurrence or transience for a given state. Note that it provides two criteria for this, one in terms of the return probability, ttle other in terms of the n-step transition probabilities. Both are useful.

Theorem 1.5.3. The following dichotomy holds:

(i) ifIPi(Ti < 00) = 1, then i is recurrent and E~op~~) = 00; (ii) ifIPi(Ti < 00) < 1, then i is transient and E~op~~) < 00. In particular, every state is either transient or recurrent.
Proof. If IPi(Ti < 00) = 1, then, by Lemma 1.5.2, IPi(Vi
so i is recurrent and

= 00) = r--+-oo IPi(Vi > r) = 1 lim
00

LP~~) = Ei(Vi)
n=O

=

00.

On the other hand, if Ii = IPi(Ti < 00) < 1, then by Lemma 1.5.2

n=O

fp~~) = Ei(Vi) = fpi(Vi > r) = fl[
r=O r=O

=

1

~

. < f'l,

00

so IPi (Vi

= 00) = 0 and i

is transient.

D

From this theorem we can go on to solve completely the problem of recurrence or transience for Markov chains with finite state-space. Some cases of infinite state-space are dealt with in the following chapter. First we show that recurrence and transience are class properties.

Theorem 1.5.4. Let C be a communicating class. Then either all states in C are transient or all are recurrent.

Proof. Take any pair of states i, j E C and suppose that i is transient. There exist n, m ~ 0 with p~j) > 0 and PJ":) > 0, and, for all r ~ 0 Pii
(n+r+m)

- Pij Pjj Pji

>

(n)

(r) (m)

1.5 Recurrence and transience
so

27

~
r==O

(r) LJPjj -

<

1
Pij Pji

(n) (m) LJPii
r==O

~

(n+r+m)

<

00

by Theorem 1.5.3. Hence j is also transient by Theorem 1.5.3.

D

In the light of this theorem it is natural to speak of a recurrent or transient class. Theorem 1.5.5. Every recurrent class is closed.
Proof. Let C be a class which is not closed. Then there exist i E C, j fj. C and m ~ 1 with

Since we have lPi ( {Xm = j} n {X n = i for infinitely many n}) = 0 this implies that

lPi(Xn = i for infinitely many n) < 1
so i is not recurrent, and so neither is C. D

Theorem 1.5.6. Every finite closed class is recurrent.
Proof. Suppose C is closed and finite and that for some i E C we have
(Xn)n~O

starts in C. Then

o < P(Xn = i
= lP(Xn

for infinitely many n) for some n)Pi(Xn

=i

=i

for infinitely many n)

by the strong Markov property. This shows that i is not transient, so C is recurrent by Theorems 1.5.3 and 1.5.4. D It is easy to spot closed classes, so the transience or recurrence of finite classes is easy to determine. For example, the only recurrent class in Example 1.2.2 is {5, 6}, the others being transient. On the other hand, infinite closed classes may be transient: see Examples 1.3.3 and 1.6.3. We shall need the following result in Section 1.8. Remember that irreducibility means that the chain can get from any state to any other, with positive probability.

28

1. Discrete-time Markov chains Then for all

j E I we have lP(Tj

Theorem 1.5.7. Suppose P is irreducible and recurrent. < 00) = 1.

Proof. By the Markov property we have

lP(Tj < (0) = LlP(Xo = i)lPi(Tj < (0)
iEI

so it suffices to show lPi (Tj < (0) By Theorem 1.5.3, we have
1 = Pj(Xn

=

1 for all i E I. Choose m with

p;:n) > o.

= j for infinitely many
= j

n)

= lPj(Xn
kEI
=

for some n ~ m
= j for some n

+ 1)
+ 1 IXm
= k)lPj(Xm = k)

= L lPj(Xn

~m

L lPk(T
kEI

j

< oo)p;7:)

where the final equality uses the Markov property. But we must have Pi(Tj < 00) = 1. D
Exercises

EkE!

p;7:) =

1 so

1.5.1 In Exercise 1.2.1, which states are recurrent and which are transient? 1.5.2 Show that, for the Markov chain
lP(Xn
~

(Xn)n~O
~

in Exercise 1.3.4 we have

00 as n

00) = 1.

Suppose, instead, the transition probabilities satisfy
Pi,i+l =

(i+l)O
-i-

Pi,i-l·

For each

Q

E (0,00) find the value of P(Xn ~ 00 as n ~ 00).

1.5.3 (First passage decomposition). Denote by T j the first passage time to state j and set

Justify the identity
n

P ~~) = '"' f~~)p~~-k)
I)

~

I)

))

for n

~

1

k==l

1.6 Recurrence and transience of random walks and deduce that where

29

CX)

00

Pij(s) = LP~;)sn,

F ij (s) = L

fi~n) sn ·

n==O
Hence show that Pi (Ti <
00)

n==O

= 1 if and only if
00

n==O
without using Theorem 1.5.3.

LP~~) =

00

1.5.4 A random sequence of non-negative integers (Fn)n~o is obtained by setting Fo = 0 and F 1 = 1 and, once Fo, ... ,Fn are known, taking Fn+ 1 to be either the sum or the difference of F n - 1 and F n , each with probability 1/2. Is (Fn)n~o a Markov chain? By considering the Markov chain X n = (Fn - 1 , Fn ), find the probability that (Fn)n~o reaches 3 before first returning to O. Draw enough of the flow diagram for (Xn)n~O to establish a general pattern. Hence, using the strong Markov property, show that the hitting probability for (1,1), starting from (1,2), is (3 - V5)/2. Deduce that (Xn)n~O is transient. Show that, moreover, with probability 1, Fn ~ 00 as n ~ 00.

1.6 Recurrence and transience of random walks
In the last section we showed that recurrence was a class property, that all recurrent classes were closed and that all finite closed classes were recurrent. So the only chains for which the question of recurrence remains interesting are irreducible with infinite state-space. Here we shall study some simple and fundamental examples of this type, making use of the following criterion for recurrence from Theorem 1.5.3: a state i is recurrent if and only if
~oo

L..Jn==O Pii -

(n)_
00.

Example 1.6.1 (Simple random walk on Z)
The simple random walk on Z has diagram

q
i-I

...

..
i

P
i+l

30

1. Discrete-time Markov chains

where 0 < P = 1 - q < 1. Suppose we start at O. It is clear that we cannot return to 0 after an odd number of steps, so p~~n+l) = 0 for all n. Any given sequence of steps of length 2n from 0 to 0 occurs with probability pnqn, there being n steps up and n steps down, and the number of such sequences is the number of ways of choosing the n steps up from 2n. Thus

(2n) Poo = (2n) p n qn . n
Stirling's formula provides a good approximation to n! for large n: it is known that
asn~oo

where an rv bn means an/bn ~ 1. For a proof see W. Feller, An Introduction to Probability Theory and its Applications, Vol I (Wiley, New York, 3rd edition, 1968). At the end of this chapter we reproduce the argument used by Feller to show that
asn~oo

for some A E [1,00). The additional work needed to show A omitted, as this fact is unnecessary to our applications. For the n-step transition probabilities we obtain

= y'2;IT

is

Poo

(2n) _ (2n)! ( )n - (n!)2 pq

rv

(4pq)n

AJn/2

as n

~

00.

In the symmetric case p n ~ N we have

= q = 1/2, so 4pq = 1; then for some N and all
(2n) > Poo -

2AVii
_1 _

1

so ~ Poo

~

(2n)

> --.!... ~

- 2A ~

Vii -

00

which shows that the random walk is recurrent. On the other hand, if p then 4pq = r < 1, so by a similar argument, for some N

=I q

'"" p(n) < _ '"" r n < 00 ~ 00 -A ~
n==N n=N

00

1

00

showing that the random walk is transient.

. 1 :4 .2 (Simple symmetric random walk on Z2) The simple symmetric random walk on Z2 has diagram 31 :4 . 1 1 . Suppose we start at o.~ :4 1 :4 and transition probabilities Pij 1/4 { 0 == ifli-jl==l otherwise. This makes it clear that for X n we have Poo (2n) == asn~oo . Let us call the walk X n and write X~ and X.6 Recurrence and transience of random walks Example 1.1 / 2 Z and X n == 0 if and only if X~ == 0 == X.. for the orthogonal projections of X n on the diagonal lines y == ±x: X+ n Then X~ and X. are independent simple symmetric random walks on 2.6.....1.

32 1. E::o p~~) = 00 by comparison with E::o l/n Example 1. . . we obtain (2n) _ Poo - i.00 -3/2 . We can only return to 0 after an even number 2n of steps. j. i down. j north.j. Discrete-time Markov chains by Stirling's formula. E:=o p~~m) < 00 by comparison with .k~O (2n)! . ·'k')2 (~.k~O i+j+k=n i+j+k=n Now i.j. _ {1/6 if Ii .j.". k. so = i!j!k! ~ mmm n! (n) (~) 3/2 asn~oo by Stirling's formula.jl = 1 P'1. Hence..6.Jn=O n and Poo _ Poo or all m so we must have and the walk is transient. with i + j + k = n. Of these 2n steps there must be i up. By counting the ways in which this can be done.k~O i+j+k=n the left-hand side being the total probability of all the ways of placing n balls randomly into three boxes. i.J .3 (Simple symmetric random walk on Z3) The transition probabilities of the simple symmetric random walk on Z3 are given by . we have n ( ij k) for all i. k ~ 0.. j south.) o otherwise. Thus the chain jumps to each of its nearest neighbours with equal probability.j. k east and k west for some i. Then and the walk is recurrent. Suppose we start at O.. For the case where n = 3m.. B u t Poo > (1/6)2 Poo (6m) (6m-2) (6m) > (1/6)4 (6m-4) £ L.

7.6. Proof. Let I be finite. Then (Xm+n)n~O is also Markov(A..2. P). .7.6. D The next result explains the term equilibrium. Remember that a measure A is any row vector (Ai : i E I) with non-negative entries. We say A is invariant if AP == A. 1..2 Show that the simple symmetric random walk in Z4 is transient.1. The terms equilibrium and stationary are also used to mean the same. . The random walk on T jumps from a vertex along each available edge with equal probability.1.Xm+n and has distribution (Pij : j E I). at every other vertex there are three edges and there are no closed loops. X m + 1 .1 The rooted binary tree is an infinite graph T with one distinguished vertex R from which comes a single edge. Suppose for some i E I that p~j) Then 7r ---t 7rj as n ---t 00 for all j E I.== n~oo 1m (n) 1m L kEI P-k Pkj ~ (n) == L kEI n~oo 1· 1m P-k Pkj ~ (n) == L kEI 7rkPkj .1. Let (Xn)n~O be Markov(A. Theorem 1. X m+n+ 1 is independent of X m . clearly.7 Invariant distributions Many of the long-time properties of Markov chains are connected with the notion of an invariant distribution or measure. P(Xm == i) == (Apm)i == Ai for all i and. Theorem 1. The first result explains the term stationary. == (7rj : j E I) is an invariant distribution.P) and suppose that A is invariant for P.3. By Theorem 1. 7 Invariant distributions 33 Exercises 1. Show that the random walk is transient. We have L and 7rj 7rj == jEI L n~oo 1· P~J1m (n) - 1· == n~oo 1m L P -~J (n) == 1 jEI jEI 1· 1· == n~oo P-~J. \ 1. conditional on X m+n == i. Proof.

The limit is certainly invariant. D Notice that for any of the random walks discussed in Section 1.7.2.8. but it is not a distribution! Theorem 1. + (3)) must be Example 1.3 we shall prove a sort of converse.7. the distribution ((3/(0: + (3). which is much more useful.1.( l-a (3 Ignore the trivial cases 0: = (3 = 0 and 0: = (3 = 1. There are of course easier ways to discover this.) ---t 0 as n ---t 00 for all i. by Theorem 1.4 pn ~ ((3/(a (3/(a + (3) + (3) a/(a + (3)) a/(a + (3) as n ~ 00.34 1. Discrete-time Markov chains where we have used finiteness of I to justify interchange of summation and limit operations.2 is not a very useful result but it serves to indicate a relationship between invariant distributions and n-step transition probabilities.4 Consider the Markov chain (Xn)n~O with diagram 1 3 1 2 2 To find an invariant distribution we write down the components of the vector equation 7r P = 7r 7rl 7r2 = ~7r3 1 1 = 27r1 + 2 7r3 1 27r2 1 + 2 7r3 · _ 7r3 - .0:/(0: invariant. Hence 7r is an invariant distribution. Then. so.6 we have p~. by Example 1. j E I. Example 1.7. In Theorem 1.3 Consider the two-state Markov chain with transition matrix p.7.

Then (i) l'~ = 1.2.2. so. the existence of an invariant row vector is a simple piece of linear algebra: the row sums of P are alII.) in Example 1.1.. In the next two results we shall show that every irreducible and recurrent stochastic matrix P has an essentially unique positive invariant measure. for a finite state-space I. when X o has distribution 7r. for all i E I. . (i) This is obvious.1 . Tk} depends only on X o. (ii) l'k = (l'f : i (iii) 0 < E Tf < 00 I) satisfies l'k P = l'k . (ii) For n = 1. the right-hand sides give the probabilities for Xl. Proof.5. n7r) + CSln 2 we could have used Theorem 1.7.l . so P must have a row eigenvector with eigenvalue 1.2/5. so the column vector of ones is an eigenvector with eigenvalue 1.6 pi~) ~ 1/5 as n ~ 00 so this confirms Theorem 1. For a fixed state k. . Alternatively.1. According to Example 1. by the Markov property at n .1. and another equation is required to fix 7r uniquely. 7 Invariant distributions 35 In terms of the chain. . Let P be irreducible and recurrent. The proofs rely heavily on the probabilistic interpretation so it is worth noting at the outset that.. That equation is and we find that 7r = (1/5. the event {n ::.Xn .2/5). instead of working out p~. and the equations require Xl also to have distribution 7r. The equations are homogeneous so one of them is redundant.. . Theorem 1.l ')'f = lEk L l{x n =i}' n=O Here the sum of indicator functions serves to count the number of times n at which X n = i before the first passage time T k .2 and knowledge of 7r1 to identify a = 1/5.7.7. Xl.6. consider for each i the expected time spent in i between visits to k: Tk. knowing that p~~) had the form PII (n) = a + (l)n (bcos 2 2 n7r .

D Theorem 1. m ~ 0 with (n) (m) 0 k (m) (n) k Pik . For each j E I we have Aj = = L ioEI AioPioj = L io#k AioPioj + Pkj + L io#k L io.. (iii) Since P is irreducible.fpij...1 = = LPij L JP>k(Xn ..il#k Ai1Pi 1 ioPioj + (Pk j PkioPiOj ) L i o . Then A ~ ~k. Therefore < 00 and X o = X Tk = k with .1 } Tk. .in=j:k AinPinin-l · · · Pioj L io#k + (Pk j + PkioPioj + ···+ Tk ~ L io.. X n = j and n ~ Tk) i and n ~ Tk) = L L JP>k(X iEI n=l 00 n. then A = ~k . Discrete-time Markov chains Tk Since P is recurrent. .1 = LPijlEk iEI L m=O l{Xtn =i} = L iEI .i n -l#k Pkin-l · · · PilioPioj ) ~ IPk(X1 = j and Tk ~ 1) + IPk(X2 n) = j and Tk ~ 2) + .. .36 1.1 = iEI n=l 00 = LpijlEk L iEI m=O l{Xtn =i and msTk. under IPk we have probability one. . +IPk(Xn ~ ~j as =j and n ~ 00. Let P be irreducible and let A be an invariant measure for P with Ak = 1.Pki >.6. Proof.j = lEk L n=l 00 Tk l{x n =j} = lEk L 00 l{Xn =j and nSTd n=l = L n=l JP>k(Xn 00 =j and n ~ Tk) i.. If in addition P is recurrent.7. for each state i there exist n. Then ~ik ~ ~kPki > 0 and ~ik Pik ~ ~k = 1 bY () and i (ii).

(i) => (ii) This is obvious. and O ' " or = /-lk = LJjEI /-ljPjk ~ /-liPik . By Theorem 1. Since P is irreducible and EiEI 7ri = 1 we have 7rk = EiEI 7riP~~) > 0 for some n. But L~j jEI = mi < 00 so 7rj = ~.7.7.3 that this is equivalent to If in addition the expected return time is finite. ~i is then invariant. Then the following are equivalent: (i) every state is positive recurrent. given i E I. Hence mk =L k ~. so J-l = A . so P is recurrent. ~ ~ L iEI iEI 7ri .5. when (iii) holds we have mi = 1/7ri for all i. A ~ ~k. (iii) P has an invariant distribution. 7 Invariant distributions 37 So A ~ ~k. Proof. (iii) => (i) Take any state k. . Then A is an invariant measure with Ak = 1.5. Set Ai = 7ri/7rk. 7r say. If P is recurrent.5.7. 0 Recall that a state i is recurrent if IPi(Xn = i for infinitely many n) = 1 and we showed in Theorem 1. (n) (n) (n) we have Pik > 0 £ some n. Let P be irreducible. A recurrent state which fails to have this stronger property is called null recurrent. then ~k is invariant by Theorem 1.7. it is certainly recurrent. / mi defines an invariant distribution. so J-li = O. then we say i is positive recurrent. (ii) => (iii) If i is positive recurrent.~k is also invariant and /-l ~ O.7) and k is positive recurrent.= -1 < 7r 7r k k 00 (1. Since P is irreducible.7. Moreover. Theorem 1.6. So by Theorem 1. (ii) some state i is positive recurrent.1.

6. by Example 1. Example 1.7. whose transition probabilities are given by Pi.7. so A = ~k and the inequality (1.6.6 forces any invariant measure to be a scalar multiple of 7r. Now Theorem 1.1.7) is in fact an equality. 0 Example 1.7. Discrete-time Markov chains To complete the proof we return to the argument for (iii) => (i) armed with the knowledge that P is recurrent.7.Pi· .i+l· In components the invariant measure equation 7r P = 7r reads This is a recurrence relation for 7r with general solution So. Example 1. it is also recurrent. by Theorem 1.38 1.7. there can be no invariant distribution and the walk is therefore null recurrent.7.11 Consider a success-run chain on Z+ . so 7r is invariant. there is a two-parameter family of invariant measures uniqueness up to scalar multiples does not hold. Consider the measure 7ri Then =1 for all i. for example. the simple symmetric random walk on Z3. in this case. Since LiEZ 7ri = 00.3.7. which is transient by Example 1. but has invariant measure 7r given by 7ri = 1 for all i.10 Consider the asymmetric random walk on Z with transition probabilities Pi. PiO = qi = 1 . Example 1.9 The existence of an invariant measure does not guarantee recurrence: consider.i+l = Pi.8 (Simple symmetric random walk on Z) The simple symmetric random walk on Z is clearly irreducible and.i-l = q < P = Pi.

2 Gas molecules move about randomly in a box which is divided into two halves symmetrically by a partition.7. for i ~ 7ri = Pi-l7ri-l.1.7. 0 the vertex opposite i.3 A particle moves on the eight vertices of a cube in the following way: at each step the particle is equally likely to move to each of the three adjacent vertices. 1. 1. = 0 or 7ro = 00.1 Find all invariant distributions of the transition matrix in Exercise 1. Suppose we choose Pi converging sufficiently rapidly to 1 so that P = IIpi > 0 i=O 00 which is equivalent to 00 Lqi = i=O 00.1. What are the transition probabilities? What is the invariant distribution of this chain? 1. Let i be the initial vertex occupied by the particle.2. Then for any solution of 7r P = 7r we have and so 1ro ~ JJ7ro 7ro L qi· i=O 00 This last equation forces either measure. Calculate each of the following quantities: . so there is no invariant Exercises 1. 7 Invariant distributions 39 7r P Then the components of the invariant measure equation 00 = 7r read 1ro = L i=O qi 1ri. Show that the number of molecules on one side of the partition just after a molecule has passed through the hole evolves as a Markov chain. independently of its past motion. Suppose there are N molecules in the box.7. A hole is made in the partition.

j. Thus p~j) fails to Let us call a state i aperiodic if p~~) > 0 for all sufficiently large n.j E I) with aij = 1 for all i and j.7.8 Convergence to equilibrium We shall investigate the limiting behaviour of the n-step transition probabilities p~. =I and p 2n+l = P for all n. (ii) the expected number of visits to 0 until the first return to i. Show that a distribution 7r is invariant for P if and only if 7r(I -P+A) = a.8. The behaviour of the chain in Example 1. 1. Note that this enables one to compute the invariant distribution by any standard method of inverting a matrix.8. Example 1. where A = (aij : i.5 Let P be a stochastic matrix on a finite set I. if the state-space is finite and if for some i the limit exists for all j. Discrete-time Markov chains (i) the expected number of steps until the particle returns to i.) as n ~ 00.f = and verify that T'~ ~ TO-l lEo ( n=O L ) l{x n =i} = inf Ai for all i A 1. and a = (ai : i E I) with ai = 1 for all i.7.1 Consider the two-state chain with transition matrix p=(~ ~).7. 1. As we saw in Theorem 1. then it must be an invariant distribution. This is also a consequence of Theorem 1.i-l = q < P = Pi. We leave it as an exercise to show that i is aperiodic if and only if the set {n 2:: 0 : p~~) > O} has no common divisor other than 1. (iii) the expected number of steps until the first visit to o. the limit does not always exist. Then p2 = I. But.8. where the infimum is taken over all invariant measures A with Ao (Compare with Theorem 1.7.40 1.4 Let (Xn)n~O be a simple random walk on Z with Pi.2. Deduce that if P is irreducible then I -P+A is invertible.) 1. so p2n converge for all i. Find .i+l.7.1 is connected with its periodicity.6 and Example 1. . as the following example shows.10.4.

Suppose P is irreducible and has an aperiodic state i. l we have ~n) (n) (n) P(i. by coupling two Markov chains.8.) ---t 'lrj as n ---t 00 for all i.1.7. Theorem 1. There eXIst r. Suppose that (Xn)n~O is Markov(A.7. . Then. In particular. We use a coupling argument. by Theorem 1. S _ > 0 WIt h Pji' Pik >. 0 Here is the main result of this section. We show P(T < 00) = 1. for all states i. P has an invariant distribution given by 7r(i. The process W n = chain on I x I with transition probabilities P(i. for all states j and k.k) = Ai 7rk. P is positive recurrent. Y n ) Step 1. The method of proof.7. Fix a reference state b and set T = inf{ n 2:: 1 : X n = Yn = b}. all states are aperiodic.3 (Convergence to equilibrium). Since P is aperiodic. PJ~) > 0 for all sufflciently large n. P) and independent of (Xn)n~O.k)(j.8 Convergence to equilibrium 41 Lemma 1. Let (Yn)n~O be Markov(7r.2. Then P(Xn = j) ~ 7rj as n ~ 00 for all j. Proof. Let P be irreducible and aperiodic. b) so P(T < 00) = 1. and suppose that P has an invariant distribution 7r. j. But T is the first passage time of W n to (b.k) = 7ri7rk so.l) = Pij Pkl > 0 for all sufficiently large n. k.Pji Pii Pik > >0 for all sufficiently large n.5. by Theorem 1.I · P rooJ.k)(j. (X n . P). p~. Let A be any distribution.l) is a Markov = PijPkl and initial distribution jj(i.8. is ingenious. so P is irreducible. . Also. In particular. Then · (r) (s) 0 (r+n+s) (r) (n) (s) Pjk . j.

YI). YT+n)n~O is Markov(8(b. (Xl. (Zn)n~O is Markov(. so (XT+n. I ~ T. . (X I. Z~) is Markov(j. .. Markov(. XT+n)n~O which is also Markov(8(b. (XT. we can replace the process (XT+n. Set ifn < T if n The diagram below illustrates the idea. Zn = { Y Xn ifn < T if n 2 T. P) and remains independent of (X o. Y T ) . We show that (Zn)n~O is n The strong Markov property applies to (Wn)n~O at time T. ~ and P(n < T) D . P). P) where n . P) and independent of (X o. YI).b).42 1. We have lP(Zn = j) = lP(Xn = j and n < T) +lP(Yn = j and n 2 T) so IlP(Xn ~ = j) .t. Discrete-time Markov chains Step 2.b).\.. P).(XT . Hence W~ = (Zn.. By symmetry. YT+n)n~O by (YT+n . Yo).Yo).7rjl = IlP(Zn = j) -lP(Yn = j)1 = IlP(Xn = j and n < T) -lP(Yn = j and n < T)I lP(n < T) 0 as n ~ 00. Step 3. .\. . .YT). In particular.

. Moreover. We start (Xn)n~O from 0 and (Yn)n~O with equal probability from 0 or 1. U Cd-1 ~ 1 and a such that (setting Cnd+r = Cr) (i) p~j) > 0 only if i E Cr and j E C r+ n for some r. The remainder of this section might be omitted on a first reading. (Here and throughout we use the symbol := to mean 'defined to equal'.m)n1 + mn2.8 Convergence to equilibrium 43 To understand this proof one should see what goes wrong when P is not aperiodic..n1 is as small as possible. n2 E S with n1 < n2 and such that d := n2 .1.d-1 Cr = {~. choosing m ~ 0 so that p~". then . (Xn)n~O and (Yn)n~O will never meet. in particular n1. By taking i = j = k we now see that d must divide every element of S.4. if Yo = 1. E I (nd+r) : Pki > 0 £or some n ~ O} .. where (Xt)~o is periodic or transient or null recurrent. . we can write nd = qn1 + r for integers q ~ n1 and ~ n1 . Choose n1. .d . Hence we have a partition. Choose m so that p~7d+r) > 0. There is an integer d partition I = Co U C 1 U .I}. Fix a state k and consider S = {n ~ 0 : P~~ > O}. then p~7d+r+k) > 0 so j E C r+n as required. o~ r Now for nd ~ n~. then.. Then Co U . if p~~d+r) > 0 and p~~d+8) > 0 for some r. . for all i. by irreducibility. 1. . for all r. Theorem 1.. However. We move on now to the cases that were excluded in the last theorem..1.) Define for r = 0. we have p~~d+r+m) > 0 and p~~d+8+m) > 0 so r = s by minimality of d. then.. Hence and hence nd E S. To prove (i) suppose p~j) > 0 and i E Cr.) > 0. Proof.j E C r . U Cd-1 = I. To prove (ii) for i. and the proof fails. Since d divides n1 we then have r = md for some integer m and then nd = (q . Let P be irreducible.8.1 which has (1/2. because of periodicity. (ii) p~jd) > 0 for all sufficiently large n.. S E {O.8. 1/2) as its unique invariant distribution. j E Cr choose m1 and m2 so that p~:l) > 0 and p~72) > 0. Consider the two-state chain of Example 1.

pd) and. Fristedt and L.44 1.8.4.Cd-l be the partition obtained in Theorem 1.8.8.3 in two respects since we require neither aperiodicity nor the existence of an invariant distribution. Discrete-time Markov chains ml whenever nd ~ n~. Since are done. The theorem just proved shows in particular for all i E I that d is the greatest common divisor of the set {n ~ 0 : p~~) > O}. If P is positive recurrent then 1/mj = 1rj. where 1r is the unique invariant distribution. So if the theorem holds in the aperiodic case. In particular. Finally... . ~ dlmj as n ~ 00 Step 2. so the result follows from Theorem 1. . then by Theorem Set Y n = Xnd+r.3.4 we have = Apr. For j E Cr the expected return time of (Yn)n~O to j is mjld.1. Let P be irreducible of period d and let Co. The argument we use for the null recurrent case was discovered recently by B.4. We reduce to the aperiodic case. Suppose that (Xn)n~O is Markov(A. then P(Xnd+r = j) = P(Yn = j) so the theorem holds in general. .. Otherwise mj = 00 and we have to show that P(Xn = j) ~ 0 as n ~ 00. This is sometimes useful in identifying d. then (Yn)n~O is Markov(v. Let A be a distribution with LiECo Ai = 1. by Theorem 1. D + m2 is then necessarily a multiple of d.1 and j E C r we have P(Xnd +r = j) ~ dlmj as n ~ 00 where mj is the expected return time to j. we We call d the period of P. P). here is a complete description of limiting behaviour for irreducible chains. .8.d .8. pd is irreducible and aperiodic on Cr. Then for r = 0. Pij Proof Step 1. This generalizes Theorem 1. Gray. .. Set v 1. C 1 . Theorem 1. Assume that P is aperiodic. for i E Co and j E C r we have (nd+r) ~ dl mj as n ~ 00.8.5.

. .I}. for n 1~ ~ K .. . Then 00 :EPj(Tj > k) = lEj(Tj) = k=O 00.3.. so that P(Yn = j) = P(Xn +k = j).. . IP(Xn = j) .Yn ). Return now to the coupling argument used in Theorem 1.8. on taking j.. we obtain P(Xn = j)2 = P(Wn = (j.t = A.P(Xn+k = j)1 ::.n) L k=n-K+l K-l n P(Xk = j)Pj(Tj > n .K ..t = Ap k for k = 1. . . P). j)) ~0 as required.. Assume then that (Wn)n~O is recurrent.1 :E k=n-K+l n P(Xk = j and X m 1= j for m = k + 1. If (Wn)n~O is transient then. only now let (Yn)n~O be Markov(j. 1.8 Convergence to equilibrium 45 If P is transient this is easy and we are left with the null recurrent case.1. Given € > 0 choose K so that Then. .3. Assume that P is aperiodic and null recurrent. Step 3.K . Set W n = (Xn . we have P(T < 00) = 1 and the coupling argument shows that as n ~ 00..K -1.1.k) = :E P(Xn-k = j)Pj(Tj > k) k=O so we must have P(Xn .t is to be chosen later. As before.8. IP(Xn = j) . .k = j) ~ €/2 for some k E {O. We can find N such that for n 2:: Nand k = 1. aperiodicity of (Xn)n~O ensures irreducibility of (Wn)n~O.t. where j. Then.. ~· .P(Yn = j)1 ~ 0 We exploit this convergence by taking j. in the notation of Theorem 1.

+ Yk lim lP(Xn = 0) for some k ~ O} . Pn converges as n ~ 00. as 1. If Pn denotes the probability that on day n the student finds the books in the order 1. identically distributed random variables with values in {I.. where 0 < Qi < 1 for i = 1.2 Find the invariant distributions of the transition matrices in Exercise 1.3.8.3 A fair die is thrown repeatedly. Hence. 2.K .n. }. Set J-l process is a Markov chain: Xn = E(Y1 ).7. and determine the limit. 1.1 Prove the claims (e)..2. Since c > 0 was arbitrary. . for n ~ N P(Xn = j) ~ c.8.46 1.. and compare them with your answers there. . Show that the following = inf{m ~ n: m = Y1 + .. Determine n--+-oo and hence show that as n P(n ~ 00 = Y1 + .5 (Renewal theorem). from left to right.8.. this shows that lP(Xn = j) required.8.2. . Let X n denote the sum of the first n throws. Let Y1 . and choices on successive days are independent.3.. . Suppose that the set of integers {n : P(Y1 = n) > I} has greatest common divisor 1. 1.8.I} such that P(Xn + k = j) c/2. show that.. Find lim P(Xn is a multiple of 13) n--+-oo quoting carefully any general theorems that you use.1. D Exercises ~ 0 as n ~ 00. + Yk for some k ~ 0) ~ 1/ J-l. (b) and (c). irrespective of the initial arrangement of the books.4 Each morning a student takes one of the three books he owns from his shelf. Discrete-time Markov chains ~ But for any n we can find k E {O. 1. (f) and (g) made in example (v) of the Introduction. In the evening he replaces the book at the left-hand end of the shelf. parts (a). Y 2 . The probability that he chooses book i is Qi. 1. 1. ••• be independent..

Thus the limiting probability that a bulb is replaced at time n is 1/ J-l.·. Let P be irreducible and have an invariant distribution 1r. This property is symmetrical in time and suggests looking at Markov chains with time running backwards. The next result shows that a Markov chain in equilibrium..XN = io) = 1riN PiNiN -1 .· . where P = (Pij) is given by 1rjPji = 1riPij for all i. Next we check that 1r is invariant for P: L JEI 1rjPji = L JEI 1riPij = 1ri since P is a stochastic matrix. is again a Markov chain.. from state i. one can actually recover the full result by applying the renewal theorem to the excursion lengths S~l). • •• as light-bulb lifetimes. P i 1io = 1rioPioi1 . the invariant distribution..1. . YI = i l . The transition matrix may however be different.··· . We have P(YO= io. P). the past and future are independent given the present. Xl = iN-I. Theorem 1..YN = iN) = P(Xo = iN. This is an example of entropy increasing. It suggests that if we want complete time-symmetry we must begin in equilibrium.. convergence to equilibrium shows behaviour which is asymmetrical in time: a highly organised state such as a point mass decays to a disorganised one. run backwards. A bulb is replaced when it fails.9 Time reversal For Markov chains.9 Time reversal 47 (Think of YI .) 1.. On the other hand.n . Y 2 . Suppose that (Xn)O~n~N is Markov(1T'. P) and set Y n = X N . Proof. Then (Yn)O~n~N is MarkovCrr. PiN -1 iN . S~2). Although this appears to be a very special case of convergence to equilibrium. j and P is also irreducible with invariant distribution 1r. First we check that P is a stochastic matrix: since 1r is invariant for P.1.9.

4 Consider the Markov chain with diagram: 1 3 3 2 2 . when a solution A to the detailed balance equations exists.. Pin-l in / 7ri n >0 so P is also irreducible. (XN-n)O~n~N is also Markov(A.48 1.3. Lemma 1.1. Finally. Pil io D = 7rioPioil . A stochastic matrix P and a measure A are said to be in detailed balance if AiPij = AjPji for all i. (b) P and A are in detailed balance.9.. then A is invariant for P. the following result is worth remembering because.1. Then both (a) and (b) are equivalent to the statement that P = P in Theorem 1. by Theorem 1. since P is irreducible. Then Pin in-l . We say that (Xn)n~O is reversible if. Then the following are equivalent: (a) (Xn)n~O is reversible.. Proof. it is often easier to find by the detailed balance equations than by the equation A = AP.. (Yn)O~n~N is Markov(7r.9. j there is a chain of states io = i.. Though obvious. P). P). Example 1. If P and A are in detailed balance.1. with P irreducible.il. Proof· We have (AP)i = LjE! AjPji = LjE! AiPij = Ai· D Let (Xn)n~O be Markov(A. Discrete-time Markov chains so. . for all N ~ 1. Both (a) and (b) imply that A is invariant for P. Suppose that (Xn)n~O is Markov(A..9. P). D We begin a collection of examples with a chain which is not reversible. P).. . Theorem 1.in-1. j.2.9.. Let P be an irreducible stochastic matrix and let A be a distribution. The chain (Yn)O~n~N is called the time-reversal of (Xn)O~n~N. for each pair of states i.in =j withpioil . Pin-li n > O.

aph G is a countable collection of states. one might argue that the chain would tend to move to the right and its time-reversal to the left. Hence P = pT. 1/3. usually called vertices. so P =I P and this chain is not reversible.1.M) and this may be normalised to give a distribution in detailed balance with P. some of which are joined by edges. for example: . 1.i+l = Ai+lPi+l.9. which in this case would be heavily concentrated near M. 1.i for i = 0. 1/3) is invariant.6 (Random walk on a graph) A gr. which behaviour is symmetrical in time. The non-zero detailed balance equations read AiPi. But p is not symmetric. .. .9 Time reversal The transition matrix is 0 1/3 ( 2/3 49 p= 2/3 0 1/3 1/3) 2/3 0 and 1r = (1/3. Example 1. A patient observer would see the chain move clockwise in the long run: under time-reversal the clock would run backwards! Example 1.9...~ II(. So a solution is given by A = ((p/q)i : i = 0. However.. the transpose of P. An observer would see the chain spending most of its time near M and making occasional brief forays to the left. If P were much larger than q. this ignores the fact that we reverse the chain in equilibrium.5 Consider the Markov chain with diagram: P q 1 P • q II( • o where 0 . . Hence this chain is reversible.~ i-I i i+l M-l M <P= 1- q < 1. .1.M .

7 (Random chessboard knight) A random knight makes each permissible move with equal probability. j) is an edge otherwise. We have to assume that every vertex has finite valency. The valency Vi of vertex i is the number of edges at i. The random walk on G picks edges with equal probability: 1 1 2 1 3 1 2 1 2 1 3 1 3 4 1 1 2 3 2 3 Thus the transition probabilities are given by if (i. Discrete-time Markov chains 1 2 4 3 Thus a graph is a partially drawn Markov chain diagram. If it starts in a corner. We assume G is connected.50 1. if the total valency a == LiEG Vi is finite. Example 1. then 1r == V / a is invariant and P is reversible. So. how long on average will it take to return? This is an example of a random walk on a graph: the vertices are the squares of the chessboard and the edges are the moves that the knight can take: . It is easy to see that P is in detailed balance with V == (Vi : i E G). so that P is irreducible.9. There is a natural way to complete the diagram which gives rise to the random walk on G.

or calculating lEe (Te ) using Theorem 1.N} andp~J == 0 if Ij -il2:: 2..1.l.9 Time reversal 51 The diagram shows a part of the graph.1 In each of the following cases determine whether the stochastic matrix P. is reversible: (a) l-q p ) . . . and the 16 central squares have valency 8. 2 Alternatively. Hence lEc(Tc ) = 8 + 24 + 80 + 96 + 128 = 168. and the eight squares adjacent to the corners have valency 3. you might try finding 1r from 1r P == 1r. The four corner squares have valency 2. .3.9.7 and the preceding example that so all we have to do is identify valencies. (b) (c) 1== {O. We know by Theorem 1.5! Exercises 1. if you enjoy solving sets of 64 simultaneous linear equations. which you may assume is irreducible. There are 20 squares of valency 4.7. 16 of valency 6.. .

_.. be a sequence of independent.i-l = 1 Pij = Pji for all i. We shall prove a theorem which identifies for Markov chains the long-run proportion of time spent in each state.52 1. Theorem 1. Show that 9MD = 16MB. when both X and Y start at I. D p . identically distributed. non-negative random . C or D with equal probability 1/3.. B C ~---"II E Find the probability that X and Y ever meet at a vertex in the following cases: (a) X starts at A and Y starts at B.. 1..9.j E S. Pi. An essential tool is the following ergodic theorem for independent random variables which is a version of the strong law of large numbers. Pi. Discrete-time Markov chains (d) (e) = {a. } and POI = 1. For I = B. (b) X starts at A and Y starts at E. 1.10.. Let YI ... . for example.2.. DIet MI denote the expected time.... So.i+l = P. until they are once again both at I.1 (Strong law of large numbers). a particle at A jumps to B.10 Ergodic theorem Ergodic theorems concern the limiting behaviour of averages over time. I P for i 2:: 1.2 Two particles X and Y perform independent random walks on the graph shown in the diagram. 1. Y 2 . .

.x. Then c (Yl + . If (Xn)n?O is Markov(. The following result gives the long-run proportion of time spent by a Markov chain in each state.!. 1991).1.4).. + Yn n -----~J_lasn~oo ) = 1.as n mi ---t 00) = 1 where mi = Ei(Ti ) is the expected return time to state i.10.. Fix N < 00 and set yJN) = YnAN. . with probability 1 -----~oo Y1 + .. P) then ]p> . Proof.. + Yn n as n ~ 00. Moreover.. Then Y1 + ···+ Yn > Y1 n (N) + ···+ Yn n (N) _ ---t E(Y1 /\ N) asn~oo with probability one.1 0 Ergodic theorem 53 variables with JE(Y1 ) = 11']) jj. Theorem 1. The case where J_l = 00 is a simple deduction. So we must have. in Probability with Martingales by David Williams (Cambridge University Press. for example. As N i 00 we have E(YI A N) i J_l by monotone convergence (see Section 6.x (Vi (n) n ---t . in the positive recurrent case. Let P be irreducible and let be any distribution. A proof for the case J_l < 00 may be found. D We denote by Vi (n) the number of visits to i before n: n-l Vi(n) = L l{xk=i}' k=O Then Vi (n )/ n is the proportion of time before n spent in state i.2 (Ergodic theorem). for any bounded function f : I ~ lR we have where and where (7ri : i E I) is the unique invariant distribution.

. are independent and identically distributed with Ei(S.8) By the strong law of large numbers JP> (S~l) + • ~ ~.!-.l) :::. P) and independent of X o. If P is transient.t 00) = 1. By Lemma 1. letting n ~ ~ 00 as n ~ 00) = 1. we get JP> (Vi7n) -t mi as n .. the non-negative random variables S. as in Section 1..8).r)) = mi. Xl. then.!. + S.l) + ... The longrun proportion of time spent in i is the same for (XT+n)n>O and (Xn)n>O. Write sir) for the length of the rth excursion to i.... .XT by the strong Markov property. Vi(n) < + . 00 in (1.5.as n mi -t (0) = 1. mi Suppose then that P is recurrent and fix a state i. + S. .. which implies P (Vi(n) n -t .5. Hence S. the total number Vi of visits to i is finite.2).. 8. . so Vi(n) < Vi n .1. Also the left-hand side being the time of the first visit to i after n . Now S't~l) + ••• + S~V~(n)-l) < n 1 _ .54 1.n -t 0= .V~(n)) Vi(n) (1.1.V~(n)-l) Vi(n) n S. For T = T i we have P(T < 00) = 1 by Theorem 1.. 't the left-hand side being the time of the last visit to i before n..l).. + S~n) ~ -t mi as n ) . since P is recurrent P(Vi(n) So.t 00 = 1 and.7 and (XT+n)n~O is Markov(8i . . Discrete-time Markov chains Proof.5. so it suffices to consider the case A = bi. with probability 1.

7ril i~J ~ L I Vi~n) ~ 2~ " iEJ 7ril + L i~J (Vi~n) + 7ri) i~J I-nVi(n) - 1ri I +2~1ri. which establishes the desired convergence. to begin. for n ~ N(w) 1ri "I iEJ Vi(n) ~ -n. we have < c. Given c > 0.- I < c/4. Then. choose J finite so that and then N = N(w) so that.\xoPxoxl •• . Let I : I ~ lR be a bounded function and assume without loss of generality that III ~ 1. For any J ~ I we have I ~ n-l !(Xk) -! I = ~ ( -n.. The log-likelihood function is given by I(P) = log(. the case where we have N + 1 observations (Xn)O~n~N. " We proved above that JP> (Vi ~n) ---t 7ri as n ---t 00 for all i) = 1. Consider. for n ~ N(w).1 0 Ergodic theorem 55 Assume now that (Xn)n~O has an invariant distribution (1ri : i E I).- 1 L - Vi(n) 1ri ) Ii k=O 'tEl ~ L IVi~n) iEJ iEJ . D We consider now the statistical problem of estimating an unknown transition matrix P on the basis of observations of the corresponding Markov chain.jEl N ij logpij .1.PXN-1XN) = L i.7ril + L IVi~n) .

. . We now turn to consider the consistency of this sort of estimate. and Yn = 0 otherwise. Discrete-time Markov chains up to a constant independent of P. . Denote again by N ij the number of transitions from i to j. which leads to the maximum likelihood estimate Pij = Nij/N.Y are N independent and identically distributed random variables with mean Pij.. which is the choice of P maximizing l(P). In the transient case this may involve restarting the chain several times. by the strong law of large numbers P(Pij ~ Pij as N ~ 00) = 1. Suppose then that instead of N + 1 observations we make enough observations to ensure the chain leaves state i a total of N times. .56 1. So. But Nij = Y1 + . By the strong Markov property Yl. Note that to find Pij we simply have to maximize 2: N jEI ij log Pij subject to E j Pij = 1: the other terms and constraints are irrelevant.. that is to say whether Pij ~ Pij with probability 1 as N ~ 00. Since this is clearly false when i is transient. A standard statistical procedure is to find the maximum likelihood estimate P.. we first try to maximize l (P) + 2: i. we shall slightly modify our approach. which shows that Pij is consistent. This is the method of Lagrange multipliers.X n +1 =j}/ L l{x n =i} n=O n=O which is the proportion of jumps from i which go to j. where Y n = 1 if the nth transition from i is to j. Thus we find N-l Pij = L N-l 1{Xn =i. Since P must satisfy the linear constraint E j Pij = 1 for each i. + Y N . To maximize the likelihood for (Pij : ij j E I) we still maximize 2: N jEI log Pij subject to Ej Pij = 1.jEI /-LiPij and then choose (/-li : i E I) to fit the constraints. where N ij is the number of transitions from i to j.

1.11 Appendix: recurrence relations Recurrence relations often arise in the linear equations associated to Markov chains. A more specialized case was dealt with in Example 1.10.3 Let (Xn)n~O be an irreducible Markov chain on I having an invariant distribution Jr.2 A professor has N umbrellas.3.1.a). 1. Suppose that it rains on each journey with probability p. Flowers costing x thousand pounds. bring about a reconciliation with probability yIX.10.3 we found a recurrence relation of the form aXn+l + bXn + CXn-l = 0 .4 An opera singer is due to perform a long series of concerts.3. 0 ~ x ~ 1. Once this has happened she will not sing again until the promoter convinces her of his high regard. We look first for a constant solution X n = x.b/(l . If it is raining he likes to carry an umbrella and if it is fine he does not. Having a fine artistic temperament. then x = ax + b.1 Prove the claim (d) made in example (v) of the Introduction.4 we found a recurrence relation of the form Xn+l = aX n + b. independently of past weather. In Example 1.) Show that (Ym)m~O is positive recurrent and find its invariant distribution. so provided a =I 1 we must have x = b/(l . Thus the general solution when a =I 1 is given by Xn = Aa n + b/ (1 - a) where A is a constant. When a = 1 the general solution is obviously Xn = Xo +nb. What is the long-run proportion of journeys on which the professor gets wet? 1. In Example 1. The promoter stands to make £750 from each successful concert. Now Yn = Xn .1. How much should he spend on flowers? 1.4. For J ~ I let (Ym)m~O be the Markov chain on J obtained by observing (Xn)n~O whilst in J. Here is an account of the simplest cases.10.11 Appendix: recurrence relations 57 Exercises 1.10. she is liable to pullout each night with probability 1/2.4. This he does by sending flowers every day until she returns.a) satisfies Yn+l = aYn.4. so Yn = anyo. He walks to the office in the morning and walks home in the evening. (See Example 1.

.~t3 - By subtraction we obtain 2 log 1 (l+t) t 1_ = 13 15 t + 3 t +:5 t +. Denote by 0: and {3 the roots of this quadratic. so that Yo = Xo and Yl xl=Ao:+B{3 = Xl. Then Yn = Ao: n + B{3n is a solution.~t2 .58 1. Hence the general solution is given by Ao:n + B{3n if 0: # {3 n { (A + nB)an if 0: = {3.12 Appendix: asymptotics for n! Our analysis of recurrence and transience for random walks in Section 1. but for all n. We make use of the power series expansions for 10g(1 It I < . then. then a-X 2 + b-X + c = O. If 0: = {3 # 0. Discrete-time Markov chains where a and c were both non-zero. Yn = Xn for all n. Here is a derivation. then Yn = (A + nB)o:n is a solution and we can solve so that Yo = Xo and Yl = Xl.. . X = 1. If 0: =1= (3 then we can solve the equations xo=A+B. 1 + t) = t - ~t2 + ~t3 - 10g(1 .. 00 ). so by induction Yn = Xn for all n. by the same argument.t) = -t . The case 0: = (3 = 0 does not arise. Let us try a solution of the form X n = -X n..6 rested heavily on the use of the asymptotic relation n! rv Ayri(nje)n as n ~ 00 for some A E [1.

3" (2n (2n 1)4 1 + II} { + + + ··· 1 1 1 12n .an+! = (2n = logAn. (2n+1)5 -1 1 1 = 3 (2n + 1)2 + 5 (2n + 1)4 + · .1 It follows that an decreases and an .. . Hence an ~ a for some a E [0.. By the series expansion written above we have an-an+! = (2n+1) { Ill 1 1 1)2 (2n+1) +3"(2n+1)3 +5 II} + . where A = ea. ::. 1 3 (2n + 1)2 .1.12(n + 1) .12 Appendix: asymptotics for n! 59 Set An = n!/(nn+l/2 e-n) and an calculation an . by a straightforward + 1)2" log 1 (1+(2n+l)-1) 1 _ (2n + 1)-1 . 00) and hence An ~ A.1. as n ~ 00.1/(12n) increases as n ~ 00.. Then.

There is an irreducible level of difficulty at this point.8. deal with the heart of the continuous-time theory. As in Chapter 1 the exercises form an important part of the text.8. Let I be a countable set. Sections 2. but once up and running it follows a very similar pattern to the discrete-time case. The first three sections of Chapter 2 fill in some necessary background information and are independent of each other. 2. Section 2.7 and 2. Some examples of more general processes are given in Section 2. so we advise that Sections 2. These processes are simple and particularly important examples of continuous-time chains. provided you take certain basic properties on trust. which are reviewed in Section 3. you can begin with Chapter 3.2 Continuous-time Markov chains I The material on continuous-time Markov chains is divided between this chapter and the next.1. The theory takes some time to set up. A Q-matrix on I is a matrix Q satisfying the following conditions: = (qij : i. If you wish.6-2. To emphasise this we have put the setting-up in this chapter and the rest in the next.j E I) .8 are read selectively at first.9. especially 2.5 on birth processes provide a gentle warm-up for general continuoustime Markov chains.1 Q-matrices and their exponentials In this section we shall discuss some of the basic properties of Q-matrices and explain their connection with continuous-time Markov chains.4 on the Poisson process and Section 2.

. making the total row sum zero. The numbers qi are not shown on the diagram. A convenient way to present the data for a continuous-time Markov chain is by means of a diagram.2. We shall later interpret qi as the rate of leaving i. for all i qij ~ 0 =I j. j) arrow on the diagram. i. in this case Q= (~2 2 !1 1 -3 ~) Thus each off-diagonal entry qij gives the value we attach to the (i. . ) is by the function (e tq : t ~ 0)...00). where q = logp. (iii) L jEI qij = 0 for all Thus in each row of Q we can choose the off-diagonal entries to be any nonnegative real numbers.1 Q-matrices and their exponentials (i) 0 ~ (ii) -qii 61 < 00 for all i. which we shall interpret later as the rate of going from i to j.00) a natural way to interpolate the discrete sequence (pn : n = 0.2. . Consider now a finite set I and a matrix .1. subject only to the constraint that the off-diagonal row sum is finite: qi = Lqij j#i < 00. 1. } as embedded in the continuous parameter space [0.. but you can work them out from the other information given. The diagonal entry qii is then -qi.2. For P E (0. We may think of the discrete parameter space {O. for example: 1 3 1 2 Each diagram then corresponds to a unique Q-matrix.

.2.j E I). Continuous-time Markov chains I P = (Pij : i. Suppose then that we can find a matrix Q with eQ = P. . we have Proof. the series converges componentwise and we denote its limit by eQ . if two matrices Q1 and Q2 commute.10. so e sQ e tQ = e(s+t)Q proving the semigroup property. Then e nQ = (eQ)n = p n so (e tQ : t ~ 0) fills in the gaps in the discrete sequence.1.2. ... )? For any matrix Q = (qij : i.. j E I). Moreover. Is there a natural way to fill in the gaps in the discrete sequence (p n : n = 0. then The proofs of these assertions follow the scalar case closely and are given in Section 2. Theorem 2. Then (P(t) : t ~ 0) has the following properties: (i) P(s + t) = P(s)P(t) for all s.1. The matrix-valued power series P(t) = f: (t~)k k=O . t (semigroup property). t E lR.1. Set P(t) = e tQ . (iii) (P(t) : t ~ P(O) = I. For any s.. 0) is the unique solution to the backward equation P(O) = I.1. (ii) (P(t) : t ~ 0) is the unique solution to the forward equation ~ P(t) = P(t)Q. (iv) for k = 0. Let Q be matrix on a finite set I. sQ and tQ commute.62 2.

j and all t ~ o.!!.tQ + M(t) (.-M(t)) e. jEI We recall the convention that in the limit t ~ 0 the statement f(t) = O(t) means that f(t)/t ~ C for all sufficiently small t. So each component is differentiable with derivative given by term-by-term differentiation: . A similar argument proves uniqueness for the backward equation. Theorem 2.j. Moreover by repeated term-by-term differentiation we obtain (iv).-(M(t)e-tQ ) = (.1.1 Q-matrices and their exponentials 63 has infinite radius of convergence (see Section 2. But if M(t) satisfies the forward equation. As t ! 0 we have so qij ~ 0 for i =1= j if and only if Pij (t) ~ 0 for all i.2. Since P(t) = P(t/n)n for all n. it follows that qij ~ 0 for i =1= j if and only if Pij(t) ~ 0 for all i.tQ ) dt dt dt = M(t)Qe.-e. Later we shall also use the convention that f(t) = o(t) means f(t)/t ~ 0 as t ~ o.1 Qk 1)! = P(t)Q = QP(t). for some C < 00. and so M(t) = P(t). It remains to show that P(t) is the only solution of the forward and backward equations. j and t ~ 0 sufficiently small. If Q has zero row sums then so does Qn for every n: """ qik = """ """ qij -1) qjk = """ qij -1) """ qjk = 0 .tQ + M(t)( -Q)e. Now let us see what happens to Q-matrices. Recall that a matrix P = (Pij : i.10).tQ is constant.tQ = 0 so M(t)e.!!. A matrix Q on a finite set I is a Q-matrix if and only if P(t) = etQ is a stochastic matrix for all t ~ o. P (t) = L (k _ k=1 00 t k. Hence P(t) satisfies the forward and backward equations. Proof. D The last result was about matrix exponentials in general. j E I) is stochastic if it satisfies (i) 0 ~ Pij < 00 for all i. then . (ii) LPij = 1 for all i.2.!!. LJ (n) LJ LJ (n LJ ( n LJ kEI kEI jEI jEI kEI .

as we shall see in Section 2. . .~o which also has this property. ..j) entry in etQ .. } by Then (Xn : n = 0.2. . ~ t n +l and all states for all n = 0. then L qij jEI ~I LPij(t) jEI = O.8 that a continuous-time Markov chain (Xt)t~O with Q-matrix Q satisfies ~ to ~ . . n=l jEI 00 (n) = 1. To anticipate a little. Fix some large integer m and let (X~)n~O be discrete-time Markov(..2.8.x. We shall now give some examples where the transition probabilities Pij(t) may be calculated explicitly. D t=O Now. we shall see in Section 2. we can do some sort of filling-in of gaps at the level of processes. It should not then be too surprising that there is. P) when sampled at integer times. Continuous-time Markov chains I tn LPij(t) jEI = 1 + L I" Lqij n.1.2.. a continuous-time process (Xt)t. In particular. if LjE! Pij(t) = 1 for all t = ~ 0.x.) You should compare this with the defining property of a discrete-time Markov chain given in Section 1. .. } as time-parameter sets which give rise to Markov(... (eQ/m)m) (see Exercise 1. if P is a stochastic matrix of the form eQ for some Q-matrix. all times io. .x.2) and Thus we can find discrete-time Markov chains with arbitrarily fine grids {n/m : n = 0.1. We define a process indexed by {n/m : n = 0.. where Pij(t) is the (i. ) is discrete-time Markov(.1.2..1.1... . On the other hand.64 So 2.1.. eQ / m ). the transition probability from i to j in time t is given by ° (Recall that := means 'defined to equal'.i n + 1 .

1 Q-matrices and their exponentials Example 2.1. (This is because we could diagonalize Q by an invertible matrix U: Then 0 (-2t)k 0 ) U. -2. 7= so qii) = P~I (0) = 4b + 16c.4c.I 0 o (-4t)k ~ e- ) U- I . . -2 = qII = P~I (0) = -2b .6. This shows that Q has distinct eigenvalues 0. -4. We begin by writing down the characteristic equation for Q: o = det (x - Q) = x (x + 2) (x + 4).1.2. 4t so PII(t) must have the form claimed.4t for some constants a. band c.2t + ce. Then PII(t) has the form PII(t) = a + be.) To determine the constants we use 1 = PII (0) = a + b + c.3 65 We calculate PII(t) for the continuous-time Markov chain with Q-matrix Q= (~2 2 !1 1 -3 ~) The method is similar to that of Example 1.

the distribution of the Markov chain at time t is the same as the distribution of min{yt.1. Pij (0) == 0. these are the Poisson probabilities of parameter At. In components the forward equation P'(t) = P(t)Q reads P~i(t) = -APii(t). So.. Exercises 2. N}. so Pij(t) = 0 for i > j. where Q= (~2 2 !4 1 -3 ~). A ~.A. First.. P~N(t) = APiN-l(t). for i < N. 2 N-l N Example 2. by induction = e. for i < N.At for i < N. starting from 0.66 2.j-l (t)..o...4 We calculate Pij(t) for the continuous-time Markov chain with diagram given above..~~. 1 -----------. We can solve these equations. PiN(O) = 0. ---41. P~j(t) = -APij(t) + APi. for Pij(t) = e->. The exponential of an upper-triangular matrix is upper-triangular.. Then. The Q-matrix is -A A -A A A -A Q= o A where entries off the diagonal and super-diagonal are all zero. Continuous-time Markov chains I A .. for i < j < N. .. Pii (0) == 1.t (At)j-i (j _ i)!' If i = 0..1 Compute Pll(t) for P(t) = etQ .1. where yt is a Poisson random variable of parameter At... pii(t) i <j < N so.

For example '""" L.J P(Xq1 P(Xt = i for some t E [0.Xtn = in) for n ~ 0. for a countable disjoint union whereas for an uncountable union Ut>o At there is no such rule..2. To avoid these subtleties as far as possible we shall restrict our attention to processes (Xt)t~O which are right-continuous. ... By a standard result of measure theory. .6. This means in this context that for all wEn and t ~ 0 there exists € > 0 such that for t ~ s ~t + €..in E I.Xqn = jn) jl . What consequences do your answers have for the discrete-time Markov chains with these transition matrices? 2.. at least in principle. A continuous-time random process with values in I is a family of random variables X t : n ~ I.00)) = 1-n--+-oo lim = ji..in =l=i where ql. 0 ~ to ~ tl ~ . X t1 = il. . . is an enumeration of the rationals. They arise because. . . any probability connected with the process.2 Continuous-time random processes 2. which is proved in Section 6. the probability of any event depending on a right-continuous process can be determined from its finite-dimensional distributions. There are subtleties in this problem not present in the discrete-time case. .2 Continuous-time random processes Let I be a countable set.. . such as lP(Xt = i) or lP(Xto = io.. These should enable us to find. that is.2 Which of the following matrices is the exponential of a Q-matrix? 67 (a) (~ ~) (b) (~ ~) (c) (~ ~).. ~ t n and i o. or P(Xt = i for some t). q2. .Xtn = in). .1. We are going to consider ways in which we might specify the probabilistic behaviour (or law) of (Xt)t~o.. from the probabilities lP(Xto = io.

this is illustrated below. In the first case the path makes infinitely many jumps. it may explode again. . but only finitely many in any interval [0.1 t The second case is where the path makes finitely many jumps and then becomes stuck in some state forever: • Jo = 0 J. after the explosion time ( the process starts up again. Continuous-time Markov chains I Every path t ~ Xt(w) of a right-continuous process must remain constant for a while in each new state. so there are three possibilities for the sorts of path we get. In this case. maybe infinitely often. t]: • o • • o ~- Jo = 0 1.2 t In the third case the process makes infinitely many jumps in a finite interval.68 2. or it may not.

. So it is convenient to adjoin to I a new state... for n = 1.. They are obtained from (Xt)t~O by for n = 0. This is simply the sequence of values taken by (Xt)t~O up to explosion.-. 00 say. - We call Jo... where inf 0 = 00...-- . J 1 . the final value... the jump times of (Xt)t~O and 8 1 . Note that right-continuity forces 8 n > 0 for all n. .. Jo = 0 t 14----. .. if I n -1 < 00 otherwise.82 . . otherwise X oo is undefined. . Any process satisfying this requirement is called minimal._----. • . the holding times.------e....... and.... We shall not consider what happens to a process after explosion.1... If I n + 1 = 00 for some n........- • .2.. or the jump chain if it is a discrete-time Markov chain. . .. • " .... n==1 00 The discrete-time process (Yn)n~O given by Y n = X Jn is called the jump process of (Xt)t~O.. .2 Continuous-time random processes 69 :. and require that X t = 00 if t ~ (. . The terminology 'minimal' does not refer to the state of the process but to the .2.. ~~~~~ . The (first) explosion time ( is defined by (= supJn = n I:Sn. we define X oo = XJn .

Thus by specifying the joint distribution of 8 1 . and (Yn)n~O we have another 'countable' specification of the probabilistic behaviour of (Xt)t~o. For example. We write T rv E(-X) for short. Suppose T + tiT> s) = E(-X).. 2.00] has exponential distribution of parameter -X (0 ~ -X < 00) if lP(T > t) = e.82. A random variable T: n ~ (0. the probability that X t = i is given by IP(Xt = i) = and lP(Xt n=O L IP(Y 00 n = i and I n :::. t ~ O. . Theorem 2.. If -X > 0.70 2. rv IP(T> s + tiT> s) = P(T> s + t) IP(T> s) = e-A(s+t) e->'s = -At e = IP(T > t). t < I n +1) = i for some t E [0. .At for all t ~ O. Continuous-time Markov chains I interval of time over which the process is active.1 (Memoryless property).3. Note that a minimal process may be reconstructed from its holding times and jump process.00] has an exponential distribution if and only if it has the following memoryless property: lP(T> s Proof. then T has density function The mean of T is given by E(T) = 1 00 IP(T > t)dt = A-I.3 Some properties of the exponential distribution A random variable T : n ~ [0.00)) = lP(Yn = i for some n ~ 0). The exponential distribution plays a fundamental role in continuous-time Markov chains because of the following results. then lP(T > t) for all s.

suppose T has the memoryless property whenever JP>(T> s) > O. by induction so g(l) = e. Since 9 is decreasing. We assumed T > 0 so that g(l/n) > 0 for some n. t ~ O. since we can choose rand s arbitrarily close to t.AT for all rationals r > O. Then. This will be used to determine whether or not certain continuous-time Markov chains can take infinitely many jumps in a finite time. For real t r. (ii) If ~ An 00 1 = 00. JP> (00) = ~ Sn = 00 00. this forces g(t) so T rv E(A).At .A for some 0 ::. By the same argument. Let 8 1 . 8 2 . 1 (i) If~ An < 00 00. A < 00.3 Some properties of the exponential distribution 71 On the other hand. s > 0 with r ::. (i) Suppose E~1 1/ An < Then. . be a sequence of independent random variables with 8 n rv E(A n ) and 0 < An < 00 for all n. t ::. Proof. and gives a criterion for deciding which is true.2. choose rationals e. > 0. 0 The next result shows that a sum of independent exponential random variables is either certain to be finite or certain to be infinite. and. by monotone convergence so . s. then then JP> (00) = ~ Sn < 00 l. .3.AT = g(r) ~ g(t) ~ g(s) = e.. Then g(t) = JP>(T > t) satisfies g(s + t) = g(s)g(t) for all s.q ~ 1 g(p/q) = g(l/q)P = g(l)pjq so g(r) = e. for integers p.2. l.AS = e. Theorem 2.

. Proof.4.3.q t . Set T = inf k T k . otherwise let K be undefined. with probability 1. Then this infimum is attained at a unique random value K of k. Theorem 2. Continuous-time Markov chains I 00. Then rr~o(1 + 1/ An) = By monotone convergence and independence so JP> (f n==l Sn = 00) = 1. be independent random variables with Tk rv E(qk) and 0 < q := EkE! qk < 00.72 2.3. Set K Then = k if T k < T j for all j =I k. lP(K = k and T ~ t) ~ = lP(Tk = 1 it t t and Tj > Tk for all j =I k) 00 qke-qkBP(Tj > s for all j 1= k)ds = (OO qk e . For independent random variables S E(jj) and for t ~ 0.8 in proving the forward equations for a continuous-time Markov chain.3. T and K are independent. q Hence lP(K = k for some k) distribution.qkB 00 IT e-qjBds j# = 1 qke - q 8 qk ds = -e . D The following result is fundamental to continuous-time Markov chains. (ii) Suppose instead that E~11/An = 00. Let I be a countable set and let Tk' k E I. Theorem 2. Moreover. we have rv E(A) and R rv jjJP>(S ~ t < S + R) = AJP>(R ~ t < R+ S). with T rv E(q) and lP(K = k) = qk/q. D = 1 and T and K have the claimed joint The following identity is the simplest case of an identity used in Section 2.

and then subject only to the condition sUPn An < 00. T 2 . We have 73 from which the identity follows by symmetry.3. = 2::1 Ti has exponential distribution of parameter A(3. Is the condition sUPn An < 00 absolutely necessary? 2. first in the special case = 1 for all n.4 Poisson processes Proof.3. T} ~ t} are independent. which provides three different descriptions of a Poisson process. T? Show that the two events {S < T} and {min{S. We shall also see that they may serve as building blocks for the most general continuous-time Markov chain.3.4 Poisson processes Poisson processes are some of the simplest examples of continuous-time Markov chains. both as a gentle warm-up for the general theory and because they are useful in themselves. The reader might well begin with the statement of this result and then see how it is used in the .2.. Exercises D 2. ..4.. be independent exponential random variables with parameters AI. What is the distribution of min{S.2.2 Let Tl. 8 2 . respectively. 2. .. An Use the strong law of large numbers to show. Moreover. n = 1. . So we shall study Poisson processes first. .3.. . that JP> (f Sn = n=l 00) = 1. . The key result is Theorem 2. A2.3 Let 81.1 Suppose Sand T are independent exponential random variables of parameters Q and (3 respectively. be independent exponential random variables of parameter A and let N be an independent geometric random variable with JP>(N Show that T = n) = (3(1 - (3)n-l. T} ? What is the probability that S :::. 2. Show that AlSl is exponential of parameter 1.. a Poisson process is the natural probabilistic model for any uncoordinated stream of discrete events in continuous time. .

... .······ . . .. : . : : . .... : : 0.: ... . .2. .. : ~ .4 t . . : .. } is a Poisson process of rate A (0 < A < 00) if its holding times 8 1.••-------ec... . .-... .'-----------_""""_--------" Jo = (} J.2 (or the strong law of large numbers) we have P(Jn ~ 00) = 1 so there is no explosion and the law of (Xt)t. • .. A right-continuous process (Xt)t. : O...... .. We shall begin with a definition in terms of jump chain and holding times (see Section 2.~o with values in {O. •---00········ ' . 8 2. 8 2 ... + 8 n and then set 5 .... ... Continuous-time Markov chains I theorems and examples that follow. .o4l~---""'-----'-.. . . A simple way to construct a Poisson process of rate A is to take a sequence 8 1 .. : ... -A A -A A Q= By Theorem 2. of independent exponential random variables of parameter A... 2 . 1... . .3.. . are independent exponential random variables of parameter A and its jump chain is given by Yn = n. Here is the diagram: A A A A 234 The associated Q-matrix is given by 1 o . ~ . : ... I n = 81 + . to set Jo = 0....> . 1 ...74 2. :...-- 4 3 : -: :.2).~o is uniquely determined.. ...

. . .4.5. Hence. Let (Xt)t~O be a Poisson process of rate -X. Theorem 2. for On this event Xr = and the holding times L j==1 i l{srSt} for r ::. leads to a memoryless property of the Poisson process. of (Xt)t~O are given by 81 = 8 i +1 as shown in the diagram.2. conditional on {X s = i}. 8 n = 8 i +n for n ~ o ill( s Recall that the holding times 8 1 .Xs)t~O is also a Poisson process of rate -X. .. We now show how the memoryless property of the exponential holding times. Proof.1 (Markov property). We have = i. by an argument in essentially the same spirit that the result also holds with s replaced by any stopping time T of (Xt)t~o.. then by the memoryless property of 8 i +1 and independence. for any s ~ 0. ..3. and independent of 8 1 . 81 ....J i )..1.82 . . conditional on {Xs = i}. Condition on 8 1 .. are themselves independent E(-X).. Theorem 2.. we shall see in Section 6.82 . independent of(Xr : r:::. It suffice~to prove the claim conditional on the event X s each i ~ O.X s . are independent E(-X). (Xt)t~O is a Poisson process of rate A and independent of (X r : r ~ s). . s 81 . 81.82 . . (s . D In fact.8i . Set X t = X s +t .82 . . Hence..8i and {X s = i}.4 Poisson processes 75 The diagram illustrates a typical path. (X s+t . Then. s). are independent E(A). .

82 . right-continuous integervalued process starting from O. as h ! 0. ~ IF(81 ~ h and 8 2 ~ h) = (1 - e. by the Markov property.Ah + o(h).X s depends only on t ~ O. We say that (Xt)t~O has stationary increments if the distribution of X s+t . IF(Xt +h . X t has Poisson distribution of parameter At. uniformly in t. h ~ 0. So (Xt)t~O has independent increments and as h ! 0 lP(Xt+h . (b) (infinitesimal definition) (Xt)t~O has independent increments and. Let (Xt)t.X t has the same distribution as X h and is independent of (X s : s ~ t). .. Proof. of (Xt)t~O are independent exponential random variables of parameter A and the jump chain is given by Yn = n for all n.. IF(Xt +h . Thus we have three alternative definitions of the same process.h = Ah + o(h). If (Xt)t~O satisfies any of these conditions then it is called a Poisson process of rate A. (a) => (b) If (a) holds. for any t.Ah )2 = o(h). Let (Xt)t~O be an increasing. Then..X t = 1) = Ah + o(h).X t ~ 2) = lP(Xh ~ = lP(Xh ~ 1) 2) = lP(J1 = lP(J2 ~ h) ~ h) = 1 . We say that (Xt)t~O has independent increments if its increments over any finite collection of disjoint intervals are independent. conditional on T < 00. the increment X t +h . independent of(Xs:s~T).X t ~ 1) lP(Xt+h .4.X t = 0) = 1 .3. we can consider its increment X t . which gives two conditions equivalent to the jump chain/holding time characterization which we took as our original definition.~o be a Poisson process oErate A and let T be a stopping time oE(Xt)t~o.e-).X s over any interval (s. We come to the key result for the Poisson process. (c) (transition probability definition) (Xt)t~O has stationary independent increments and. Here is some standard terminology. for each t.XT )t~O is also a Poisson process of rate A. t]. If (Xt)t~O is a real-valued process. then.4. (XT +t . Continuous-time Markov chains I Theorem 2. Theorem 2. which implies (b).76 2. Let 0 < A < 00. .2 (Strong Markov property). Then the following three conditions are equivalent: (a) (jump chain/holding time definition) the holding times 8 1 .

But condition (c) determines the finite-dimensional distributions of (Xt)t~O and hence the distribution of jump chain and holding times.4..i) (1 .Pj(t) = ->'Pj(t) + >'Pj-l(t) + O(h).h to obtain for all s. Pj(O) = 0 for j = 1.. for j = 1..4 Poisson processes 77 (b) ::::} (c) If (b) holds. J.1. but also (X s+t .2. so the above argument shows X s +t . uniformly in t. this system of equations has a unique solution given by (At)j Pj(t) = e. consider the . If (Xt)(~O satisfies (b). so must every process satisfying (c). Set Pj(t) = P(Xt = j). then certainly (Xt)(~O has independent increments._.. Hence X t rv P(At). .2.3.. then. for i = 2..X t = i) = o(h) as h ! 0.Ah + o(h) )Pj(t) + (Ah + o(h))Pj-l (t) + o(h) so Pj(t + h~ .Xs)t~O satisfies (b).2. which implies (c). To make this clear. Since X o = 0 we have initial conditions PO(O) = 1. ...1. As we saw in Example 2.At _. j = 0. So if one process satisfying (c) also satisfies (a).. (c) ::::} (a) There is a process satisfying (a) and we have shown that it must then satisfy (c). . Since this estimate is uniform in t we can put t = s . D The differential equations which appeared in the proof are really the forward equations for the Poisson process. .. .?-h Now let h ! 0 to see that Pj(t) is first continuous and then differentiable and satisfies the differential equation By a simpler argument we also find p~(t) = -APO(t).2. . Pj(t + h) = P(XHh = j) = = L P(X i==O j Hh - X t = i) P(Xt = j . Ther:.X s rv P(At). for any s.. we have P(Xt + h .

Zt = 0) = P(Xt+h . in matrix form. for Q as above. uniformly in t. P(Xt+h . (Zt)t~O has independent increments and. Then.3 contains a great deal of information about the Poisson process of rate A. Hence (Zt)t~O is a Poisson process of rate A + J-l. Theorem 2. you might like to consider the difficulties in approaching the next result using the jump chain/holding time definition.APij(t). P(¥t+h . P'(t) = P(t)Q. as h ! 0. We shall use the infinitesimal definition. according to which (Xt)t~O and (yt)t~O have independent increments and.Ah + o(h). and it is likely that one will be easier to check than another.X t == O)lP(yt+h .4. P(Xt+h . respectively.Ah + o( h) )(J-lh + o( h)) = (A + J-l)h + o(h).Ah + o(h))(l . lP(Zt+h . uniformly in t. It can be useful when trying to decide whether a given process is a Poisson process as it gives you three alternative conditions to check. P~j(t) = Pj-i(t). P(Zt+h .yt == 1) == (Ah + o( h) ) (1 . = APi.yt == 0) + lP(Xt+h . On the other hand it can also be useful when answering a question about a given Poisson process as this question may be more closely connected to one definition than another. P(¥t+h .X t = l)lP(yt+h . since (Xt)t~O and (yt)t~O are independent. Set Zt = X t + yt.(A + J-l)h + o(h).J-lh + o(h)) = 1 . D .J-lh + o(h).yt = 0) = (1 . then (Xt + yt)t~O is a Poisson process of rate A + J-l. writing Pi as a reminder. as h ! 0. If (Xt)t~O and (yt)t~O are independent Poisson processes of rates A and J-l.4.X t == 1) == Ah + o(h).¥t = 0) = 1 . Continuous-time Markov chains I possibility of starting the process from i at time 0.j-l(t) . Pij(O) = 8ij or.yt = 1) = J-lh + o(h). by spatial homogeneity Pij(t) differential equations as p~O(t) = -APiO(t). Proof. and set Pij(t) = Pi(Xt = j).X t = O)P(yt+h .J-lh + o( h)) + (1 .X t = 0) == 1 . Then.Zt = 1) = P(Xt+h .78 2.4. and we could rewrite the PiO(O) = 8iO . For example. P(O) = I. Theorem 2.

. . IF(J1 ~ u I X t = IF(J1 ~ u and X t = l)/lF(Xt = = IF(Xu = 1 and X t .tn ) = n! l{o~tl~ . the time at which that jump occurs is uniformly distributed on [s. Notice that the conclusions are independent of the rate of the process considered.. .Xt An 1 = n) = IF((J1.tn)EA 1{O~tl~ . Then. Proof. Let (Xt)t~O be a Poisson process..X(t-u) /(Ate-'xt) = u/t. s + t]..6. Then. .Sn+1 have joint density function An+1 e-'x(Sl +. .. conditional on the event {Xt = n}. . . The results say in effect that the jumps of a Poisson process are as randomly distributed as possible.. Proof. .4... dtn and since IF(Xt = n) = e-. By stationarity of increments.. 1) = 1) D Theorem 2.. Let (Xt)(~O be a Poisson process.. .. .+Sn+l) 1 {Sl . .In ) E A and X t = e-.2.. . .Xu = O)/lF(Xt = 1) = Aue-'xue-.... .. ..Sn+l ~O} so the jump times J1. conditional on {Xt = n}. for o ~ u ~ t. . conditional on (Xt)t~O having exactly one jump in the interval [s.t]... Then. s + t]..In have joint density function f(t1.Xt as required.In have the same distribution as an ordered sample of size n from the uniform distribution on [O.. The holding times S1. ~tn~t}.In+1 have joint density function So for A ~ jRn we have IF((J1. We shall use the finite-dimensional distribution definition. the jump times J 1 .. 0 . ~tn~t}dt1 An In! we obtain ..5.4.In ) E A and I n ~ t < I n+1) (tl . . .. Thus. Theorem 2. the jump times J 1 .4 Poisson processes 79 Next we establish some relations between Poisson processes and the uniform distribution. it suffices to consider the case s = O...

So a robin arrives first with probability p/(p + (3) and. Finally JP>(Bt = k I R t + Bt = n) = JP>(Bt = k and R t = n .80 2. Show also (from the same definition and without assuming the strong Markov property) that and hence that J 2 .7 Robins and blackbirds make brief visits to my birdtable.1 State the transition probability definition of a Poisson process.4. The probability that in any small interval of duration h a robin will arrive is found to be ph+o(h).4 the total number of birds seen in an interval of duration t has Poisson distribution of parameter (p + (3)t. Example 2. and the number of blackbirds is a Poisson process (Bt)t~O of rate (3. Show directly from this definition that the first jump time J1 of a Poisson process of rate A is exponential of parameter A. The times spent waiting for the first robin or blackbird are independent exponential random variables 8 1 and T 1 of parameters p and (3 respectively. the number of robins seen by time (Rt)t~O of rate p. what is the distribution of the number of blackbirds seen in time t? t is a Poisson process By the infinitesimal characterization.4. Exercises 2. What is the probability that the first two birds I see are both robins? What is the distribution of the total number of birds seen in time t? Given that this number is n. whereas the corresponding probability for blackbirds is (3h+o(h). the probability that the first two birds are robins is p2 / (p + (3)2.k)/JP>(Rt + B t = n) ppn k f3 CP f3 = (3k) .4. . Continuous-time Markov chains I We finish with a simple example typical of many problems making use of a range of properties of the Poisson process. by the memoryless property of T 1 . then the distribution of the number of blackbirds is binomial of parameters nand {3/ (p + (3).k)! n! (e- (e- (e- = (~) (p~~)k (p:~)n-k so if n birds are seen in time t.J1 is also exponential of parameter A and independent of J1.)/ + )(p+(3)n) k! (n . By Theorem 2.

at any time whilst crossing. (b) when an island in the middle of the road makes it safe to stop half-way? 2. The data for a birth process consist of birth rates 0 ~ qj < 00. A Geiger counter placed near the source records a fraction p of the particles emitted..2. its holding times 8 1 . 1. } U {oo} is a birth process of rates (qj : j ~ 0) if.4.4. What is the distribution of the number of particles recorded in time t? 2. . and suppose it takes time a to walk across the lane.1. What..5 Birth processes A birth process is a generalization of a Poisson process in which the parameter A is allowed to depend on the current state of the process.3 Arrivals of the Number 1 bus form a Poisson process of rate one bus per hour.. where j == 0. respectively. The particles are each emitted in an independent random direction. conditional on X o == i. .5 Birth processes 81 2..82 .2 Show directly from the infinitesimal definition that the first jump time J 1 of a Poisson process of rate A has exponential distribution of parameter A.2.4. and arrivals of the Number 7 bus form an independent Poisson process of rate seven buses per hour. . a car would pass in either direction). 2. Suppose the number of vehicles that have passed by time t is a Poisson process of rate A. Assuming that the pedestrian can foresee correctly the times at which vehicles will pass by. and its jump chain is given by Y n == i + n. is the probability that I wait for 30 minutes without seeing a single bus? 2.. are independent exponential random variables of parameters qi.5 A pedestrian wishes to cross a single lane of fast-moving traffic. qi+1. then. A minimal right-continuous process (Xt)(~O with values in {O.4.2. (a) What is the probability that exactly three buses pass by in one hour? (b) What is the probability that exactly three Number 7 buses pass by while I am waiting for a Number I? (c) When the maintenance depot goes on strike half the buses break down before they reach my stop. . We begin with a definition in terms of jump chain and holding times.] How long on average does it take to cross two similar lanes (a) when one must walk straight across (assuming that the pedestrian will not cross if. how long on average does it take to cross over safely? [Consider the time at which the first car passes.4 A radioactive source emits particles in a Poisson process of rate A.

82

2. Continuous-time Markov chains I

ql

o

~

1

2

. . ..
q2
~

q3

3

4

.

The flow diagram is shown above and the Q-matrix is given by:

Q=

Example 2.5.1 (Simple birth process) Consider a population in which each individual gives birth after an exponential time of parameter -X, all independently. If i individuals are present then the first birth will occur after an exponential time of parameter iA. Then we have i + 1 individuals and, by the memoryless property, the process begins afresh. Thus the size of the population performs a birth process with rates qi = i-X. Let X t denote the number of individuals at time t and suppose X o = 1. Write T for the time of the first birth. Then E(Xt ) = E(XtlT~t)
=

it

+ E(Xt lT>t)

,xe-ASlE(X

tI

T = s )ds

+ e- At •

Put J-l(t)

= E(Xt ), then E(Xt IT = s) = 2J-l(t - s), so
p,(t)
=

it

2,xe- AS p,(t - s)ds + e- At

and setting r

=t- s

By differentiating we obtain

so the mean population size grows exponentially:

2.5 Birth processes

83

Much of the theory associated with the Poisson process goes through for birth processes with little change, except that some calculations can no longer be made so explicitly. The most interesting new phenomenon present in birth processes is the possibility of explosion. For certain choices of birth rates, a typical path will make infinitely many jumps in a finite time, as shown in the diagram. The convention of setting the process to equal 00 after explosion is particularly appropriate for birth processes!

8

· ~

. . : :

:.. ~ .:•..................

7
6

;
·

:
.

:
:

:.. : .•..................
:.. ~ •...................

; ·

. .

:

5
4 3

:
· ~

:
:
"

:
:

:.. ~
~.:-::

.
.
.

· :
~

. .

:

...-...0. : .:.:

2

..............• ---lIQo"" .:.. : .:.:: ~

.

1 ....................••----.....e~

: :.. :.::

.
t

0---41~------e--------'-----""'--"""-&....&o&_------..

Jo == 0

In fact, Theorem 2.3.2 tells us exactly when explosion will occur. Theorem 2.5.2. Let starting from o. (i) If
(Xt)(~O

be a birth process of rates

(qj

:

j

> 0),

I: 00 00

1

< 00, then P(( < 00)
= 00,

= 1.

j==O qj

1

(ii) If:E j==O qj

then P(( = 00) = 1.
D

Proof. Apply Theorem 2.3.2 to the sequence of holding times 8 1 ,82 ,. . ..

The proof of the Markov property for- the Poisson process is easily adapted to give the following generalization.

84

2. Continuous-time Markov chains I

Theorem 2.5.3 (Markov property). Let (Xt)(~O be a birth process of rates (qj : j 2:: 0). Then, conditional on X s = i, (Xs+t)(~O is a birth process of rates (qj : j ~ 0) starting from i and independent of (X r : r ~ s).
We shall shortly prove a theorem on birth processes which generalizes the key theorem on Poisson processes. First we must see what will replace the Poisson probabilities. In Theorem 2.4.3 these arose as the unique solution of a system of differential equations, which we showed were essentially the forward equations. Now we can still write down the forward equation

P'(t)
or, in components

= P(t)Q,

P(O)

= I.

and, for j = 1, 2, ...

Moreover, these equations still have a unique solution; it is just not as explicit as before. For we must have

which can be substituted in the equation
P~ 1 ( t) = PiO (t )qo - Pi 1 ( t )q1 ,

Pi 1 ( 0)

= 8i 1

and this equation solved to give

Now we can substitute for Pi1(t) in the next equation up the hierarchy and find an explicit expression for Pi2(t), and so on.

Theorem 2.5.4. Let (Xt)t~O be an increasing, right-continuous process with values in {O, 1,2, ... } U {oo}. Let 0 ~ qj < 00 for all j ~ o. Then the following three conditions are equivalent: (a) (jump chain/holding time definition) conditional on X o = i, the holding times 8 1 ,82 , ... are independent exponential random variables of parameters qi, qi+1, . .. respectively and the jump chain is given by Y n = i + n for all n;

2.5 Birth processes

85

(b) (infinitesimal definition) for all t, h ~ 0, conditional on X t = i, X t+h is independent of (X s : s ~ t) and, as h ! 0, uniformly in t,

IF(Xt + h lP(Xt + h

= i I X t = i) = 1 - qih + o(h), = i + 1 I X t = i) = qih + o(h);

(c) (transition probability definition) for all n = 0,1,2, ... , all times to ~ ... ~ tn+l and all states io, ... ,in+l

°

~

where (pij(t) : i,j = 0,1,2, ... ) is the unique solution of the forward equations.
If (Xt)t~O satisfies any of these conditions then it is called a birth process of rates (qj : j ~ 0).
Proof. (a) => (b) If (a) holds, then, by the Markov property for any t, h ~ 0, conditional on X t = i, X t + h is independent of (X s : s ~ t) and, as h ! 0, uniformly in t,

lP(Xt + h ~ i

+ 1 I X t = i) = lP(Xh
~ h I X o = i)

~ i

= IF(Jl
and

=

1-

+ 1 I X o = i) e- qih = qih + o(h),

IF(Xt + h ~ i

+ 2 I X t = i) = IF(Xh

~ i

+ 2 I X o = i)
~ h

= IF( J2 ~ h I X o = i) ~ IF(Sl ~ hand S2 = (1 - e- qih )(l - e- qi + 1h ) = o(h),
which implies (b). (b) => (c) If (b) holds, then certainly for k = i

I X o = i)

+ 2, i + 3, ...

IF(Xt + h
Set Pij(t)

= k I X t = i) = o(h)

as h

! 0, uniformly in t.
1,2, ...

= IF(Xt = j I X o = i).
j

Then, for j

=

Pij(t

+ h) = IF(Xt + h = j I X o = i)
=

LJP>(Xt = k I X o = i)JP>(XHh = j
k==i

IX t

= k)

= Pij(t)(l -

qjh + o(h))

+ Pi,j-l(t)(qj-lh + o(h)) + o(h)

86
so

2. Continuous-time Markov chains I

As in the proof of Theorem 2.4.3, we can deduce that Pij(t) is differentiable and satisfies the differential equation

By a simpler argument we also find

Thus (Pij(t) : i,j = 0,1,2, ... ) must be the unique solution to the forward equations. If (Xt)t;~o satisfies (b), then certainly

but also

(Xtn+t)t;~o

satisfies (b), so

by uniqueness for the forward equations. Hence (c) =* (a) See the proof of Theorem 2.4.3.
Exercise

(Xt)t;~o

satisfies (c).

D

2.5.1 Each bacterium in a colony splits into two identical bacteria after an exponential time of parameter -X, which then split in the same way but independently. Let X t denote the size of the colony at time t, and suppose X o = 1. Show that the probability generating function ¢(t) = E(zX t ) satisfies

Make a change of variables u = t - s in the integral and deduce that d¢/dt = -X¢(¢ - 1). Hence deduce that, for q = 1 - e- At and n = 1,2, ...

the associated diagram transforms into a discrete-time Markov chain diagram simply by rescaling all the numbers on any arrows leaving a state so they add up to 1. As you will see in the following example. putting a 0 on the diagonal. Recall that a Q-matrix on I is any matrix Q = (qij : i. and which underlie many applications. the off-diagonal entries in the ith rovJ of Q and scale them so they add up to 1.1 The Q-matrix Q = (~2 ~1 ~) 2 1 -3 . 0 This procedure is best thought of row by row.6. JEI We will sometimes find it convenient to write qi or q( i) as an alternative notation for -qii. The jump matrix IT = (7rij : i.6 Jump chain and holding times 2. Example 2. (ii) qij ~ 0 for all i =I j. {O 1 ~f qi 1= If qi = O. This provides the most direct mathematical description. then we leave them alone and put a 1 on the diagonal. It also makes possible a number of constructive realizations of a given Markov chain.6 Jump chain and holding times 87 This section begins the theory of continuous-time Markov chains proper. This is only impossible when the off-diagonal entries are all 0. j E I) which satisfies the following conditions: (i) 0 ~ -qii < 00 for all i. (iii) L qij = 0 for all i. where possible. For each i E I we take. j E I) of Q is defined by 7rij 7rii = = qij / qi { 0 if j if j =I i =I i and qi and qi =I 0 = 0. The approach we have chosen is to introduce continuous-time chains in terms of the joint distribution of their jump chain and holding times. which will occupy the remainder of this chapter and the whole of the next.2. The basic data for a continuous-time Markov chain on I are given in the form of a Q-matrix. Let I be a countable set. which we shall describe. We are going to describe a simple procedure for obtaining from a Qmatrix Q a stochastic matrix IT.

We say (Xt)t~O is Markov(.x.see Section 2. .2. . . We can construct such a process as follows: let (Yn)n~O be discretetime Markov(.Y . its holding n times Sl. conditional on yo. IT) and let T 1 . ••• be independent exponential random . IT) and if for each n ~ 1.. A minimal rightcontinuous process (Xt)t~O on I is a Markov chain with initial distribution .1 .Sn are independent exponential random variables of parameters q(Yo). Continuous-time Markov chains I 1 3 1 2 The jump matrix IT of Q is given by II = ( ~ 2/3 1/2 o 1/3 and has diagram: 1 3 3 1 2 Here is the definition of a continuous-time Markov chain in terms of its jump chain and holding times.88 has diagram: 2.x and generator matrix Q if its jump chain (Yn)n~O is discrete-time Markov(.x.x. Recall that a minimal process is one which is set equal to 00 after any explosion . T 2 .q(Yn-1) respectively. Q) for short. ..

Set 8 n I n = 8 1 + .3.j E I..2.. and with an array (T~ : n ~ 1. Both constructions make direct use of the entries in the Q-matrix. 00 ~~ S~+l' n+1 - _ {j 'l . as required. In more mathematical terms. Suppose the door giving access to chamber j from chamber i opens at the jump times of a Poisson process of rate qij and you take every chance to move that you can. .j)t~o : i.. .1. Y n+1 has distribution (7rij : j E I). Imagine the state-space I as a labyrinth of chambers and passages. Then (Xt)t~O has the required properties. .. we begin with an initial state X o = Yo with distribution . for j =I i. 1 if 8~+1 = 8 n + 1 < ·f S n+1 = 00. Then. inductively for n = 0. and with a family of independent Poisson processes {(N. 8 n+1 is exponential of parameter qi = Ej:j=i qij. j E I) of independent exponential random variables of parameter 1. We shall now describe two further constructions. independent of (Yn)n~O. + 8 n and Yn if I n ~ t < I n+1 for some n X t = { 00 otherwise. and independent of yo. .. Then. This construction n shows why we call qi the rate of leaving i and qij the rate of going from i to j.. and Njnj n+l =I Njnj n 'l If I n + 1 = . conditional on Y n = i.j)t~o having rate qij. Here is the second construction.2. nj I n+1 = inf{t > I n : =I Nj: j for some j #lyn } ° Nr Yn + 1 = j { if I + < . the random variables 8~+1 are independent exponentials of parameter qij for all j -=I i. each passage shut off by a single door which opens briefly from time to time to allow you through in one direction only.x is based on the Poisson process. Sn+l = y: J-r-'I.1. (N. rather than proceeding first via the jump matrix. . Then set J o = and define inductively for n = 0.x. . n 1 00 00.1 ).6 Jump chain and holding times variables of parameter 1.. conditional on Yn = i.. We begin with an initial state X o = Yo with distribution . You will need to understand these constructions in order to identify processes in applications which can be modelled as Markov chains. then you will perform a Markov chain with Q-matrix Q.i =I j}. So. Our third and final construction of a Markov chain with generator matrix Q and initial distribution .x. by Theorem 2.3. 89 = T n /q(Yn.2. .Y and 8 1 . . if Y n = i we set 8~+1 = T~+l/qij. and 8 n + 1 and Y n + 1 are independent.8n . ..

2: for a process with jump times Jo..l) =1= (i. J 1 is exponential of parameter qi = Lj#i qij. by the strong Markov property of the Poisson process N.j). The conditioning on which this argument relies requires some further justification. .. .7.7 Explosion We saw in the special case of birth processes that.90 2. . Q)..j : s ~ T).j). In particular. Recall the notation of Section 2. J 1.. are independent E(l) and independent of (Yn)n~O.3. (XT+t)t~O has the same distribution as (Xt)t~O and is independent of (X s : s ~ T). . .. and i is recurrent for the jump chain. so we shall not rely on this third construction in the development of the theory.8n · Hence (Xt)t~O is Markov(-X. Let (Xt)t~O be Markov(-X. 2.j : s ~ t). This phenomenon is called explosion. conditional on I n < 00 and Y n = i. and independent of X o and (Ntkl)t~O for (k. (Xt)t~O has the strong Markov property. moren over. the explosion time ( is given by Sn n==l Theorem 2. . Proof. Q) and. although each holding time is strictly positive.1 )Sn. 8 2 . In cases (i) and (ii).j.j := N!}+t . and holding times 8 1 .j)t~o is exponential of parameter qij. and independent of yo. q = SUPi qi < 00 and 00 . especially when the state-space is infinite.N!} is a Poisson process of rate qij independent of (N. by Theorem 2. . So. Continuous-time Markov chains I The first jump time of (N. . 8 n+1 is exponential of parameter qi. Now suppose T is a stopping time of (Xt)t~o. which are independent of N. conditional on T < 00 and XT = i..3. . and 8 n +1 and Y n +1 are independent. So. If we condition on X o and on the processes (Ntkl)t~O for (k. we can take T = I n to see that. Y n+1 has distribution (7rij : j E I).. J2.Y and 8 1 . and J 1 and Y1 are independent. Then explode if anyone of the following conditions holds: (i) I is finite. then T 1 .1.l) =1= (i. Hence. T 2 .. (ii) sup qi < 00. o (= supJn = n 2: 00 (Xt)t~O does not iEI (iii) X o = i. then {T ~ t} depends only on (N.. conditional on Yo = i. Y1 has distribution (7rij : j E I). one can run through a sequence of states with shorter and shorter holding times and end up taking infinitely many jumps in a finite time. Set Tn = q(Yn.

• •• . Condition on X o = i. we know that often. D (Yn)n~O 91 visits i infinitely L m==l 00 TN". (XJl+t)t~O is Markov(8k. 7 Explosion with probability 1. Theorem 2.2. Zi ~ Zi (ii) Qz = Oz. Then qi( ~ with probability 1. Let (Xt)t~O be a continuous-time Markov chain with generator matrix Q and write ( for the explosion time of (Xt)t>o. Otherwise Q is non-explosive. Fix () > 0 and set Zi = Ei(e-(}().2. Proof. J 1 is E(qi) and Moreover. Q). Moreover.+! = 00 We say that a Q-matrix Q is explosive if. ifz also satisfies (i) and (ii). The result just proved gives simple conditions for nonexplosion and covers many cases of interest. As a corollary to the next result we shall obtain necessary and sufficient conditions for Q to be explosive. conditional on XJ 1 = k. at times N 1 . by the Markov property of the jump chain at time n = 1. say. Then Z = (Zi : i E I) satisfies: - (i) IZil ~ 1 for all i.7. N 2 . Here as in Chapter 1 we denote by Pi the conditional probability Pi(A) = P(AIXo = i). The time and place of the first jump are independent. It is a simple consequence of the Markov property for (Yn)n>O that under Pi the process (Xt)t>o is Markov(8i . then for all i. In case (iii).7.Q) and independent of J 1 • So and . for the associated Markov chain Pi (( < 00) > 0 for some i E I.1. but these are not as easy to apply as Theorem 2.

9 () = o.9Jn ) ~ ~ then. For each (J > 0 the following are equivalent: (a) Q is non-explosive. Then qikZk (0 . in particular for all i. by symmetry z ~ 0. hence z ~ 0. D Corollary 2. if (b) holds. Suppose inductively that z. Continuous-time Markov chains I qi Recall that = -qii and q(Jrik = qik.9() = 0 for all i.92 2.3. Qz = (Jz and Izl ~ 1 imply Zi ~ E i (e. Proof. By the theorem. If (a) holds then JP>i(( = 00) = 1 so E i (e. (b) Qz = (Jz and IZil ~ 1 for all i imply z = o. D . since z satisfies (ii) Hence Zi ~ E i (e.9 ().qii)Zi =L k#i so OZi = Lqikzk kEI and so z satisfies (i) and (ii). On the other hand. so Zi ~ Zi for all i. so JP>i(( = 00) = 1 and (a) holds. -< E·(e. By monotone convergence as n ~ 00. Note that the same argument also shows that Suppose that z also satisfies (i) and (ii).9Jn ) for all n. and hence (b) holds. then by the theorem E i (e.7. then.

1 on the Poisson process gives the main idea in a simpler context. Q) and independent of (Xs : s ~ T).i-l = J-lqi ° (i) (ii) (iii) A = J-l. where there is a .2.~o be a Markov chain on the integers with transition rates and qij = if Ij .00] is a stopping time of (Xt)t~O if for each t E [0. write down a necessary and sufficient condition for (Xt)t. Why is this condition necessary for (Xt)t~O to be explosive for all J-l E [0.1/2)? Show that.4. In fact.~o to be explosive. conditional on T < 00 and XT = i.1 Let (Xt )t.i+l = Aqi. which will in particular give us a means to find IPi(Xt = j). so we have deferred it to Section 6. However. In this section we shall obtain two more ways of characterizing a continuous-time Markov chain. In the case where J-l = 0. the first step is to deduce the Markov property from the jump chain/holding time definition. (XT+t)t~O is Markov(8i . (Xt)t~O is non-explosive if and only if one of the following conditions holds: ° qi.00) the event {T ~ t} depends only on (X s : s ~ t). E~ll/q-i = 00.il ~ 2. qi.1 (Strong Markov property). we shall give the strong Markov property as this is a fundamental result and the proof is not much harder. Let (Xt)t~O be Markov(A. Theorem 2. Theorem 2. If you want to understand what happens. that X t hits i. Recall that a random variable T with values in [0. in general.8 Forward and backward equations Although the definition of a continuous-time Markov chain in terms of its jump chain and holding times provides a clear picture of the process.5. (b) the expected total time spent in state i. We come to the key result for continuous-time Markov chains. we might wish to calculate IPi(Xt = j). starting from 0. As for Poisson processes and birth processes. For example.8. it does not answer some basic questions. starting from 0. the proof of both results really requires the precision of measure theory. where A + J-l = 1 and qi > for all i. We shall present first a version for the case of finite state-space. Then. Q) and let T be a stopping time of (Xt)t~o. A > J-l and A < J-l and E~l 1/ qi = 00. 2.7. Find for all integers i: (a) the probability.8 Forward and backward equations Exercise 93 2.

We say that (Xt)(~O is Markov(>.8n n are independent exponential random variables of parameters q(Yo).2.. Let Q be a Q-matrix on I with jump matrix II..e-qih)7rije-qjh = qijh + o(h).Y . . Y1 = j. If (Xt)t. for all j (c) (transition probability definition) for all n = 0. IT) and for each n ~ 1. h ~ 0.1 .. . In this case there are three alternative definitions. (a) =* (b) Suppose (a) holds. the jump chain (Yn)n~O of (Xt)t~O is discrete-time Markov(8 i .. and for j =I i we have JP>i(Xh = j) ~ JP>(J1 ~ h.. conditional on X t = i.~o be a right-continuous process with values in a finite set I. Then the following three conditions are equivalent: (a) (jump chain/holding time definition) conditional on X o = i. . 1. . as h ! 0.~o satisfies any of these conditions then it is called a Markov chain with generator matrix Q.. P(o) = I. Thus for every state j there is an inequality .94 2. . Let (Xt)t. Proof..in +1 °::.. is the distribution of X o. then. uniformly in t. Theorem 2. Xt+h is independent of (X s : s ~ t) and..q(Yn . j E I. all times to ~ t 1 ~ . . the holding times 8 1 . ~ t n +1 and all states io. as h ! 0.. where>. .. t ~ 0) is the solution of the forward equation P'(t) = P(t)Q... Continuous-time Markov chains I simpler proof. . . just as for the Poisson process. conditional on yo.. 2.8. . .1 ) respectively. 8 2 > h) = (1 . Q) for short. (b) (infinitesimal definition) for all t. where (Pij (t) : i.

we see that Pij(t) is differentiable on the right.Pij(t) = LPik(t)qkj + O(h) kEI so. as h = lFi(Xt = j) = IF(Xt = j I X o = i). D We know from Theorem 2. as h ! 0. and satisfies the forward equations ° p~/t) = LPik(t)qkj. for any t. .1 that for I finite the forward and backward equations have the same solution.1. X t + h is independent of (X s : s ~ t) and. if (b) holds. kEI Pij(O) = 8ij . ! 0.1. (b) holds for (Xtn+t)(~O so. Also. h ~ 0. then and.1. (c) :::} (a) See the proof of Theorem 2. letting h ! 0. then differentiable on the left.2.h in the above and let h ! to see first that Pij(t) is continuous on the left. Since I is finite. h ~ 0. hence differentiable. moreover. Then by the Markov property. kEI Since I is finite we have Pij(t + h~ .3. Indeed. uniformly in t kEI If (b) holds. there is a slight variation of the argument from (b) to (c) which leads directly to the backward equation.4. then Pij(t + h) = LlPi(Xt = k)IP(XHh = j = I X t = k) LPik(t)(8kj + qkjh + o(h)). So in condition (c) of the result just proved we could replace the forward equation with the backward equation.8 Forward and backward equations 95 and by taking the finite sum over j we see that these must in fact be equalities. Pij(t) is then the unique solution by Theorem 2. Then by uniformity we can replace t by t . conditional on X t = i. by the above argument. uniformly in t (b) :::} (c) Set Pij(t) for all t. proving (c).

in (c) we see that P(O. though uniform in t.3.j E I) satisfies P(t.96 2. Note that if I is finite we must have P(t) = etQ by Theorem 2.. . A solution to the backward equation is any matrix (pij(t) : i.t) (I+t~ +o(~))n. t ~ O.~). t + h) = I + Qh + o(h) = P(O.1..4. Some care is needed in making this precise. Here is the key result for Markov chains with infinite state-space.t)=p(o. We call (P(t) : t ~ 0) the minimal non-negative semigroup associated to Q. P(O) =I only now we have an infinite system of differential equations P~j(t) = L qikPkj(t). The backward equation may still be written in the form P'(t) = QP(t). + h) + h) = P(Xt +h = j I X t = i).1 no longer apply. t n -4 eq as n -4 00. the qualifications minimal and nonnegative being understood. p((n~l)t.8. t and Pij(t. or simply the semigroup of Q. are not a priori identical.j E I) of differentiable functions satisfying this system of differential equations. On the other hand. Let Q be a Q-matrix. = (Pij(t. There are just two alternative definitions now as the infinitesimal characterization become problematic for infinite state-space. Then the backward equation P'(t) = QP(t).1. This solution forms a matrix semigroup P(s)P(t) = P(s + t) for all s. Theorem 2. We shall prove this result by a probabilistic method in combination with Theorem 2. P(O) =I has a minimal non-negative solution (P(t) : t 2: 0). since the o(h) terms. kEI Pij(O) = 15ij and the results on matrix exponentials given in Section 2. We turn now to the case of infinite state-space.~)p(~.8. t + h) : i. Continuous-time Markov chains I The deduction of (c) from (b) above can be seen as the matrix version of the following result: for q E lR we have (1 + ~ + o( ~) ) Suppose (b) holds and set then P(t. t) = etQ .

.4.. XJI = k. the jump chain (Yn)n~O of (Xt)t~O is discrete-time Markov(8i.q(Yn.2. . t < J1) + LJP>i(J1 ::. II) and for each n ~ 1.4..2.. Proof of Theorems 2. .1 ) respectively. (b) (transition probability definition) for all n = 0.i n+l If (Xt)t~O satisfies any of these conditions then it is called a Markov chain with generator matrix Q. Conditional on X o = i we have J 1 rv E(ql) and X J1 rv (7rik : k E I). Q).8.8 Forward and backward equations 97 Theorem 2..Y .8. . . . So let us define P(t) by Pij(t) =JP>i(Xt =j). We say that (Xt)t~O is Markov (A.s in each of the integrals.s)ds. Let Q be a Q-matrix on I with jump matrix IT and semigroup (P(t) : t ~ 0). il.s)ds.8n n are independent exponential random variables of parameters q(Yo). t. Then conditional on J 1 = sand X J1 = k we have (X8+t)t~O rv Markov(8k. . (2. Let (Xt)(~O be a minimal right-continuous process with values in I. So and JP>i(J1 ::. . ~ t n+l and all states io. XJl k#i = k.3 and 2. where A is the distribution of X o.2) . Step 1... interchange sum and integral by monotone convergence and multiply by eqit to obtain eQitpij(t) = 8ij + Jo tL k#i qieQiU7rikPkj(u)du.1 . X t = j) = Therefore Pij(t) = I t qie-QiS7rikPkj(t . conditional on yo. . . Q) for short. We know that there exists a process (Xt)t~O satisfying (a). JP>i(Xt = j. the holding times 8 1 . t. .1... . all times 0 ~ to ~ tl ~ . Make a change of variable u = t . X t = j) (2. Then the following conditions are equivalent: (a) (jump chain/holding time definition) conditional on X o = i.1) = e-Qit8ij + 2: k#i Jo t qie-QiS7rikPkj(t . We show that P(t) satisfies the backward equation.8...

on rearranging. Let us suppose inductively that for all i. j and t. Continuous-time Markov chains I This equation shows. it also satisfies the integral form: If P(t) 2 0.1) also shows that JP>i(Xt =j. if P(t) satisfies the backward equation. hence P(t) is the minimal non-negative solution. we (2.5) we have for all i. The integral equation (2.1) is called the integral form of the backward equation. that Pij (t) is continuous in t for all i. j. Then. L k#i Recall that obtain qi = -qii and qik = qi'lrik for k =I i.1) to (2. hence continuous. and hence Pij (t) is differentiable in t and satisfies eqit(qiPij(t) + P~j(t)) = qieqit7rikPkj(t). The argument used to prove (2. t - s < In)ds. then.98 2. then P(t) ~ P(t).t < I n +l) = e-qit15ij +L k=li Jo rt qie-QiS7rikJP>k(Xt-s = j. the integrand is then a uniformly converging sum of continuous functions. firstly. Step 2. .3) P~j(t) = L qikPkj(t) kEI so P(t) satisfies the backward equation. (2. then for all i.3). by reversing the steps from (2. j and t. We show that if P(t) is another non-negative solution of the backward equation.4) and (2. Secondly. j and t. then by comparing (2.4) On the other hand.

2.3. j and t. 99 Step 3. . P(O) = I. We need the following time-reversal identity.3. that by the Markov property (Xt)t~O satisfies (a). Hence (P(t) : t ~ 0) is a matrix semigroup.4. The argument is a little longer because there is no reverse-time Markov property to give the conditional distribution. we condition on the last event before time t.4.j E I) of differentiable functions satisfying this system of equations.. instead of conditioning on the first event. Remember that the finite state-space results of Section 2. Suppose. (c) :::} (a)). a simple version of which was given in Theorem 2.Xtn = in) = Pin (Xtn+l-tn = in+1) = Pi nin+l (tn+l . This time. D So far we have said nothing about the forward equation in the case of infinite state-space. kEI Pij(O) = 8ij .4 by the usual argument that (b) must now imply (a) (see the proof of Theorem 2. Step 4. .tn) so (Xt)t~O satisfies (b).8. Since (Xt)t~O does not return from 00 we have Pij(S + t) = lPi(Xs +t = j) = LlPi(XS +t = j kEI I X s = k)lPi(Xs = k) = :ElPi(Xs = k)lPk(Xt = j) = :EPik(S)Pkj(t) kEI kEI by the Markov property. P(Xtn +1 = i n+1 IXto = io. We shall show that the semigro~p (P( t) : t ~ 0) of Q does satisfy the forward equations. This completes the proof of Theorem 2.8.4.3 and 2. We complete the proof of Theorem 2. Then.8..8.3. by a probabilistic argument resembling Step 1 of the proof of Theorems 2. Hence for all i.1 are no longer valid. . as we have throughout. The forward equation may still be written P'(t) = P(t)Q. A solution is then any matrix (pij(t) : i.8 Forward and backward equations and the induction proceeds. now understood as an infinite system of differential equations p~/t) = LPik(t)qkj.

100

2. Continuous-time Markov chains I

Lemma 2.8.5. We have

qinJP(Jn ~ t < I n+ 1 I Yo = io, Y 1 = i 1, ... ,Y = in) n = qioJP(Jn ~ t < I n+1 I Yo = in,· .. , Y n - 1 = iI, Y n

= io).

Proof· Conditional on Yo = i o, ... ,Y = in, the holding times 8 1 , ... ,8n+ 1 n are independent with 8k rv E(qik_l). So the left-hand side is given by

Jt:!..(t)

{

qi n exp{ -qi n (t -

Sl -

· ·· -

sn)}

k=l

IT

qik-l exp{ -qik-l Sk}dsk

where Ll(t) = {(SI, ... ,sn) : SI + ... + Sn ~ t and SI, ... ,8 n ~ O}. On making the substitutions Ul = t - 81 - ... - Sn and Uk = 8 n -k+2, for k = 2, ... ,n, we obtain

qinJP(Jn ~ t < I n+ 1 I Yo
=

= i o,·

.. ,Y = in) n

Jt:!..(t)

(

qio exp{ -qio(t - U1 - · .. - Un)}
~

k=l

IT

qin-k+l exp{ -qin-k+l Uk}duk
= io).

= qioJP(Jn

t < I n+ 1 I Yo

= in, . ..

,Y - 1 = iI, Y n n

D

Theorem 2.8.6. The minimal non-negative solution (P(t) : t 2: 0) of the backward equation is also the minimal non-negative solution of the forward equation P'(t) = P(t)Q, P(O) = I.
Proof. Let (Xt)t~O denote the minimal Markov chain with generator matrix Q. By Theorem 2.8.4

00

= L

LJP>i(Jn ::; t < In+i, Y n- 1 = k, Y n = j).
~

n==O k=j:j

Now by Lemma 2.8.5, for n

1, we have

JPi(Jn ~ t < I n+ 1 I Y n - 1 = k, Y n = j) = (qi/qj)JPj(Jn ~ t < I n+ 1 I Y1 = k, Y n = i)
= (qi/Qj)

= qi

I

it

qje-QjBJP>k(Jn_1 ::; t -

S

< I n I Yn-1 = i)ds

t

e- QjB (qk/qi)JP>i (In-1 ::; t - s < I n I Yn - 1 = k)ds

2.8 Forward and backward equations

101

where we have used the Markov property of (Yn)n~O for the second equality. Hence
Pij(t) = 8ije-qit

+

f
00

'2: i t JP>i(Jn-l ::; t 0
X

s
1

< I n I Yn -

1

= k)

n=lki=i

IPi(Yn -

= k, Yn = j)Qke-qj8ds

= 8ije-qit + L
= 8ije-qit

L

io
0

ft
JP>i(Jn-l ::; t -

s < I n , Yn - 1 =

k)qk'lrkje-qjSds

n=lki=i

+

io

t '2:Pik(t k#j

s)qkje-qjSds

(2.6)

where we have used monotone convergence to interchange the sum and integral at the last step. This is the integral form of the forward equation. Now make a change of variable u = t - s in the integral and multiply by eqjt to obtain (2.7) We know by equation (2.2) that eqitpik(t) is increasing for all i, k. Hence either '2:Pik(U)qkj converges uniformly for u E [0, t]
ki=i

or
LPik(U)qkj =
ki=j
00

for all u ~ t.

The latter would contradict (2.7) since the left-hand side is finite for all t, so it is the former which holds. We know from the backward equation that Pii (t) is continuous for all i, j; hence by uniform convergence the integrand in (2.7) is continuous and we may differentiate to obtain

P~j(t) + Pij(t)qj

= '2:Pik(t)qkj. ki=i

Hence P(t) solves the forward equation. To establish minimality let us suppose that Pij(t) is another solution of the forward equation; then we also have

102

2. Continuous-time Markov chains I
~

A small variation of the argument leading to (2.6) shows that, for n

0

Pi(Xt = j, t < I n + 1 )

= 8ije-qit +
If P(t) ~ 0, then

L

(t IP\(Xt = j, t < In)qkje-QjBds.

(2.8)

k#jJo

P(Xt = j, t < J o) = 0
Let us suppose inductively that

~ Pij (t)

for all i, j and t.

then by comparing (2.7) and (2.8) we obtain

and the induction proceeds. Hence

Exercises 2.8.1 Two fleas are bound together to take part in a nine-legged race on the vertices A, B, C of a triangle. Flea 1 hops at random times in the clockwise direction; each hop takes the pair from one vertex to the next and the times between successive hops of Flea 1 are independent random variables, each with with exponential distribution, mean 1/ A. Flea 2 behaves similarly, but hops in the anticlockwise direction, the times between his hops having mean 1/ Il. Show that the probability that they are at A at a given time t > 0 (starting from A at time t = 0) is

2.8.2 Let

(Xt)t;~o

Iln = nil, and assume that X o = 1. Show that h(t) =

be a birth-and-death process with rates An = nA and P(Xt = 0) satisfies

2.9 Non-minimal chains
and deduce that if A =I J-l then

103

2.9 Non-minimal chains
This book concentrates entirely on processes which are right-continuous and minimal. These are the simplest sorts of process and, overwhelmingly, the ones of greatest practical application. We have seen in this chapter that we can associate to each distribution A and Q-matrix Q a unique such process, the Markov chain with initial distribution A and generator matrix Q. Indeed we have taken the liberty of defining Markov chains to be those processes which arise in this way. However, these processes do not by any means exhaust the class of memoryless continuous-time processes with values in a countable set I. There are many more exotic possibilities, the general theory of which goes very much deeper than the account given in this book. It is in the nature of things that these exotic cases have received the greater attention among mathematicians. Here are some examples to help you imagine the possibilities.

Example 2.9.1
Consider a birth process (Xt)t~O starting from 0 with rates qi = 2i for i ~ We have chosen these rates so that
00 00

o.

Lq:;l = L2-i < 00
i=O i=O

which shows that the process explodes (see Theorems 2.3.2 and 2.5.2). We have until now insisted that X t = 00 for all t 2 (, where ( is the explosion time. But another obvious possibility is to start the process off again from o at time (, and do the same for all subsequent explosions. An argument based on the memoryless property of the exponential distribution shows that for 0 ~ to ~ . . . ~ t n + 1 this process satisfies

for a semigroup of stochastic matrices (P(t) : t ~ 0) on I. This is the defining property for a more general class of Markov chains. Note that the chain is no longer determined by A and Q alone; the rule for bringing (Xt)t~O back into I after explosion also has to be given.

104 Example 2.9.2

2. Continuous-time Markov chains I

We make a variation on the preceding example. Suppose now that the jump chain of (Xt)t~O is the Markov chain on Z which moves one step away from o with probability 2/3 and one step towards 0 with probability 1/3, and that Yo = O. Let the transition rates for (Xt)t~O be qi = 21il for i E Z. Then (Xt)t~O is again explosive. (A simple way to see this using some results of Chapter 3 is to check that (Yn)n~O is transient but (Xt)t~O has an invariant distribution - by solution of the detailed balance equations. Then Theorem 3.5.3 makes explosion inevitable.) Now there are two ways in which (Xt)t~O can explode, either X t ~ -00 or X t ~ 00. The process may again be restarted at 0 after explosion. Alternatively, we may choose the restart randomly, and according to the way that explosion occurred. For example if X t if X t
~ -00 ~ 00

i( as t i (
as t

where Z takes values ±1 with probability 1/2. Example 2.9.3 The processes in the preceding two examples, though no longer minimal, were at least right-continuous. Here is an altogether more exotic example, due to P. Levy, which is not even right-continuous. Consider for n
~

0

and set I = UnD n . With each i E D n\Dn- 1 we associate an independent exponential random variable Si of parameter (2 n )2. There are 2n - 1 states in (Dn\Dn-l) n [0,1), so, for all i E I

and

Now define if

L Sj :::; t < L Sj for some i E I
j<i
j~i

otherwise.

C. We hope these three examples will serve to suggest some of the possibilities for more general continuous-time Markov chains.-L. For further reading. San Francisco.0). at j say. We shall show that the two norms are equivalent and that IQI is well adapted to sums and products of matrices. Chung (Springer. The Lebesgue measure of the set of times t when X t = 00 is zero. The supremum defining IIQlloo is achieved. . for 0 ~ to ~ . IIQlloo is finite for all Q and controls the size of the entries in Q. G.. We have (a) (b) IIQlloo ~ IQI ~ NIIQlloo.. 1994). for the vector Cj = (0. Between any two distinct states i and j it makes infinitely many visits to 00. Berlin. 2nd edition. . or else Markov Chains with Stationary Transition Probabilities by K.10. Rogers and D.10 Appendix: matrix exponentials 105 This process runs through all the dyadic rationals i E I in the usual order. with 1 in the jth place. . The details may be found in Markov Chains by D. Chichester. (a) For any vector v we have IQvl ~ IQllvl. we have IQcjl ~ IQI. so IIQII~ ~ L(qij)2 = IQcjl2 i ~ IQI 2.2. 1967). In particular.. v#O IIQlloo = sup Iqijl· i. ~ tn+l In particular.. .1 for an exponential time of parameter 1. 2nd edition.10 Appendix: matrix exponentials Define two norms on the space of real-valued N x N -matrices IQI = sup IQvl/lvl.j Obviously. P(Xt = 00) = 0 for all t ~ O. There is a semigroup of stochastic matrices (P(t) : t ~ 0) on I such that. Vol 1: Foundations by L. Williams (Wiley. which IIQlloo is not. Freedman (Holden-Day..1. Lemma 2. . 1971). IQl + Q21 ~ IQll + IQ21 and IQIQ21 ~ IQIIIQ21· Proof.. It remains in i E D n \Dn . or Diffusions. Markov Processes and Martingales.1. 2. see Freedman's book.

E(m))iil ~ IIE(n) .E(m)1 n k=m+l n Lkf IQl k E~o IQl k /k! converges by the ratio test. .. Continuous-time Markov chains I IQvI 2 = ~ (~qijVj) 2 ~ ~ ( ~ IIQllooIVjl) = 2 NIIQII~ ( ~ IVjl) 2 and..k!· LJ k=m+l IQI ~ NllQlloo < 00. n k=m+l ' " . . we have I(E(n) .1. by the Cauchy-Schwarz inequality (b) For any vector v we have I(QI + Q2)vl ~ IQI V I + IQ2 V l ~ (IQll + IQ21)1vl. .E(m)lloo ~ IE(n) . so Qk < Since '" . and m ~ = L k=O n Qk kf' n.k! LJ IQl k ~O as m.106 On the other hand 2. IQIQ2 V ~ IQI11Q2 V l ~ IQIIIQ21Ivl· l D Now for n = 0.2.n ~ 00. consider the finite sum E(n) For each i and j.

2.) - ~ (tQ)fj L. which therefore converges.j. Finally. indeed.. _ '1. proving that Qk e Q = L kf k=O CX) is well defined and. that the power series (e t Q ) .-J k! k=O has infinite radius of convergence for all i.10 Appendix: matrix exponentials 107 Hence each component of E(n) forms a Cauchy sequence. for two commuting matrices Q1 and Q2 we have .

jEI We set qi IT = (7rij : = q(i) = -qii. Note that II is a stochastic matrix. All the facts from Chapter 2 that are necessary to understand this synthesis are reviewed in Section 3. Associated to any Q-matrix is a jump matrix i.j E I) given by 1r. _ { ~J 7r. Recall that a Q-matrix on I is a matrix Q = (qij : i.. allowing us to deduce analogues. this chapter should look reassuringly familiar.. You will require a reasonable understanding of Chapter 1 here. Exercises remain an important part of the text. (ii) qij 2 0 for all i =I j. _ ~~ - {o qij / qi 0 1 if j if j =I i =I i and qi =I 0 and qi = 0.1 Basic properties Let I be a countable set. 3. if qi if qi =I 0 = o. for continuous-time chains. but. of all the results given in Chapter 1.j E I) satisfying the following conditions: (i) 0 ~ -qii < 00 for all i.3 Continuous-time Markov chains II This chapter brings together the discrete-time and continuous-time theories. given such an understanding.1. (iii) L qij = 0 for all i. .

+ 8 n . given that the chain starts at i. Briefly. a right-continuous process (Xt)t~O runs through a sequence of states Yo. in terms of jump chain and holding times.· ..qin -1 . choosing state j with probability 1rij. (b) conditional on Yo = i o. The distribution -X gives the initial distribution... but equivalent.. . Y1 . J 2 .. respectively and jumping to the next state at times J1. . (8n )n>1 are the holding times and (In )n>1 are the jump times... jump chain and explosion. E I) with non- LPij ::. states that (a) (Yn)n~O is Markov(-X. The explosion time ( is given by 00 ( = '""" 8 n = n--+-oo I n . jump times. .. . The first. . .1 Basic properties A sub-stochastic matrix on I is a matrix P negative entries and such that 109 = (Pij : i. the distribution of X o.. The Q-matrix is known as the generator matrix of (Xt)t~O and determines how the process evolves from its initial state.. t 2 o. . It then starts afresh. Y2 . the holding times 8 1 .. . An important point is that a minimal right-continuous process is determined by its jump chain and holding times. forgetting what has gone before. You will need to be familiar with the following terms introduced in Section 2.Sn n are independent exponential random variables of parameters qi o ' . J 3 .J n=l For a minimal process we take a new state 00 and insist that X t = 00 for all t 2 (. As the name implies we have P(s)P(t) = P(s + t) for all s.Y . . The discrete-time process (Yn)n~O is the jump chain. The data for a continuous-time Markov chain (Xt)t~O are a distribution -X and a Q-matrix Q. Thus I n = 8 1 + . ways to describe how the process evolves. it waits there for an exponential time of parameter qi and then jumps to a new state.2: minimal right-continuous random process. 1 jEI for all Associated to any Q-matrix is a semigroup (P(t) : t 2 0) of sub-stochastic matrices P(t) = (Pij(t) : i. j i.j E I). Put more simply.1 = in-I.8 that there are two different. being held in these states for times 8 1 . . lim L. holding times. IT).3.83 . We established in Section 2. .82 ..

.7. all times 0 i o. in terms of the semigroup. by time t it is found in state j with probability Pij (t). The semigroup P(t) is referred to as the transition matrix of the chain and its entries Pij (t) are the transition probabilities. that is. states that the finitedimensional distributions of the process are given by (c) for all n = 0. given that the chain starts at i. The information coming from these two descriptions is sufficient for most of the analysis of continuous-time chains done in this chapter. . . where ~ and P(h) are defined on IU{oo}. This description implies that for all h > 0 the discrete skeleton (Xnh)n~O is Markov(.. In the case where I is finite. kEI Pij(O) = 8ij . P(h)). P(h)). and is the unique solution of the backward and forward equations. Continuous-time Markov chains II The second description. In the case where Pioo(t) := 1 . we should say Markov(~. in the explosive case. P(O) = I. when P(t) is strictly sub-stochastic.8 that the semigroup is characterized as the minimal non-negative solution of the backward equation P'(t) = QP(t). ..x and P(h) by ~oo = 0 and Pooj(h) = O. forgetting what has gone before.i n + 1 ~ to ~ tl ~ .110 3. iI. P(O) = I which reads in components P~j(t) = L qikPkj(t). .. extending. But there is no danger of confusion in using the simpler notation.2. except via the process! This extra information will be required when we discuss reversibility in Section 3. So we recall from Section 2. put more simply. Strictly. P(t) is simply the matrix exponential etQ .:EPij(t) > 0 jEI the chain is found at 00 with probability Pi 00 (t). . It then starts afresh.x.1.. ~ tn+l and all states Again. The semigroup is also the minimal non-negative solution of the forward equation P'(t) = P(t)Q.. Note that we have not yet said how the semigroup P(t) is associated to the Q-matrix Q.

We say i communicates with j and write i ~ j if both i ~ j and j ~ i.2.1.. (ii) i ~ j for the jump chain. Implications (iv) => (v) => (i) => (ii) are clear. then for all t > 0. in = j and '1rioi l '1rili2 . closed class..1 shows that the situation is simpler than in discrete-time..2. where it may be possible to reach a state.1. Qin-li n > 0 for some states io..2 Class structure 111 A first step in the analysis of a continuous-time Markov chain (Xt)t~O is to identify its class structure. If qij > 0. then by Theorem 1. . We emphasise that we deal only with minimal chains. .. as discussed in Section 1.2. We say that i leads to j and write i ~ j if lPi(Xt =j for some t ~ 0) > o. For distinct states i and j the following are equivalent: (i) i ~j. so if (iii) holds.2 Class structure 3.3 Hitting times and absorption probabilities Let (Xt)t>o be a Markov chain with generator matrix Q.3.. but only after a certain length of time. and then only periodically.. Then the class structure is simply the discrete-time class structure of the jump chain (Yn)n~O. i I .in with i o i in = j.2. (v) Pij(t) > 0 for some t > o. those that die after explosion.. The hitting time of a subset A of I is the random variable D A defined by . and (iv) holds. = i. there are states io. If (ii) holds. Pin-lin (tin) > 0 for all t > 0.in with io = i. '1ri n -li n > 0. D Condition (iv) of Theorem 3. which implies (iii). The notions of communicating class.. Theorem 3. absorbing state and irreducibility are inherited from the jump chain. (iii) Q oilqili2 . Proof. 3. then Pij (t) ~ Pioil (tin) . (iv) Pij(t) > 0 for all t > 0. . .iI..

starting from i. starting from i. hf is called the absorption probability.3.3. The probability. for by In calculating kf we have to take account of the holding times so the relationship to the discrete-time case is not quite as simple. The vector of hitting probabilities h A = (hf : i E I) is the minimal non-negative solution to the system of linear equations Proof. Since the hitting probabilities are those of the jump chain we can calculate them as in Section 1.2 to the jump chain and rewrite (1. Theorem 3. 1 2 2 (Xt)t~O to reach A is given 1 1 2 3 3 3 4 .112 3. Continuous-time Markov chains II with the usual convention that inf 0 = 00. D The average time taken.1. then - {H A < oo} and on this set we have = {D A < oo} D A = JHA. So if H A is the hitting time of A for the jump chain. We emphasise that (Xt)t>o is minimal. that (Xt)t~O ever hits A is then When A is a closed class.3) in terms ofQ.3. Apply Theorem 1.

If X o = i E A.3.3.2 Consider the Markov chain (Xt)t~O with the diagram given on the preceding page.1).Lqijk1 JEI = 1. On starting in 1 we spend an average time ql = 1/2 in 1.3. The vector of expected hitting times k A = (kt : i E I) is the minimal non-negative solution to the system of linear equations kt { =0 1 for i E A . First we show that k A satisfies (3. The proof follows the same lines as Theorem 1. so by the Markov property of the jump chain so kt = Ei(D A ) = Ei(J1 )+ LE(DA-J1 I Y1 = j)IP\(Yl = j) = q.1).1) Proof. j~A k~A .l+L j#i j#i 'lrij k 1 and so . Then kf = Yi = 0 for i E A. How long on average does it take to get from 1 to 4? Set ki = E i (time to get to 4). Here is the general result.3 Hitting times and absorption probabilities 113 Example 3. On solving these linear equations we find k 1 = 17/12. k3 = + ~k1 + ~k2. then D A = 0. Thus 1 k1 = ~ + ~ k 2 + ~ k3 ~ and similarly k2 = ~ + ~k 1 + ~k3. Suppose now that Y = (Yi : i E I) is another solution to (3. Suppose i fj. then Yi = qi + ~ 'lrijYj = qi + ~ 'lrij j~A j~A -1 '"' -1 '"' (-1 + '"' ) qj ~ 'lrjkYk k~A = Ei(Sl) + Ei (S2 1{HA:2:2}) + L L'lrij'lrjkYk. then D A ~ J 1 .3. If X o = i fj.LjEI qijkf = for i fj.5. Assume that qi > 0 for all i fj. so kt = o.3. A. then jump with equal probability to 2 or 3. A. A. Theorem 3. (3. A.

+ lEi (Sn 1{HA:2:n}) + L .1 Consider the Markov chain on {I.. Note that if (Xt)t~O can explode starting from i then i is certainly not recurrent.114 3. if y is non-negative where we use the notation HA /\ n for the minimum of H A and n. Yi ~ E i (D A) = Exercise kf. The next result shows that. · 1rin-dnYin· So.4 Recurrence and transience Let (Xt)t~O (Xt)t~O be Markov chain with generator matrix Q.. 4} with generator matrix Q= (0~ 1/6 o 1/2 -1/2 1/2 o o o o -1/3 1/6 1~4) o.. We say a state i is recurrent if JP>i({t ~ 0: X t = i} is unbounded) = 1. Now so. L jl~A jn~A 1riil . by monotone convergence. 2. (b) the expected time to hit 4 starting from 1. 3. We say that i is transient if JP>i( {t ~ 0 : Xt = i} is unbounded) = O.. . like class structure. Recall that we insist be minimal. 3. Continuous-time Markov chains II By repeated substitution for y in the final term we obtain after n steps Yi = lEi(Sd + . recurrence and transience are determined by the jump chain.. Calculate (a) the probability of hitting 3 starting from 1.3. D 3. as required.

(iii) every state is either recurrent or transient. Jo oo 00. (i) Suppose i is recurrent for (Yn)n~O.5. Theorem 3. which is finite. then i is transient and Jo Jo oo oo Pii(t)dt = 00. 115 then i is recurrent for (ii) if i is transient for the jump chain. so {t ~ 0 : X t = i} is unbounded.3.5.4 Recurrence and transience Theorem 3. If X o = i then (Xt)t~O does not explode and I n ~ 00 by Theorem 2. Let N i denote for all t. The following dichotomy holds: (i) if qi = 0 or IPi(Ti < 00) = 1. defined by Ti(w) = inf{t ~ J 1 (w) : Xt(w) = i}.--:_ L q1. then i is transient for (Xt)t~O. Write 1r}j) for the (i. Also X(Jn ) = Y n = i infinitely often. (iv) recurrence and transience are class properties. (ii) Suppose i is transient for (Yn)n~O. Pii(t)dt < 00. because (Yn : n ~ N) cannot include an absorbing state.j) entry in rrn.4 to the jump chain.1. Proof. Suppose then that qi > o.4. We denote by T i the first passage time of (Xt)t~O to state i.4.7. N = sup{ n ~ 0 : Yn = i} < so {t ~ 0: X t = i} is bounded by J(N +1). by Theorem 3. then i is recurrent and (ii) ifqi > 0 and IPi(Ti < 00) < 1. n=O 00 (n) 1rii (3. (iii) Apply Theorem 1. so i is recurrent.1. with probability 1. . with probability 1.2) by Theorem 3. Proof. Pii(t) = 1 oo Pii(t)dt = 00.4. Then Jo IPi(Ni < 00) = IPi(Ti < 00) so i is recurrent if and only if IPi(Ti < 00) = 1. then (Xt)t~O cannot leave i. (iv) Apply Theorem 1. We have: (i) if i is recurrent for the jump chain (Xt)t~O.5. D The next result gives continuous-time analogues of the conditions for recurrence and transience found in Theorem 1.1 and the corresponding result for the jump chain. and the first passage time of the jump chain (Yn)n~O to state i.3 to the jump chain. If X o = i then 00.1 and so that i is recurrent if and only if Pii(t)dt = the corresponding result for the jump chain.3.2. We shall show that 1 o 00 1 pii(t)dt .4. If qi = 0. (Yn)n~O.

(Zn)n~O. .4.116 3.3.2) we use Fubini's theorem (see Section 6. by monotone convergence and the result follows by Theorems 1.4. Theorem 3. B} with Q-matrix (-a a) (3 -(3 . (i) If i is recurrent for (Xt)(~O then i is recurrent for (ii) If i is transient for (Xt)t~O then i is transient for (Zn)n~O.5.4. Independently of how many customers are in the queue.2. To prove (i) we use for nh estimate ~ t < (n + l)h the which follows from the Markov property. D Exercise 3.3 and 3.4): = lEi 00 n=O L 00 Sn+l 1{Yn=i} 1 = L lEi (Sn+l I Y n = i)JP>i(Yn = i) = --:n=O ~ n=O L 00 1I"i~)· 0 Finally. we show that recurrence and transience are determined by any discrete-time sampling of (Xt)(~o. state A signifying that he is 'in attendance' and state B that he is having a tea-break. Claim (ii) is obvious. Then. Proof. The total service time for any customer is exponentially distributed with parameter J-l and is independent of the chain Y and of the service times of other customers. Continuous-time Markov chains II To establish (3. Let h > 0 be given and set Zn = X nh . he fluctuates between these states as a Markov chain Y on {A. The single 'server' has two states A and B.1 Customers arrive at a certain queue in a Poisson process of rate A.

Theorem 3.1].. the notions of invariant distribution and measure play an important role in the study of continuous-time Markov chains. for some fJ in (0.1. and explain why this is intuitively obvious.I))j = :EJli(1rij . . Proof· We have qi ('lrij . where By considering f(l) or otherwise.5 Invariant distributions Just as in the discrete-time theory. so (Jl(II .xiqij iEI iEI = (.3.bij) = qij for all i.8ij ) = :E. Explain why. .5 Invariant distributions Describe the system as a Markov chain X with state-space 117 An signifying that the server is in state A and there are n people in the queue (including anyone being served) and B n signifying that the server is in state B and there are n people in the queue.2.1.7 to obtain the following result.5. prove that X is transient if 1l(3 < A(a+(3). We say that A is invariant if AQ=O.. and k = 0. (ii) Il IT = Il where Ili = Aiqi. . j. 3. Let Q be a Q-matrix with jump matrix IT and let A be a measure. The following are equivalent: (i) A is invariant. Show that (fJ .1) f (fJ) = 0.xQk D This tie-up with measures invariant for the jump matrix means that we can use the existence and uniqueness results of Section 1.

1. Let us exclude the trivial case I = {i}.5.3. ~ L. It is obvious that (i) implies (ii).2.l Ei L n=O l{Yn=j} = .1 and 3.J n=O Ni-l = q. If qi = 0 or the expected return time mi = Ei(Ti) is finite then we say i is positive recurrent. Then the following are equivalent: (i) every state is positive recurrent. By monotone convergence.5.118 3. D Recall that a state i is recurrent if qi = 0 or lPi (Ti < 00) = 1. Then Q has an invariant measure A which is unique up to scalar multiples. L jEI f. Let us exclude the trivial case I = {i}. Otherwise a recurrent state i is called null recurrent.1. we can take Ai = jji/qi to obtain an invariant measure unique up to scalar multiples. Proof. = Ei(Ti 1\ (). then irreducibility forces qi > 0 for all i. (ii) some state i is positive recurrent. Define J-li = (J-l.4. by Theorem 3. By Theorems 3.2. Denote by N i the first passage time of the jump chain to state i. Theorem 3.L~ = Ei 10 where T i /\ ( fTil\( 1 {xs=j}ds. As in the discrete-time case positive recurrence is tied up with the existence of an invariant distribution. Suppose that Q is irreducible and recurrent. then irreducibility forces qi > 0 for all i. by Theorems 1. (iii) Q is non-explosive and has an invariant distribution A. Let Q be an irreducible Q-matrix.j/qj .7.n<Nd = LEi(Sn+l I Y n =j)Ei (l{Yn=j.7.L. denotes the minimum of T i and (. which is unique up to scalar multiples. By Fubini's theorem 00 f.5 and 1. So.6.n<Ni } . : j E I) by f. Then.n<Ni } ) n=O 00 = qJ ~lE· '""" 1{Yn=J. II has an invariant measure jj. Proof. Continuous-time Markov chains II Theorem 3. II is irreducible and recurrent. when (iii) holds we have mi = l/(Aiqi) for all i. = Ei L n=O 00 Sn+l 1{Yn=j.5.L. Moreover.

To compute an invariant measure v it is convenient to use the detailed balance equations for all i. Vj = .... But J-li has finite total mass L Jl. so the jump chain is recurrent..1. Fix i E I and set Vj = Ajqj/(Aiqi). D The following example is a caution that the existence of an invariant distribution for a continuous-time Markov chain is not enough to guarantee positive recurrence.5 Invariant distributions 119 "i where./mi..6.. then i is certainly recurrent. in the notation of Section 1. .5.4 Consider the Markov chain (Xt)(~O on Z+ with the following diagram.1 i-I i i+1 The jump chain behaves as a simple random walk away from 0. hence 11 is recurrent.7... = L . j. for all j by Theorem 1.---~-- .. and Q is non-explosive..1. .7.. then Vi = 1 and vll = v by Theorem 3..1. So mi = LJl.J-l < 1: AqO o ..7... and mi = l/(Aiqi) for all i. is the expected time in j between visits to i for the jump chain. To complete the proof we return to the preceding calculation armed with the knowledge that Q is recurrent. where qi > 0 for all i and where 0 < A = 1 . so Vj ~ .. so (Xt)(~O is recurrent if A ~ J-l and transient if A > J-l.5... by Theorem 2. so J-liQ = 0 by Theorem 3.5. suppose (iii) holds./qj ~ L Vj/Qj jEI jEI jEI = 2: Aj/(Aiqi) = l/(Aiqi) < 00 jEI showing that i is positive recurrent. Suppose (ii) holds..5.7. We know that "ill = by Theorem 1.3. = Ei(Ti) = jEI mi so we obtain an invariant distribution A by setting Aj = J-l.. or even recurrence. On the other hand. Example 3.

Thus it suffices to show IlP( s) = Il.P'(s) = >. There is a very simple proof in the case of finite state-space: by the backward equation ds>'P(s) = >. (ii) AP(S) = A. P(s) is also recurrent. If the jump rates qi are constant then v can be normalized to produce an invariant distribution precisely when A < Il.3. and let A be a measure.120 3.7. the only possibility is that (Xt)t~O is explosive. on the other hand.1. Hence any A satisfying (i) or (ii) is unique up to scalar multiples. The following are equivalent: (i) AQ = 0.5. By the strong Markov property at T i (which is a simple consequence of the strong Markov property of the jump chain) . if we fix i and set then IlQ = o. so IlQ = O. The next result justifies calling measures A with AQ = 0 invariant. Proof. the case where qi = 2i for all i and 1 < AI Il < 2.2 to see that any solution is invariant. Let Q be irreducible and recurrent. Theorem 3.QP(s) so AQ Il P (s) d = 0 implies AP(S) = AP(O) = A for all s.5. Then v has finite total mass so (Xt)t~O has an invariant distribution.l(A/Il)i.7. and from the proof of Theorem 3. In this case the non-zero equations read for all i.4. Consider. For infinite state-space. So a solution is given by Vi = q:.5. the interchange of differentiation with the summation involved in multiplication by A is not justified and an entirely different proof is needed.3. Continuous-time Markov chains II Look ahead to Lemma 3. Since Q is recurrent. so = Il implies that Il is proportional to A.5. it is non-explosive by Theorem 2. Let s > 0 be given. but (Xt)t~O is also transient.3. Given Theorem 3. and P(s) is recurrent by Theorem 3.

1. If (Xt)(~O is Markov(A. t L(lE kEI Jo (Ti l{Xt=k}dt)Pk j (s) :E /-£kPkj(S) as required.6. for all i.»i(X kEI i = k. IF(Xs = i) = (AP(S))i = Ai so. Let Q be a Q-matrix with semigroup P(t).3. Let Q be an irreducible non-explosive Q-matrix having an invariant distribution A. h) = 1 .6 Convergence to equilibrium Hence. D 3. We have Ipij(t + h)-Pij(t)1 = I:EPik(h)Pkj(t) .(1 . Q). h 2: 0 Proof.pii(h) :s. by the Markov property. Proof.6.5.e. You will see that the situation is analogous to the case of discrete-time.5. only there is no longer any possibility of periodicity. for all t. Then. t t JP\(Xs +t < Ti)dt < Ti)Pkj(s)dt = = = roo '2:)J. D .pii(h))pij(t) I k#i :s. Lemma 3. Q) then so is (Xs+t)(~O for any S 2: o.6 Convergence to equilibrium We now investigate the limiting behaviour of Pij (t) as t ~ 00 and its relation to invariant distributions. By Theorem 3. D Theorem 3. 1 .5. conditional on X s Markov(8i .qih . lF i (J1 :s. s +Ti /-£j = = 121 1 Jo kEI lEi l 00 s l{X t=j}dt = j. using Fubini's theorem.Pij(t)1 kEI = !:EPik(h)Pkj(t) . We shall need the following estimate of uniform continuity for the transition probabilities.

So.5. D The complete description of limiting behaviour for irreducible chains in continuous time is provided by the following result. A is invariant for P(h). For t 2: Nh we have nh ~ ~ s ~ h t < (n + l)h for some n 2: Nand by Lemma 3. By Theorem 3. By Theorem 2. for all i.j so P(h) is irreducible and aperiodic. Let Q be an irreducible non-explosive Q-matrix with semigroup P(t). P(h)).8. so that for n 2: N. j Thus we have a lattice of points along which the desired limit holds.2. .2 (Convergence to equilibrium).1 irreducibility implies pij(h) > 0 for all i.1.8.122 3.5 by the same argument we used in the preceding result. Q). j we have Proof Let (Xt)(~O be Markov(8i .4 so (Zn)n~O is discrete-time Markov(8i .6. By Theorem 3. Continuous-time Markov chains II Theorem 3. Hence Pij(t)~Aj as n~oo. Fix h > 0 and consider the h-skeleton Zn = Xnh. and having an invariant distribution A. by discrete-time convergence to equilibrium.6. We do not give the details. Given € > 0 we can find h > 0 so that for 0 and then find N. we fill in the gaps using uniform continuity.5. Then for all states i. Fix a state i. It follows from Theorem 1.

2 In each of the following cases.3 Customers arrive at a single-server queue in a Poisson stream of rate A. and deduce that the chain is positive recurrent if and only if AI Il < 1/2.1.3. Note in the following . as we shall see in Section 5.1. Reversibility provides a powerful tool in the analysis of Markov chains. Service requirements are independent of one another and of the arrival process.1 Find an invariant distribution A for the Q-matrix Q = (~2 2 !4 1 -3 ~) and verify that limt~ooPII(t) = Al using your answer to Exercise 2.7 Time reversal Time reversal of continuous-time chains has the same features found in the discrete-time case. Each customer has a service requirement distributed as the sum of two independent exponential random variables of parameter J-l.3.2. 3. Suppose that (Xt)(~O is Markov(v.6.3. Then as t ~ 00 for all j E I where mj is the expected return time to state j. 3.2. explaining what the states of the chain represent. Q). Write down the generator matrix Q of a continuous-time Markov chain which models this.6. 7 Time reversal 123 Theorem 3. Exercises 3.6.6. Calculate the essentially unique invariant measure for Q. Let Q be an irreducible Q-matrix and let v be any distribution. compute limt~oo P(Xt = 21Xo = 1) for the Markov chain (Xt)t~O with the given Q-matrix on {1.4}: (a) (c) (11 (1 2 1 -1 0 0 1 -1 0 0 1 1 -1 0 0 0 -2 2 11) ]2) (b) (d) (1 (1 2 1 -1 0 0 2 1 1 1 -1 0 0 -2 1 0 2 -1 0 ~) ~) 3.

the semigroup (P(t) : t 2: 0) of Q is the minimal non-negative solution of the forward equation P'(t) = P(t)Q.j E 1) is given by Aj~i = Aiqijo over.8. D The chain (Xt)O~t~T is called the time-reversal of (Xt)O~t~T. P(t) is an irreducible stochastic matrix with invariant distribution A.6.00) be given and let (Xt)O<t<T be Markov(A. A Q-matrix Q and a measure A are said to be in detailed balance if for all i.XT . by Theorem 2. (Xt)O~t~T is Markov(A. Let Q be irreducible and non-explosive and suppose that Q has an invariant distribution A. Mo. which rested on the time reversal identity of Lemma 2.5. Let T E (0. P(O) = I.8. Define P(t) by AjPJi(t) = AiPij(t). We shall suppose implicitly that this is done. But this is the backward equation for Q. and we can rewrite the forward equation transposed as P'(t) = QP(t) . By Theorem 2.tk-1.8. by Theorem 2. Pin-lin (Sn) SO. j. Hence Q is irreducible and non-explosive and has invariant distribution A.- P(Xto = io. . thus obtaining again a rightcontinuous process. This echoes our proof of the forward equation. Q). and forget about the problem.124 3. for all t > 0. which is itself a Q-matrix. Continuous-time Markov chains II result how time reversal interchanges the roles of backward and forward equations... then P(t) is an irreducible stochastic matrix with invariant distribution A.Xtn = in) = P(XT-to = io.. Set Xt = X T ... Q is also irreducible and non-explosive with invariant distribution A.7. Finally. Also.4 we have . Theorem 3.tn = in) = AinPinin-l (sn) . . where Q = (~j : i. A small technical point arises in time reversal: right-continuous processes become left-continuous processes. Q). . .4 again. for 0 = to < .. Pi l io (Sl) = AioPioi l (Sl) ...8.1. < t n = T and Sk = tk . Q).k~v(A.e- Proof. this is unimportant. and P(t) is then its minimal non-negative solution. For the processes we consider.t . Then the process (Xt)O<t<T is Ma.. .. We could if we wished redefine the time-reversed process to equal its right limit at the jump times.

Assuming that infinitely many telephone lines are available. given that n are in use at time 0. Show that for large t the distribution of the number of lines in use at time t is approximately Poisson with mean AI J-l. in equilibrium. Proof. Theorem 3.3. with Q irreducible and. Is (Nt)t~o a Poisson process? 3. Show that. (b) Q and A are in detailed balance. We say that (Xt)(~O is reversible if. Then the following are equivalent: (a) (Xt)(~O is reversible. D Let (Xt)(~O be Markov(A. Show that the expected number of lines in use at time t. 3. for all T > 0. (XT-t)OstsT is also Markov(A. Each bus breaks down independently at rate J-l. Here is the result. Both (a) and (b) imply that A is invariant for Q. and the lengths of calls are independent exponential random variables of parameter J-l. Then both (a) and (b) are equivalent to the statement that Q = Q in Theorem 3. set up a Markov chain model for this process. .2 Calls arrive at a telephone exchange as a Poisson process of rate A.8 Ergodic theorem Long-run averages for continuous-time chains display the same sort of behaviour as in the discrete-time case.1. Let Q be an irreducible and non-explosive Q-matrix and let A be a distribution.7. Suppose that (Xt)(~O is Markov(A. The repair shop can only repair one bus at a time and each bus takes an exponential time of parameter A to repair.3. Q). IfQ and A are in detailed balance then A is invariant for Q. Find the equilibrium distribution of the number of buses in service.e-J-Lt)1 J-l. is ne-J-Lt + A(l .7.2. Q).1 Consider a fleet of N buses. when it is sent to the depot for repair.7.7. t] has Poisson distribution of mean At. and for similar reasons. non-explosive. Q).7. D Exercise 3. Proof· We have (AQ)i = EjEI Ajqji = EjEI Aiqij = 0.8 Ergodic theorem 125 Lemma 3. Find the mean length of the busy periods during which at least one line is in use. the number Nt of calls finishing in the time interval [0.

.T!" . . If Q is transient then the total time spent in any state i is finite.. t t 1 {~ Jo l{x s =i}ds ~ 0 = 1 mi · Suppose then that Q is recurrent and fix a state i.Tin T in + 1 = inf{t > Tin + M.126 3. Moreover.+l = inf{t > Tin: X t =1= i} . ~ ~ ~ By the strong Markov property (of the jump chain) at the stopping times Tin for n ~ 0 we find that L}.+l : X t = i} L ~+l = T?1'+l .. by Tin the time of the nth return to i and by Li the length of the nth excursion to i. Then (Xt)(~O hits i with probability 1 and the long-run proportion of time in i equals the longrun proportion of time in i after first hitting i.10. then ]p> (~ t t io l{x s =i}ds ~ _1_ as t miqi ~ 00) = 1 where mi = IEi(Ti ) is the expected return time to state i. + Lr:t ~ n n ~ mi asn~oo M~ ~ + .2.1 (Ergodic theorem). setting Tp = 0. +M!L 1 ~~qi asn~oo . by the strong Markov property (of the jump chain). and that Ml. . Denote by Mi the length of the nth visit to i. ... so t 1 Jo l{x s =i}ds::. Continuous-time Markov chains II Theorem 3. are independent and identically distributed with mean l/qi. If (Xt)(~O is Markov(v. in the positive recurrent case.. . Thus for n = 0. L~ . we have M. Let Q be irreducible and let v be any distribution. by the strong law of large numbers (see Theorem 1.. So. . Proof.. Q).1) L~ ~ + .1. M?.. are independent and identically distributed with mean mi.8. it suffices to consider the case v = bi. Hence. for any bounded function f : I ~ lR we have where and where (Ai: i E I) is the unique invariant distribution.

. + M!L ~ L} + ···+ Li ~-- 1 asn~oo miqi 00 with probability 1.3. Now. In particular. + L.. We conclude that 1 t it 0 f(Xs)ds ~ 1 ast~oo with probability 1. we note that Tin /Tin+ 1 ~ 1 as n ~ with probability 1.. D .2... by the same argument as was used in the proof of Theorem 1.:+l ~ so on letting t ~ 00 we have. with probability 1 In the positive recurrent case we can write where Ai = 1/(miqi).8 Ergodic theorem and hence M~ ~ 127 + .t ~ it 0 1 {Xs=~} ·ds<-~- T!"+l M~ ~ T!L L~ ~ ~ + ···+ M!"+l ~ + . for Tin ~ t < T in+ 1 we have T!L M~ ~ T!"+l L~ ~ ~ -~- + ···+ M!L <1 ~ + ···+ Lr:t .10.

This is a sort of balancing property. Often. martingales. The idea is that the Markov chain case serves as a guiding metaphor for more complicated processes. the identification of martingales is a crucial step in understanding the evolution of a stochastic process.4 Further theory In the first three chapters we have given an account of the elementary theory of Markov chains. We begin with a simple example. electrical networks and Brownian motion. although having their own interest. At the same time. the overall structure is. We therefore thought it worth while to discuss some features of the further theory in the context of simple Markov chains. 4. which we shall make precise shortly.1 Martingales A martingale is a process whose average value remains constant in a particular strong sense. This already covers a great many applications. which is a Markov chain with the following diagram . The further theory inevitably involves more sophisticated techniques which. can obscure the overall structure. potential theory. Consider the simple symmetric random walk (Xn)n~O on Z. but is just the beginning of the theory of Markov processes. On the other hand. already present in the elementary theory. namely. further insight is gained into Markov chains themselves. So the reader familiar with Markov chains may find this chapter helpful alongside more general higher-level texts. to a large extent.

.. .in lE(Y I X o = i o. .4. .· .. . A process (Mn)n~o is called adapted if M n depends only on X o.. . X m I X o = io. indeed it has the stronger property that the average value of the walk at some future time is always simply the current value. . . of the chain up to time n.Xn = i n )l{xo=io. . . A third formulation of the martingale property involves another notion of conditional expectation. An adapted integrable process (Mn)n~o is called a martingale if for all A E F n and all n.Xm (Xn)n~O = i m ) = o.··· .. A process (Mn)n~o is called integmble if EIMnl < 00 for all n. In precise terms we have and the stronger property says that..1 Martingales 1 1 129 2 i-I 2 i I( • • i+l The average value of the walk is constant.. .Xn=in }' . . we define lE(Y I F n ) = L io. . for n E(Xn - ~ m. Given an integrable random variable Y. Here is the general definition.. The sequence (Fn)n~o is called the filtration of (Xn)n~O and we think of F n as representing the state of knowledge.Xn . Let us fix for definiteness a Markov chain and write F n for the collection of all sets depending only on X o. .in and all n. This stronger property says that (Xn)n~O is in fact a martingale. or history.Xn .. Since the collection F n consists of countable unions of elementary events such as this martingale property is equivalent to saying that for all i o.

M o = (Mr . Suppose that at least one of the following conditions holds: (i) T::. Proof. 1.130 4. We shall prove one general result about martingales. It is easy to check that an adapted integrable process (Mn)n~o is a martingale if and only if Conditional expectation is a partial averaging..M r n-l 1) + ···+ (M1 - Mo) = :2) Mk +l k=O Mk)lk<T. It is easy to check that this formula holds. } u {(X)} is a stopping time if {T = n} E F n for all n < 00. n for some n. Further theory The random variable E(Y I F n ) is called the conditional expectation of Y given F n . n} E F n for all n < 00.1. Recall that a random variable T :n ~ {O. the random variable Y by its average value E(Y I A). Recall from Section 1. In particular.4 that all sorts of hitting times are stopping times.. In passing from Y to E(Y I F n ). then see how it explains some things we know about the simple symmetric random walk. ~ T. for a martingale so. 2. what we do is to replace on each elementary event A E F n . Theorem 4.1 (Optional stopping theorem). by induction This was already clear on taking A = n in our original definition of a martingale. An equivalent condition is that {T ::. . Let (Mn)n~o be a martingale and let T be a stopping time. so if we complete the process and average the conditional expectation we should get the full expectation E(E(Y I F n )) = E(Y). Then M r . Assume that (i) holds. . (ii) T < 00 and IMnl ~ C whenever n Then lEMr = lEMo.

bEN are given. But JP>(T > n) ~ 0 as n ~ 00.IEMTAnl ~ IEIMT . now we can compute p = JP>(Xn hits -a before b). So what? Well.IEMol = IIEMT .4. so o = EXT = p( -a) + (1 . We deduce that IEXT = EXo = O.< T} = {T ~ Martingales 131 k}C E Fk since T is a stopping time. Thus condition (ii) of the optional stopping theorem applies with M n = X n and C = a V b.3 the counter-intuitive case of a gambler who keeps on playing a fair game against an infinitely rich casino.p. with the certain outcome of ruin.MTAnl ~ 2CJP>(T > n) for all n. so EMT = EMo. But the intuition behind the result EXT = 0 is very clear: a gambler. way to compute p. We have X T = -a with probability p and X T = b with probability 1 . the average gain should be zero. leaves the casino once losses reach a or winnings reach b. If we do not assume (i) but (ii). Markovian. Hence n-l EMT .4.EMo = L E[(Mk+l k=O Mk)lk<T] = O. playing a fair game. whichever is sooner.p)b giving p = b/(a + b). then the preceding argument applies to the stopping time T 1\ n. D (Xn)n~O. Then T is a stopping time and T < 00 by recurrence of finite closed classes. and so since (Mk)k~O is a martingale. using the methods of Section 1. since the game is fair. This game ends at the finite stopping time T = inf{ n ~ 0 : Xn = -a} . There is an entirely different.1 Now {k. Returning to the simple symmetric random walk X o = 0 and we take T suppose that = inf {n ~ 0: Xn = -a or Xn = b} where a. Then IIEMT . so that IEMTAn = IEMo. We discussed in Section 1.

jEI Theorem 4. Since XT = -a we have EXT = -a =I 0 = EXo but this does not contradict the optional stopping theorem because neither condition (i) nor condition (ii) is satisfied.2. Suppose (i) holds. . (ii) for all bounded functions f : I ~ JR.Xn = in}. the following process is a martingale: n-l (i) (Xn)n~O M~ = f(Xn ) - f(Xo) - L (P . to every Markov chain is associated a whole collection of martingales. we have (pn J)(i) = Lp~j) Ii = lEi (J(Xn ))..1. Let (Xn)n~O be a random process with values in I and let P be a stochastic matrix. Write (Fn)n~o for the filtration of (Xn)n~O. s~p llil jEI J IM~I ~ 2(n+1)suplfjl < j 00 showing that M~ is integrable for all n. We recall that.. This is the basis of a deep connection between martingales and Markov chains. By the Markov property . Let A = {X o = i o. Nevertheless. given a function f : I ~ JR and a Markov chain (Xn)n~O with transition matrix P. indeed a martingale is necessarily real-valued and we do not in general insist that the state-space I is contained in JR. Let f be a bounded function. Then I(PJ)(i)1 = so ILPij1i1 ::.I)f(X m ). some care is needed as it is not always true. Then the following are equivalent: is a Markov chain with transition matrix P. Thus. m=O Proof. The example just discussed was rather special in that the chain (Xn)n~O itself was a martingale. while intuition might suggest that EXT = EXo is rather obvious. Obviously. this is not true in general. Further theory where a is the gambler's initial fortune. .132 4. and these martingales characterize the chain.

n.3.1)/2 + (i + 1)/2 = i = f(i). then for all bounded functions f. Since IXnl ~ n for all n. Notice that we drop the requirement that f be bounded. D Some more martingales associated to a Markov chain are described in the next result. . Suppose that a function f : N x I ~ lR satisfies. in) = O. i). Proof. On the other hand. We have assumed that M n is integrable for all n. X o)] (Pf)(n + 1. if (ii) holds. Hence both X n = f(X n ) and Yn = g(n. Then.4.M! I A) = E[f(Xn + l ) - I A] = 0 and so (Ml)n~o is a martingale. for all n ~ 0. we have Also (P f)(i) = (i .f(n.1)2/2 + (i .1. by the Markov property E(Mn +1 - M n I X o = i o. both and (Pf)(n+ 1. i) = (i .n = g(n. Xl) .j) JEI = f(n..1)2/2 . . We consider f (i) = i and g( n.1 so Martingales 133 (Pf)(Xn ) E(M~+1 . Theorem 4. i) = i 2 . On taking f = l{i n +l} we obtain so (Xn)n~O is Markov with transition matrix P. Let us see how this theorem works in the case where (Xn)n~O is a simple random walk on Z.(n + 1) = i2 . in) .Xn D = in) = = E in [f(n + 1. So (Mn)n~o is a martingale. Let (Xn)n~O be a Markov chain with transition matrix P. = f(n.i). (Pg)(n + 1. X n ) is a martingale. X n ) are martingales.· .f(n. starting from O.i) Then M n = LPijf(n+ 1.

bEN. gives rise to a gravitational potential ¢. a distribution of mass. Show that M n = h(Xn ) is a martingale. For an excellent introduction to martingales and their applications we recommend Probability with Martingales by David Williams (Cambridge University Press.2 Potential theory Several physical theories share a common mathematical framework. which in suitable units satisfies the equation -Da¢ = p. Further theory In order to put this to some use. Exercise 4. 1991). fluid flow and the diffusion of heat. which is known as potential theory. but potential theory is also relevant to electrostatics. of density p say. Set T = inf{n ~ 0: X n E A} and hi = IPi(Xn E A for some n ~ 0) = IPi(T < 00).1. Some more will appear in later sections. the left side converges to E(T). consider again the stopping time T = inf{n ~ 0 : Xn = -a or Xn = b} where a. By the optional stopping theorem Hence On letting n ---+ 00. where ~ = 8 2 /8x 2 + 8 2 /8 y 2 through its gradient + 82 / 8z 2 . One example is Newton's theory of gravity. and the right side to E(Xf) by bounded convergence. by monotone convergence.1 Let (Xn)n~O be a Markov chain on I and let A be an absorbing set in I. So we obtain We have given only the simplest examples of the use of martingales in studying Markov chains. In gravity. 4. The potential ¢ is felt physically '\l¢ = (8¢ 8¢ 8¢) 8x' 8y' 8z .134 4.

3. but the advantage of wider applicability. The basic ideas of boundary theory for Markov chains will also be introduced. which we shall discuss in Section 4. in which space is a continuum. which has the disadvantage that one loses the intuitive picture of the process. We shall begin by introducing the idea of potentials associated to a Markov chain. where Ci = i.2 Potential theory 135 which gives the force of gravity acting on a particle of unit mass. What is the fair price to move from state 3 to state 4? The fair price is always the difference in the expected total cost. Obviously. An indirect link is provided by Brownian motion.4. we shall briefly run through some of the main features of potential theory. In these examples the potential cP has the interpretation of expected total cost. which has much of the structure of the continuum version. obviously have no direct link with this theory.4. and by showing how to calculate these potentials. explaining their significance in terms of Markov chains.4 a cost Ci is incurred.2. 1 4 2 5 Example 4. Before we embark on a general discussion of potentials associated to a Markov chain. This is the easiest way to appreciate the general structure of potential theory. This is a unifying idea. Once we have established the basic link between a Markov chain and its associated potentials. where space is discrete. This discrete theory amounts to doing Markov chains without the probability. We denote by cPi the expected total cost starting from i. Suppose that on each visit to states i = 1.1 Consider the discrete-time random walk on the directed graph shown above. unobscured by technical difficulties.4. It also finds application when one associates costs to Markov chains in modelling economic activity: see Section 5.2. cPs = 0 and . In this section we are going to consider potential theory for a countable state-space. containing within it other notions previously considered such as hitting probabilities and expected hitting times. which at each step choses among the allowable transitions with equal probability. here are two simple examples. Markov chains.

Where there is no arrow.3. states 1 and 5 are absorbing. ¢3 = + ~¢l ¢4 = 4. the continuous-time random walk (Xt)t~O on the same directed graph which makes each allowable transition at rate 1. Hence ¢3 = 8 and the fair price to move from 3 to 4 is 4. ¢2 = 2 + ¢3. What now is the fair price to move from 3 to 4? The expected cost incurred on each visit to i is given by Ci/ qi and ql = 1. instead. We shall now consider two variations on this problem.2. q2 = 1. transitions are allowed in both directions. Hence ¢3 i + ~¢4' = 5 and the fair price to move from 3 to 4 is 1. q4 = 1. and suppose cost is incurred at rate Ci = i in state i for i = 1. First suppose our process is. as before ¢l = 1 + ¢2. 1 4 2 5 In the second variation we consider the discrete-time random walk (Xn)n~O on the modified graph shown above. Thus the total cost is now T-l n=O L c(X n ) + f(X T ) . and a final cost Ii on arrival at i = 1 or 5. 3. ¢2 = 2 + ¢3.136 4. q3 = 3. 4. So we see. ¢3 = 3 + ~¢l + ~¢4' ¢4 = 4. Obviously. Further theory by considering the effect of a single step we see that ¢l = 1 + ¢2. Thus the total cost is now 00 1 c(Xs)ds. where Ii = i.4. We impose a cost Ci = i on each visit to i for i = 2.

cPs = 5 and cP2 = 2 + ~(cPl + cP3). cPi for the expected total cost starting from i. =9 and cP4 cP4 = 4 + ~(cP3 + cPs). On moving one step to the right. Let us look for a finite solution: then so cPo = c cc2 p . Indeed. we know that the walk X n ~ 00 with probability 1. as the total cost is a sum over infinitely many times. Hence the expected total cost is given by cPo c/(c. On solving these equations we obtain cP2 = 7.c + q has roots at q/p and 1.q . cP3 = 3 + ~(cPl + cP2 + cP4 + cPs). cP3 this case the fair price to move from 3 to 4 is -2. all costs are multiplied by c. l) otherwise. The quadratic c2p .2. .i-l = q < P = Pi. What is the expected total cost cPo incurred by the walk starting from O? We must be prepared to find that cPo = 00 for some values of c.2 Potential theory 137 where T is the hitting time of {I. Example 4. so for c ~ 1 we shall certainly have = 11.c2p-q) = { 00 if c E (q/p. and takes negative values in between. 5}. Then cPl = 1. We shall see in the general theory that cPo is the minimal non-negative solution. Note that cPo = 00 always satisfies this equation. so we must have By considering what happens on the first step.2 Consider the simple discrete-time random walk on Z with transition probabilities Pi.i+l.4. Let cPi denote the expected total cost starting from i. Write. we see cPo = 1 + PcPl + qcP-l = 1 + (cp + q/c)cPo. So in cPo = 00. as before. Let c > 0 and suppose that a cost ci is incurred every time the walk visits state i.

the expected cost incurred to the left of 0 is infinite. we call aD the boundary. and although the walk eventually drifts away to the right. In the examples just discussed we were able to calculate potentials by writing down and solving a system of linear equations. As the examples show. ¢ is the difference of the potentials associated with the positive and negative parts of c and I. and in continuous time where T denotes the hitting time of aD. We shall consider the associated potential. Nevertheless. it incurs a cost Ci per unit time. We suppose that functions (Ci : i E D) and (Ii: i E aD) are given. . To be sure that the sums and integrals here are well defined. when and if it hits the boundary. Indeed. These will help to reveal the scope of the ideas used in the examples. we insist that (Xt)(~O be minimal. In the explosive case we always set c( 00) = 0. This situation is familiar from hitting probabilities and expected hitting times. we are now going to give some general results on potentials. at state i say. we shall assume for the most part that c and I are non-negative. that is. one does not really need a general theory to write down the linear equations. so no further costs are incurred after explosion. these are simple examples of potentials for Markov chains. a final cost Ij is incurred.138 4. Ci ~ 0 for all i E D and Ii ~ 0 for all i E aD. or even that the boundary is non-empty. We shall discuss the cases of discrete and continuous time side-by-side. It is interesting that cPo = 00 also when c is too small: in this case the costs rapidly become large to the left of 0. defined by in discrete time. and (Xt)t~O for a continuous-time chain with generator matrix Q. Throughout. More generally. Note that we do not assume the chain will hit the boundary. Let us partition the state-space I into two disjoint sets D and aD. we shall write (Xn)n~O for a discrete-time chain with transition matrix P. so this assumption is not too restrictive. at j say. As usual. The most obvious interpretation of these potentials is in terms of cost: the chain wanders around in D until it hits the boundary: whilst in D. Further theory It was clear at the outset that cPo = 00 when c ~ 1. and will reveal also what happens when the linear equations do not have a unique solution.

Then (i) the potential ¢ = (¢i : i E I) satisfies (4. (ii) Consider the expected cost up to time n: . (ii) if'l/J = ('l/Ji : i E I) satisfies 'l/J { 'l/J ~ ~ P'l/J+c in D in aD I (4.3.1) ¢ = P¢+ C in D { ¢=I in aD. = 1 for all i. then 'l/Ji ~ ¢i for all i.2) and 'l/Ji ~ 0 for all i. (iii) if IPi(T < 00) solution.4. Set where T denotes the hitting time of aD. (i) Obviously.2 Potential theory 139 Theorem 4. ¢ = f on aD.2.1) has at most one bounded Proof. Suppose that (Ci : i E D) and (Ii: i E aD) are nonnegative. For i E D by the Markov property IEi ( L l~n<T c(Xn ) + f(X T )IT<oo Xl c(Xn ) = j) j) = IEj so we have (L + f(XT )lT <OO) = ¢j n<T <Pi = Ci + LpijlE ( L jEI l~n<T c(Xn ) + f(X T )l T <oo Xl = =Ci+ LPWPj jEI as required. then (4.

in the case of equality... we find 00. if l1/Ji I ~ M and Pi (T < 00) = 1 for all i. 2: jn-IED Piil'" Pjn-2jn-l Cjn_l PijI'" Pjn-lin !jn + L jlED '" L L jn-IEDjnEaD + = 2: . so 1/J ~ ¢(1). (iii) We shall show that if 1/J satisfies (4.. Further theory i ¢i as n ~ By monotone convergence.2). with equality when equality holds in (4. by the argument ¢(n + 1) = c + P¢(n) in D in aD.2) then with equality if equality holds in (4. Also. by repeated substitution for 'ljJi 1/J on the right ~ Ci + L jEaD Pijli + LPijCj JED + ···+ 2: jlED . Then 1/J ~ P1/J + c ~ P¢(O) + c = ¢(1) in D and 1/J ~ f = ¢(1) in aD.2). But also.140 4. proving (iii). { ¢(n + 1) = f Suppose that 1/J satisfies (4. 1/J ~ ¢(n) for all n.2) and 1/J ~ 0 = ¢(O). then asn~oo so 1/J = limn~oo ¢(n) = ¢. and hence 1/J ~ ¢. This is another proof of (ii). ¢i(n) used in part (i). For i E D we have 'ljJi ~ Ci + L jEaD Pij!j + LPij'ljJj JED and.. L jlED Pijl · · · Pjn-lin 'ljJjn jnED E i (c(XO)lT>O + !(XdlT=l + C(Xdlr>l + ···+ C(Xn-1)lT>n-l + !(Xn)lT=n + 'ljJ(Xn)lT>n) = ¢i(n - 1) + IEi (1/J(Xn)lT~n) D as required. Similarly and by induction. .

For continuous-time chains there is a result analogous to Theorem 4.T' n-l k==O Then lE(Mn+l I F n ) = L c(Xk)lk<T + f(XT )lT<n k==O + (P1jJ + c)(Xn )lT>n + I(Xn )lT==n :::. Assume that (Xt)t~O is minimal.3) may involve subtraction of infinities.3) . We note that M n is not necessarily integrable.4. then (cPj : j E J) is the minimal such solution.2). To do this we restrict our attention to the set of states J accessible from i. We have to state it slightly differently because when cP takes infinite values the equations (4. Theorem 4. it still follows that with equality if equality holds in (4.4. If the linear equations have a finite non-negative solution on J. since i leads to j. which is a priori unknown. is the { -QcP = C cP=1 in D in aD. we can still use the result to determine cPi in all cases.2).3. and that (Ci : i E D) and (Ii: i E aD) are non-negative. and therefore not make sense.Mn with equality if equality holds in (4. Although the conclusion then appears to depend on the finiteness of cP. if finite. Then minimal non-negative solution to cP = (cPi : i E I). Nevertheless. If not. (4.2. Set where T is the hitting time of aD. Consider n-l Mn = L c(Xk)lk<T + f(XT )IT<n + 'ljJ(Xn )ln::.2 Potential theory 141 It is illuminating to think of the calculation we have just done in terms of martingales. which forces cPi = 00.2. then cPj = 00 for some j E J.

.4) are exactly the finite solutions of (4. the jump chain and holding times of (Xt)t~O.4) which equations have at most one bounded solution if IPi(N < 00) = 1 for all i. and by IT the jump matrix. (4..2. indeed the discounting actually makes the analysis easier. We have lE ( ) Sn+l I Yn c(Yn so. Denote by (Yn)n>O and 8 1 . Potentials with discounted costs may also be calculated by linear equations. and since N is finite whenever T is finite.5. Suppose that (Ci : i E I) is bounded. corresponding to an interest rate.3).3) has at most one bounded solution. Since the finite solutions of (4.3.82 . ¢ is therefore the minimal non-negative solution to ¢ { ¢ = IT¢ + c == f in D in aD. Proof. . then (4. D It is natural in some economic applications to apply to future costs a discount factor a E (0. this proves the result. Set ¢i = lEi then ¢ n==O L anc(Xn ) 00 = (¢i :i E I) is the unique bounded solution to ¢ = aP¢+c. if IPi(T < 00) == 1 for all i. ¢i = lEi(L c(Y ) + !(YN)lN<oo). Moreover. Further theory If ¢i = 00 for some i. and where we use the convention o x 00 = 0 on the right. Then iT c(Xt)dt + !(XT)lT<oo = o L n<N c(Yn)Sn+l + !(YN)lN<oo where N is the first time (Yn)n~O hits aD.142 4.. then (4. n n<N By Theorem 4. by Fubini's theorem = J") = __ = Cj { 0 Cj / qj if Cj >0 if Cj = 0. 1) or rate A E (0.2.3) has no finite non-negative solution. 00 ). Theorem 4.

a LPijl'l/Jj jEI <pjl :::.5) .. By the Markov property Then 00 <Pi = lEi L anc(Xn ) n==O = ci + a LPijlE jEI jEI (f n==l an-Ic(Xn ) Xl = j) = Ci + a LPij<Pj. Set (Xt)t~O is non-explosive. Suppose that ICil ::.¢ so = c + aP1/J. then M < 00.6. ¢ = so c+aP¢.tc(Xt)dt. aM. which however lies a little deeper. = (¢i : i E I) is the unique bounded solution to (A . (4.2. We have a similar looking result for continuous time.Q)¢ = c. Theorem 4.2 Potential theory Proof. But 1/J .4. which forces M = 0 and 1/J = ¢. D Hence M ::. Suppose that <Pi = lEi then ¢ 1 00 e->. suppose that 1/J is bounded and also that 1/J Set M = sUPi l1/Ji . C for all i. then 00 143 I<Pi I :::. = aP(1/J - ¢) I'l/Ji - <Pi I :::. CLan = n==O C/(l. On the other hand.a) so ¢ is bounded. Assume that (Ci : i E I) is bounded.¢il. aM. because it really corresponds to a version of the discrete-time result where the discount factor may depend on the current state.

¢. Also T is the hitting time of a.5). Let T be an independent E(-X) random variable and define Xt = . Then (Xt)t~O is a Markov chain on I U {a} with modified transition rates Qi = qi + -X. and is finite with probability 1. then so ¢ is bounded.Q)¢ = c. We shall now take a brief look at some structural aspects of the set of all potentials of a given Markov chain. which is the same as (4. Hence. and then at the role of the boundary. By Fubini's theorem <Pi Suppose Ci :::. which is O. C for all i. We have so. Qia = -X.144 4. ¢ is the unique bounded solution to -Q¢ = c. Finally. and wished to calculate it. Then ¢ = ¢+ . subtracting (-X . if 1jJ is bounded and (-X-Q)1jJ = c. When C takes negative values we can apply the preceding argument to the potentials <P. where ct = Ei 1 00 e->. T qa = O. Assume for now that c is non-negative. so 1jJ-¢ is the unique bounded solution for the case when c = 0.4. D The point of view underlying the last four theorems was that we were interested in a given potential associated to a Markov chain.{Xt a for t < for t ~ T. by Theorem 4. then (-X-Q)(1jJ-¢) = 0. What we describe is just the simplest case of a structure of great generality. Introduce a new state a with Ca = O. = Ei l T c(Xt)dt.2.so ¢ is bounded. First we shall look at the Green matrix. . Further theory Proof.tc±(Xt)dt = (±c) V o.

The jth column (9ij : i E I) is itself a potential. Thus. once we know the Green matrix.5 and 2. The potential is defined by ¢i = lEi L c(X n==O 00 n) in discrete time.11: we know that 9ij = 00 if and only if i leads to j and j is recurrent. and in continuous time Thus 9ij is the expected total time in j starting from i. We have 9ij = lEi L n==O 00 lXn=j in discrete time. in continuous time ¢ = Gc. in discrete time . and in continuous time By Fubini's theorem we have 00 00 ¢i = L n==O lEic(Xn ) = L(pnC)i = (GC)i n==O where G = (9ij : i. and without boundary. j E I) is the Green matrix 00 Similarly.3).2 Potential theory 145 Let us consider potentials with non-negative costs c.4. we have explicit expressions for all potentials of the Markov chain. Indeed. These quantities have already appeared in our discussions of transience and recurrence in Sections 1. The Green matrix is also called the fundamental solution of the linear equations (4. with G= 1 00 P(t)dt.1) and (4.

The formula for continuous time is hi /j is the return proba- For potentials with discounted costs the situation is similar: in discrete time <Pi where = lEi L anc(Xn ) = L anlEic(Xn ) = n=O n=O 00 00 (RaC)i and in continuous time where R>. and the boundary aD. Here are two examples. Further theory where is the probability of hitting j from i. : .. = 1 00 e->.146 4. Any bounded function (¢i : i E I) for which ¢ = P¢ in D is called harmonic in D.t P(t)dt. with boundary aD.00)) the resolvent of the Markov chain.. Indeed.\ E (0..1)) and (R>. Unlike the Green matrix the resolvent is always finite. We call (R Q: E (0. and bility for j. . harmonic in D. Our object now is to examine the relation between non-negative functions. for finite state-space we have Q : and We return to the general case.

Thus we can find two non-negative functions ha and hb . the most general non-negative harmonic function ¢ in D satisfies ¢=P¢ { ¢=f in D in aD where fa' fb 2:: 0. harmonic in D. and this implies Thus the boundary points a and b give us extremal generators h a and h b of the set of all non-negative harmonic functions.7 Consider the random walk (Xn)n~O on the above graph..~ .4.~ a .. b}...2. where each allowable transition is made with equal probability. Let hi denote the absorption probability for a.. The linear equations for the vector h a read ha = Ph a { h~ in D = 1. . In fact. We set aD = {a. hg = o. but with different boundary values. ..3 we find 1/2 5/12) 1/2 1/3 1/2 0 where we have written the vector h a as a matrix. starting from i..2 Potential theory 147 .. corresponding in an obvious way to the state-space. States a and b are absorbing. By the method of Section 1. -- b Example 4..

(q/p)-t for i = -1.. . 2. the third equation cPi = A' + B' (1 ...148 Example 4. .8 4.q.2..(q/p)-i) for i = 0. In fact. non-negative provided A' + B' ~ O. -1. To obtain a general harmonic function we must match the values cPo and satisfy cPo = (cPl + cP-l)/2. . we can show that (Xn)n~O is equally likely to end up drifting to the left or to the right..2.q. In the preceding example the generators of C were in one-to-one correspondence with the points of the boundary . is that the set of non-negative harmonic functions may be used to identify a .. . In this example there is no boundary.2. . cPi = qcPi+l + PcPi-l The first equation has general solution for i = 1. except that at o it jumps to -lor 1 with probability 1/2.the possible places for the chain to end up. which is fully developed i~ other works. 2. but the generators of C still correspond to the two possibilities for the long-time behaviour of the chain. .2. This forces A = A' and B + B' = O.(q/p)i) 1( ") for i = 0. .. for i = -1. f+ ~ 0 and where hi = h~i and +_ { ~ hi 1 + ~ (1 . . 2 . We must have cPi = PcPi+l + qcPi-l cPo = ~cPl + ~cP-l. . For we have The suggestion of this example.. . -2.2 1 .(q/p)i) which is non-negative provided A has general solution for i = 0. .. 1. . Let us consider the problem of determining for (Xn)n~O the set C of all non-negative harmonic functions cP. . Similarly. . It follows that all non-negative harmonic functions have the form where f-. .1. at speed p . ~ +B O. cPi = A + B(l . . We choose p > q so that the walk is transient. . Further theory Consider the random walk (Xn)n~O on Z which jumps towards 0 with probability q and jumps away from 0 with probability p = 1 . starting from 0.

Note that hf = 1 for all i always gives a possible solution.2. indeed <P = !i hi .7) is the minimal solution. Hence every bounded harmonic function is determined by its boundary values and. Then by the methods of Section 1. which sometimes just consists of points in the state-space. Revuz (North-Holland.2 Potential theory 149 generalized notion of boundary for Markov chains. See.6) { h8 = 1 in aD.4.2. but more generally corresponds to the varieties of possible limiting behaviour for X n as n ~ 00. if Pi (T < 00) = 1 for all i. 1984). for example.8. by monotone convergence <Pi = lEi (J(XT )) = L jE8D hJI»i(XT=j). Amsterdam. Hence if (4.2. harmonic in D. Suppose from now on that JP>i(T < 00) = 1 for all i.6) has a unique bounded solution.7. We cannot begin to give the general theory corresponding to Example 4.2. Let ¢ be a bounded non-negative function. (4. Set h? = JP>i(T < 00) where T is the hitting time of aD. we showed more generally that this condition implies that ¢ = P¢ + c in D { ¢= f in aD has at most one bounded solution. but we can draw some general conclusions from Theorem 4. L jE8D where . Suppose we have a Markov chain (Xn)n~O with absorbing boundary aD.3. Markov Chains by D.7).6) has a unique bounded solution then hf = JP>i(T < 00) = 1 for all i. with boundary values ¢i = Ii for i E aD. Indeed.3 we have h8 = Ph 8 in D (4. as we showed in Theorem 4.3 when the situation is more like Example 4. Conversely. and since (4. then. Then. any bounded solution is given by (4.

2.h. Can you find a similar reduction for continuous-time chains? 4. .2 Prove the fact claimed in Example 4.8 that 4. Show that the 'l/J = P'l/J + c in 15_ { 1f. where D~ D. Partition I as D U aD and suppose that the linear equations ¢ = P¢ +c in D { ¢=0 in aD have a unique bounded solution. Further theory Just as in Example 4.150 4.2. - < 0/'1.2.2. Show that (Xn)n~o is a Markov chain and determine its transition matrix. .3 Let (Ci : i E I) be a non-negative function. Consider now a new partition linear equations (Xn)n~O D u aD. Check that <Pi = E i L n<T c(Xn ) = Ei L c(X n=O 00 n) where T = T + 1 and where we set Ci = Ii on aD and Ca = O. Set ifn if n ~ T > T.2. where T is the hitting time of aD and a is a new state. without boundary at all. This shows that a general potential may always be considered as a potential with boundary value zero or. indeed. Exercises 4.1 Consider a discrete-time Markov chain (Xn)n~O and the potential ¢ with costs (Ci : i E D) and boundary values (Ii: i E aD).=0 in aD also have a unique bounded solution. for all i E I. the hitting probabilities for boundary states form a set of extremal generators for the set of all bounded non-negative harmonic functions. and that 11/" 0/'1.7. Show that the Markov chain with transition matrix P is certain to hit aD.

Therefore. any equilibrium potential ¢ = (¢i : i E I) must satisfy for i E D LjEIaij(¢i . each node i having a capacity 1ri > O.8) { ¢i = fi' for i E aD. Some nodes are joined by wires. Each node i holds a certain charge Xi.4. the wire between i and j having conductivity aij = aji 2:: o. There is a simple correspondence between electrical networks and reversible Markov chains in continuous-time.3 Electrical networks 151 An electrical network has a countable set I of nodes. by Ohm's law. so T'i = 9i for i E D. Where no wire joins i to j we take aij = O. j E I) we shall write 'Yi T'i for the total flow from i to = 2: JEI 'Yij' In equilibrium the charge at each node is constant. External connections are made at the nodes in aD and possibly at some of the nodes in D. j E I) with T'ij = -T'ji. In equilibrium. (4. current may also enter or leave the network through aD . .3 Electrical networks 4. The first problem in electrical networks is to determine equilibrium flows and potentials. which determines the conductivity as the reciprocal of its resistance. In practice. which determines its potential ¢i by A current or flow of charge is any matrix (T'ij : i. and that a given current 9i enters the network at each node i ED. each 'wire' contains a resistor. but here it is not the current but the potential which is determined externally. The case where gi = 0 corresponds to a node with no external connection. given by for i =I j. Given a flow the network: (T'ij : i. Physically it is found that the current T'ij from i to j obeys Ohm's law: Thus charge flows from nodes of high potential to nodes of low potential.¢j) = 9i. These have the effect that each node i E aD is held at a given potential Ii. The nodes are partitioned into two sets D and aD. subject to given external conditions.

j#i Then ai = 7riqi = -7riqii. The new problem is equivalent to the old. to keep matters simple here. This is enough to ensure uniqueness of potentials.4. However. and replace the condition ~k = 9k by ¢i = O. A 1 2 2 1 B 2 2 1 c D E F . pick one node k. that the network is connected. The equations for an equilibrium potential may now be written in a form familiar from the preceding section: -Q¢ { =c ¢= f in D in aD. because ct and f have the same physical dimensions. by Theorem 4. the equilibrium potential is given by ¢i = Ei (iT c(Xt)dt + f(XT )) L9i=O iEI (4. but now aD is non-empty. The capacities 7ri are the components of an invariant measure.10) where T is the hitting time of aD.9) where Ci = 9i/7ri. set aD = {k}. In fact. and the symmetry of aij corresponds to the detailed balance equations. the case where aD is empty may be dealt with as follows: we must have or there is no possibility of equilibrium. and that aD is non-empty. indicating the interesting possibility that there may be more than one equilibrium potential. Further theory We shall assume that the total conductivity at each node is finite: ai = Laij < 00. (4.2. we shall assume that I is finite.152 4. It is natural that c appears here and not 9. Then. We know that these equations may fail to have a unique solution.

Theorem 4. = 1/2 and cPe = 1/4. ~eF = 1/2. Note that the node capacities do not affect the problem we considered. flows and charges in terms of the associated Markov chain.3 Electrical networks Example 4.cPA) + (cPB .10). by Ohm's law. and the associated Markov chain (Xt)t~o.3. In fact.3.2. the equilibrium potential is given by cPi = Ei (lxT=A) = JP>i(XT = A) where T is the hitting time of {A. Here is a general result expressing equilibrium potentials.cPe) 2(cPe .cPF) + 2(cPe . The conductivities are shown on the diagram. since the total current leaving Band C must vanish (cPB . is given by . according to (4. (c) The charge X associated with ~.cPE) + 2(cPB . This will result in some flow from A to F. (a) The unique equilibrium potential cP with cPA = 1 and cPB = 0 is given by where T A and TB are the hitting times of A and B. we were lucky . cPE = 1. F}. Consider a finite network with external connections at two nodes A and B. Let us arbitrarily assign to each node a capacity 1. and the associated flow is given by ~AB = 1/2.4.cPe. ~Be = 1/2. which we can scale to get a unit flow. Different node capacities result in different Markov chains. = O. Let us set cPA = 1 and cPF = O.cPB and cPD = 1. subject to XB = 0.1 153 Determine the equilibrium current in the network shown on the preceding page when unit current enters at A and leaves at F. By symmetry. Then.cPB) Hence.no scaling was necessary. but the same jump chain and hence the same hitting probabilities. ~BE = O. cPB = 0. Then there is an associated Markov chain and. (b) The unique equilibrium flow ~ with ~A = 1 and ~B = -1 is given by where r ij is the number of times that (Xt)t~O jumps from i to j before hitting B.

10). and consider the associated potential'l/Ji = 00 Then Xiqij so = XiQi 1rij = LIPA(Yn = i. 00 We have roo = '""'1{.-." 0 n=O where N B is the hitting time of B for the jump chain Markov property of the jump chain (Yn)n~O.154 4. . as The interpretation of potential theory in terms of electrical networks makes it natural to consider notions of energy.n < NB) 1rij = lEA(rij) n=O ('l/Ji -'l/Jj)aij = Xiqij - Xjqij = ~ij· Hence'l/J = ¢.B} if i = B so if ~ij = EA(r ij - = r ji ) then ~ is a unit flow from A to B..jEI i.) _0. j E I) E(<p) = lL i. n < NB) = i. Set Xi = lEA 10 fTB l{Xt=i}dt Xi/1ri.<pj)2aij ." L-J ~n-'I. We define for a potential ¢ = (¢i : i E I) and a flow ~ = (~ij : i.n = LIPA(Y n n=O < NB)1rij.-. Observe that if X o = A then if i = A if i ~ {A. where c = 0 and f l{A}.f aijl. required. D ~ is the equilibrium unit flow and X the associated charge. Yn +! = j.~n+l=). Further theory Proof. So. The formula for ¢ is a special case of (4.jEI (<Pi . We shall prove (b) and (c) together. by the lEA(rij) = LIPA(Y n=O 00 00 n = i.n< N} B '1. j I(r) = l L .

¢j)aij = L (Ei . Then L i.jEI ¢j)rij = I(r) and E( ¢) is found physically to give the rate of dissipation of energy.j EI iEI so E(¢ + c) = E(¢) + E(c) ~ E(¢) with equality only if c = o.4. When ¢ and by Ohm's law we have E(¢) = ~ 155 are related l L (¢i i. by the network. This characteristic of energy minimization can indeed replace Ohm's law as the fundamental physical principle.jEI (a) Denote by ¢ = (¢i : i E I) and by ~ = (~ij : i.Ej)(¢i . We can write any potential in the minimization problem in the form ¢ + c.Ej)rij = 2 LEi'Yi = 0 i. where c = (ci : i E I) with Ci = 0 for i E aD.3. Moreover. We have ~i = 0 for i E D.j EI (Ei .j E I) the equilibrium potential and flow.j E I) L (¢i . = (¢i : i E I) and any flow ~ = (~ij : i.¢j)rij = 2 L iEI ¢i'Yi.3.3 Electrical networks The 1/2 means that each wire is counted once. j E I) with current sources ri for i E D and boundary potential zero is the unique solution to minimize subject to Proof. (a) The equilibrium potential ¢ = (¢i : i E I) with boundary values ¢i = Ii for i E 8D and no current sources in D is the unique solution to minimize E (¢ ) subject to ¢i = fi for i E aD. i. For any potential ¢ we have I (~ ) ~i = 9i for i E D. = 9i (b) The equilibrium flow r = (rij : i. we shall see that certain equilibrium potentials and flows determined by Ohm's law minimize these energy functions. The equilibrium potential and flow may be determined as follows. as heat. . Theorem 4.

Suppose that ¢ = (¢i : i E I) satisfies Q¢ = 0 in D { cP = I in aD. We know that I determines an equilibrium potential ¢ = (cPi : i E I) by for ~ ~ J cPi .156 4. Corollary 4.jEJ . j E I) the equilibrium potential and flow.jEI iEI I(~) so I(~ + 8) = D + 1(8) ~ 1(8) with equality only if 8 = o. An important feature of electrical networks is that networks with a small number of external connections look like networks with a small number of nodes altogether. Further theory (b) Denote by cP = (cPi : i E I) and by ~ = (~ij : i. 2 1(8) = ~ L i. The following reformulation of part (a) of the preceding result states that harmonic functions minimize energy.3.jEJ 8fj u i?· .4. Then L i.jEI(¢i . In fact. Then cP is the unique solution to minimize subject to E (¢ ) ¢ = f in aD. equivalent in its response to external flows and potentials. for i E J we have L. j E J) we set - = (Ii : i E J) and a flow E(/) = 1 " (Ii 2 L. given any network. i. for all I.¢j )8ij = 2 L ¢i 8i = 0. where 8 = (8 ij : i. the external currents into J when J is held at potential I are the same for (J.J i.j E J) is an effective conductivity on J if.j E I) is a flow with 8i = 0 for i E D. Let J ~ I.Ii for 'I.¢j)aij JEI = :E(Ji . a). for a potential I 8 = (8ij : i. for all potentials I = (Ii : i E J). We say that a = (aij : i. We have cPi = 0 for i E aD. Then a is an effective conductivity if.¢j)aij : 0 { L(¢i .Ji) aij' jEJ For a conductivity matrix a on J. a) as for (I.jEI 'Yij8ijai/ = L (¢i . there is always another network of wires joining the externally connected nodes alone.Ij) aij. E J. We can write any flow in the minimization problem in the form ~ + 8.

11) a is characterized by the Dirichlet variational principle <Pi==fi on J E(/) = inf E(¢).3. taking I == 1 we obtain Laij JEI = Laijo jEJ . J for i E J. and. (4.<p{)ai~ for i tf. and also by the Thompson variational principle inf Oi==gi on J1(8) = "Yi== inf {J gi on I(~). q) = aij + L aik<P{ k~J = (¢~ : i E I) is the potential defined by = 0 ~kEI(<p1 .5. Z:=aij<Pj = z:=aijfj + z:=z:=aik<p{fj = z:=aijfjo JEI jEJ k~JjEJ jEJ In particular. define ¢ = (¢i : i E I) by <Pi = L 1i<p1 jEJ then ¢ is the equilibrium potential given by ~jEI aij(¢i { ¢j) =0 ¢i = Ii for i fj.3.4. for i E J E (¢ ) ¢i = Ii for i E J.4. There is a unique effective conductivity a given by 157 aij where for each j E J. ¢~ = 8ij for i E J. Given I = (Ii: i E J).3 Electrical networks Theorem 4. ¢ solves minimize subject to We have. by Corollary 4.J { Moreover. o off J Proof.

158 4.j E J. By applying the strong Markov property to the jump chain we find that (X t)t~O is itself a Markov chain.jEJ i.3.cPj)aij JEI = 2 L Ii LUi -!i)Uij = L Ui _!i)2Uij . i.jEI L (Ii .¢j )aij.cPj)2aij i. and stopping the clock whilst (Xt)t~O makes excursions outside J. J. Further theory Hence we have equality of external currents: 2)cPi JEI cPj )aij = 'r)1i . with jump matrix IT given by for i.jEJ so.jEI = 2L iEI cPi L(cPi .jEI = = L (cPi .jEI L ~2 -1 v··a·· ~J ~J > L i. This is really a transformation of the jump chain. Define the time spent in J At = it l{X s EJ}ds and a time-changed process (X t)t~O by X t = Xr(t) where r(t) = inf{s ~ 0 : As > t}.jEJ Finally. for any flow 8 and bi = 0 for i ¢. iEJ jEJ i.Ii )2 Uij = L gfjUi/. then L "Yljai/ i. by Theorem 4. we also have equality of energies: L (cPi .jEJ 2 --1 g··a·· • ~J ~J o Effective conductivity is also related to the associated Markov chain (Xt)t~O in an interesting way.Ii )Uij · jEJ Moreover.j E I) with 8i = gi for i E J i.cPj)2 aij i. We obtain (Xt)t~O by observing (Xt)t~O whilst in J.3. we have = (8ij : i. if gij = (Ii - Ij )aij and ~ij = (¢i . 1'fij = 'lrij + L'lrik¢k k~J .

See Example 1. Mathematical Association of America. There is much more that one can say. The mathematical object now called Brownian motion was actually discovered by Wiener.4.4 Brownian motion where 159 ¢{ = JP>k(XT = j) and T denotes the hitting time of J.4 Brownian motion Imagine a symmetric ran'dom walk in Euclidean space which takes infinitesimal jumps with infinite frequency and you will have some idea of Brownian motion. The simple symmetric random walk (Xn)n~O on Zd is a Markov chain which is by now quite familiar. A discrete approximation to Euclidean space ]Rd is provided by where c is a large positive number. For an entertaining and illuminating account of the subject. This provides an elementary way of thinking about Brownian motion. you should see Random Walks and Electrical Networks by P. 1984). it makes it reasonable to .4. Doyle and J. G. L. this shows that so (Xt)t~O is the Markov chain on J associated with the effective conductivitya. for example in tying up the nonequilibrium behaviour of Markov chains and electrical networks. Also.11). It is named after a botanist who observed such a motion when looking at pollen grains under a microscope. 4.4. Snell (earus Mathematical Monographs 22. and is also called the Wiener process. Moreover. Hence has Q-matrix given by Qij = qij (Xt)t~O + L qik¢{ k~J Since ¢-i = (¢{ : k E I) is the unique solution to (4. We shall show that the scaled-down and speeded-up process X t(c) - c -1/2Xct is a good approximation to Brownian motion. methods coming from one theory one provide insights into the other.

< t n the increments . There are many introductory texts on probability which give the full details.. The fundamental role of Gaussian distributions in probability derives from the following result. X 2 ..4. A real-valued process (Xt)t. Let Xl. At the end of this section we state some results which confirm that this is true to a remarkable extent. We begin by defining Brownian motion. and then show that this is not an empty definition. as n ~ 00 we have We shall take this result and a few other standard properties of the Gaussian distribution for granted in this section. Theorem 4. we will at least want IE[lxi ) 12 ] to converge to a non-degenerate limit.:::o is called a Brownian motion if B o = 0 and for all 0 = to < tl < . Brownian motions exist.00). Then. if c ) converges in some sense as c ~ 00 to a non-degenerate we hope that c limit. ••• be a sequence of independent and identically distributed real-valued random variables with mean 0 and variance t E (0. A real-valued random variable is said to have Gaussian distribution with mean 0 and variance t if it has density function cPt(X) = (27T"t)-1/2 exp{ _x 2/2t}.:::o is said to be continuous if lP({w : t. Why is space rescaled by the square-root of the time-scaling? Well.160 4. A continuous real-valued process (Bt)t.-+ Xt(w) is continuous}) = 1. Further theory suppose that some properties of the random walk carryover to Brownian motion. for all bounded continuous functions f.. For ct E Z+ we have xi so the square-root scaling gives which is independent of c. that is to say.1 (Central limit theorem).

N so that s.N S = t + 2. Let us say that (B t : t E D N ) is a Brownian motion indexed by D N if B o = 0 and for all o = to < tl < .Bt . a Brownian motion indexed by D N . denote by D N the set of integer multiples of 2.00).N in [0. Brownian motion exists.. which is a measure on the set of continuous paths. However. < t n in D N the increments are independent Gaussian random variables of mean 0 and variance We suppose given. Suppose we have constructed (Bt : t E D N .1 and define Zt = 2-(N+l)/2yt. B s .B r ) . for each tED.00).1 • For t E DN\D N . . .2. and finally check that the extension is a Brownian motion.4 Brownian motion are independent Gaussian random variables of mean 0 and variance 161 The conditions made on (Bt)t~o are enough to determine all the probabilities associated with the process. For t E Do = Z+ set then (B t : t E Do) is a Brownian motion indexed by Do.4.Zt. Next we shall show that (Bt : tED) extends continuously to t E [0. For N = 0. Proof. Then (B t : tED) is a Brownian motion indexed by D. an independent Gaussian random variable yt of mean 0 and variance 1.2. We need the following result..1 ). .Br = ~ (B s = ~(Bs - + Zt.2 (Wiener's theorem). and denote by D the union of these sets. To put it properly. the law of Brownian motion.. We shall show how to extend this process successively to Brownian motions (Bt : tEDN ) indexed by D N . B t = ~(Br We obtain two new increments: + B s) + Zt· Br ) Bt .1. t E D N .1 set r = t . it is not obvious that there is any such process.4.. Theorem 4. is uniquely determined.

1E(IY1IP) .Xp-1IP(IY11 > 'x)d'x = 2N .N . since (ZiN))t~O interpolates linearly between its values on D N .2-(N+I) = o. being Gaussian. we obtain a Brownian motion (B t : tED).I we have zi ) = O. Also.Xp. they are certainly independent of increments over intervals disjoint from (r. N For t E D N .1]. we obtain MN = sup 2-(N+I)/2Iytl.B t )] = = + 2-(N+I) = 2. by our construction we have with yt Gaussian of mean 0 and variance 1. tE[O. Moreover.1 IP(2(N+l)/2 M N > 'x)d'x ~ 2N .1 1 00 p.I] Then.B r and yt. tE(DN \DN -l)n[o. For t E DN\DN . Hence. s). as required. Hence (Bt : tEDN) is a Brownian motion indexed by D N.BiN-I). set zi N ) = BiN) .B r )2] 4.l] There are 2 N - I points in (DN\D N . So for A > 0 we have For a random variable X ~ 0 and p > 0 we have the formula Hence 2P(N+l)/2E(M~) = 1 00 p. ~2-(N-I) . Further theory = E[(B s - - B t )2] E[(Bt Br)(B s . by induction. ~2-(N-I) The two new increments.I . being constructed from B s . Set MN = sup IziN)I.I ) n [0. For each N denote by (BiN))t~O the continuous process obtained by linear interpolation from (Bt : t E D N ).162 We compute E[(Bt . are therefore independent and of the required variance.

Theorem 4.4.··· . + zi N) converges uniformly in t E [0.. Then... L 00 E(MKr)l/P :::..?:o have the required joint distribution.· .1].3..00). E(IY1IP)1/p ~ 00 L 00 (2(p-2)/2 p )-N < 00.4 Brownian motion and hence.?:o.?:o we can let m distribution for the increments to obtain the desired D Having shown that Brownian motion exists. (B t : tED) has a continuous extension (Bt)t...t~ - t~-l· ~ 00 Hence.t. using continuity of (Bt)t..4. It remains to show that the increments of (Bt)t.c -1/2Xct where the value of X ct when ct is not an integer is found by linear interpolation. < t~ for all m and tf: ~ tk for all k.. . · · · . for all m. Set to = to = o. Therefore. . as claimed. < t n we can find sequences (t''k)mEN in D such that 0 < t 1 < . with probability 1. for all bounded continuous functions f : jRm ~ jR and all 0 ~ tl < . very/much as the Gaussian distribution does for sums of independent random variables. . We know that the increments are Gaussian of mean 0 and variance tr . and by a similar argument uniformly for t in any bounded interval. we have - E[f(Xi~).t(f. For c > 0 consider the rescaled process X t(c) . we now want to show how it appears as a universal scaling limit of random walks.Xi~)] -tE[f(aBh as c ~ 00.?:o is a Brownian motion. as N N=O BiN) = Bi O + zi 1 ) ) + . < t m . for any p > 2 00 00 163 ELMn= LE(MN ) N=O N=O : :. Let (Xn)n. N=O It follows that. But given 0 < t 1 < . Now BiN) eventually equals B t for any tED and the uniform limit of continuous functions is continuous.aBtm )] where (Bt).?:O be a discrete-time real-valued random walk with steps of mean 0 and variance 0'2 E (0.

.aB trn ) as c ~ 00. + YN(c») n=[etk_-l]+1 where rv denotes identity of distribution and Nk(e) = [etk] . D To summarize the last two results.ide) = Bo = 0 it suffices to show that U~c) = 12 C. . Then.1 / 2 Nk(C)1/2) . so it suffices to prove the claim with .U~)) converges weakly to (ZI. .. and (C..164 4.. Consider now the increments (e) Uk . e -I/2\('V:[et 1 ] +1. using special properties of the Gaussian distribution. Then \(xt(e) 1 . . xi~) converges weakly to (a Btl.tk_l)1/2. as required. . We call (Bt)t~o a Brownian .(Bt)t~o. In the proof we shall take for granted some basic properties of weak convergence.(X-(e) .1/ 2Nk(C)1/2)Nk(C)-1/2(Yi + .. . .t (tk .. Then since both sets of = 1. we established a sort of convergence to Brownian motion..i~e) replacing xi ).. . having stationary independent increments and such that X t is Poisson of parameter At for each t ~ O.L [et n] +1 'V:)\ t rn t1 t rn .tk_l)-1/2 Zk.Bt). m.. we have shown. using the central limit theorem applied to the increments of a rescaled random walk. . X(e)) . Further theory Proof The claim is that (xi~).X-(e) . There now follows a series of related remarks.. ... for each t ~ o.. . First define -(e) Xt - e -I/2X[et] where (et] denotes the integer part of ct. .. it suffices to show that U~e) converges weakly to Zk for each k. X-(e))\ :::. .. That was Wiener's theorem.L where Y n denotes the nth step of (Xn)n~O.... · . . Since . that there is a continuous process (Bt)t~o with stationary independent increments and such that B t is Gaussian of mean 0 and variance t.. . Given d independent Brownian motions (Bi )t~o.[etk-I]. But e (Ui ).B tk-l ) increments are independent. let us consider the JRd-valued process B t = (Bi. . .Zm).. Note the similarity to the definition of a Poisson process as a rightcontinuous integer-valued process (Xt)t~O starting from 0.. The right side converges weakly e to 0. . . ./ [etk] L Yn rv (C. By the central limit theorem Nk(e)-I/2(YI + .X-(e) tk tk-l' for k Z k = a (B tk . ... Hence U~c) converges weakly to Zk. + YN(e)) converges weakly to (tk .

However. The sense in which we have shown that (Xie))t~o converges to Brownian motion is very weak. Thus if (Xn)n~O is a random walk in ]Rd with steps of mean 0 and covariance matrix and if V is finite. We might take (Xn)n~O to be the simple symmetric random walk in Z3. (Bic)k. Thus Brownian motion appears as a fixed point of the scaling transformation.3 suggests the following scaling invariance property of Brownian motion (Bt)t>o. once the difference in variance is taken out. Here are two examples. given a random walk with a complicated step distribution. More generally. The scaling used in Theorem 4. which attracts all other finite variance symmetric random walks as c ~ 00. in which case V = I.4. the result shows that in the scaling limit they behave asymptotically the same. Although these are different random walks.4. The discussion to this point has not really been about the Markov property. in the same sense. For any c > 0 the proces. Alternatively.4 Brownian motion motion in ]Rd. and one can with effort prove stronger forms of convergence. it is useful to know that on large scales all one needs to calculate is the variance (or covariance matrix). with no essential change in the proof. to anything else. All other aspects of the step distribution become irrelevant as c ~ 00.4. By analogy with continuous-time Markov chains we look for a transition semigroup (Pt)t~O . As a limit of Markov chains it is natural to look in Brownian motion for the structure of a Markov process.3. To remedy this we must first define Brownian motion starting from x: this is simply any process (Bt)t~o such that B o = x and (B t . which is also easy to check from the definition.~o defined by B t(e) - C -1/2Bet is a Brownian motion. we might take the components of (Xn)n~O to be three independent simple symmetric random walks in Z.BO)t~o is a Brownian motion (starting from 0). 165 There is a multidimensional version of the central limit theorem which leads to a multidimensional version of Theorem 4. what we have proved is strong enough to ensure that (Xie))t~o does not converge. then V = ~I. then for all bounded continuous functions as c ~ 00 we have f : (]Rd)m ~ ]R. but rather about processes with independent increments.

xI 2/2t}. . y) where = !~xp(t. For any bounded measurable function have f : ]Rd ~ ]R we lEx[J(Bt )] = lEo[J(x + B t )] = { f(x + Y)¢t(Yd··· ¢t(Yd)dYl . x. that the generator. x.166 4. x. y) = (27rt)-d/2 exp{ -Iy . . This is the transition density for Brownian motion and the transition semigroup is given by (Ptf)(x) = ( p(t. x. x. dYd JRd = ( p(t. x. y)f(y)dy JRd = ( JRd p(t. JRd To check the semigroup property PsPt = Ps+t we note that Ex[f(B s+t )] = Ex [f(B s + (B s+t . y)( !~J)(y)dy = Ex[(~~f)(Bt)] ~ ~~f(x) as t ! O. a term we have not defined precisely. x.. y) a2 ~x = Hence. x.B s . This suggests. Further theory and a generator G. For t > 0 it is easy to check that :t p(t. by analogy with continuous-time chains. should be given by G=!~. if aXl2 + · · · + ax d 2· JRd a2 f has two bounded derivatives. we have 8 at (Ptf)(x) = { !~xp(t. y)f(y)dy = { !~yp(t. y)f(y)dy JRd where p(t.B s ))] = Ex [Ptf(B s )] = (PsPtf)(x) where we first took the expectation over the independent increment B s +t . y)f(y)dy = lEx [f(Bt )].

2f(x) + f(x + N.I / 271 d • The closest thing we have to a derivative in t at 0 for (pt(N))t=O. f has two bounded derivatives then. Chichester. by Taylor's theorem. f(x .I/N. Probability Theory . You might correctly guess that the proofs would require additional real analysis. E N.4. or Diffusions. Markov Processes and Martingales. We finish by stating some results about Brownian motion which emphasise how much of the structure of Markov chains carries over. relative to the corresponding results for chains.NIE x [f (X I(N) ) (x _ == If we assume that as N ~ 00. now there are functions f : jRd ~ jR...N. Where formerly we considered matrices Pt and Q.I / 2 ) so - 2f(x) + f(x + N. . 1993). First. f ((N))] Xo NIE N l/2 x [f(N. the main ideas are very similar.I / 2 X Nt .f ) ) .I / 2Xl) .. For further details see. . W.an analytic view by D.I / 2X O)] - = (N/2){f(x . is (N) /N N ( PI/Nf . this aside.f(N.I / 2 )}. t == 0. here is a result on recurrence and transience. You will notice some weasel words creeping in. These are various sorts of local regularity for functions defined on the state-space jRd. 2/N.Jf .s and David Williams (Wiley.I / 2 ) == N-I(~f(x) + o(N)). Roger. set X (pt(N) f)(x) == IEx[f(Xi N ))]. G is a differential operator. . now we have linear operators on functions: Pt is an integral operator. G. such as measurable. continuous and differentiable. C. They did not appear for Markov chains because a discrete state-space has no local structure. But. -t N(pi. such as measurability and differentiability. the rescaled process N xi ) == N. required to have various degrees of local regularity. .I / 2 ) . liN... For a bounded continuous function f : jRd ~ jR.2. for example.2/N.f)(x) ~~f(x). We would like to explain the appearance of the Laplacian ~ by reference to the random walk approximation.. and a proper measure-theoretic basis for the probability. Volume 1: Foundations by L. . 2nd edition 1994).4 Brownian motion 167 Where formerly we considered vectors (fi : i E I). Stroock (Cambridge University Press.N. Denote by (Xn)n~O the simple symmetric random walk in tl d and consider for N == 1.

168 4. f(x) for all z E Zd. ! . Further theory jRd. It is natural to compare this result with the facts proved in Section 1. = 2.4. Theorem 4. for any € > 0) = 0 >0 JP>( {t ~ 0 : IBt I < €} is unbounded) = 1. we shall consider Brownian motion in jRd projected onto the torus T d = jRd /Zd. then JP>({t ~ 0: B t (ii) If d = O} is unbounded) = 1. So the projected process is positive recurrent and we can expect convergence to equilibrium and ergodic results corresponding to Theorems 1. then for any N < 00 00 00) JP>(I B t I~ = 1. so that jRd and let f(x Then for all x E jRd. as t ~ (iii) If d = 3. The invariant measure for Brownian motion is Lebesgue measure dx. The results correspond exactly in dimensions one and three. In dimension one this just means wrapping the line round a circle of circumference 1. So that we can state some results for the positive recurrent case.3 and 1. Let (Bt)t~o be a Brownian motion in (i) If d = 1.4. This has infinite total mass so in dimensions one and two Brownian motion is only null recurrent. In dimension two we see the fact that for continuous state-space it makes a difference to demand returns to a point or to arbitrarily small neighbourhoods of a point. moreover 1= [ J[O.8. whereas in Z3 it is transient.4. Let (Bt)t>o be a Brownian motion in f : jRd ~ jR be a continuous periodic function.l]d f(z)dz JI»x (~ it f(Bs)ds -t 1 ast -t 00) = 1. + z) = 00. then JP>(Bt = 0 for some t but. The invariant measure remains Lebesgue measure but this now has total mass 1. Theorem 4. The generator ~ of Brownian motion in jRd reappears as it should in the following martingale characterization of Brownian motion. If we accept this latter notion of recurrence the correspondence extends to dimension two.5. that in Z and Z2 the simple symmetric random walk is recurrent.6.2. as t ~ we have -t lEx[f(Bt )] and.10.

4 Brownian motion 169 Theorem 4. (iii) if ¢(x) = 00 for some x. the following process is a martingale: This result obviously corresponds to Theorem 4.12) has at most one bounded solution in C 2 (D) n C(D). In case you are unsure.2. These potentials are identical to those appearing in Newton's theory of gravity.00) be continuous. (iv) if JPx(T < 00) = 1 for all x. then (4.7. a continuous time process (Mt )t2::o is a martingale if it is adapted to the given filtration (Ft )t2::o. if JEIMtl < 00 for all t. and whenever s :::. Set <jJ(x) = JEx [I T c(Bt)dt + f(XT )IT<oo] where T is the hitting time of aD.4. Let c : D ~ [0. then (4. Then (i) ¢ if finite belongs to C 2 (D) n C(D) and satisfies in D in aD. .4.12) (ii) if 1/J E C 2 (D) n C(D) and satisfies { -~~1/J ~ c in D in aD 1/J ~ f and 'l/J ~ 0. as we remarked in Section 4. Theorem 4. t and A E F 8 • We end with a result on the potentials associated with Brownian motion.1. Let (Xt)t~O be a continuous ]Rd-valued random process. Write (Ft )t2::o for the filtration of (Xt)t~o. (ii) for all bounded functions f which are twice differentiable with bounded second derivative.12) has no finite solution. Let D be an open set in ]Rd with smooth boundary aD. (4.3 for Markov chains. Then the following are equivalent: (i) (Xt )t2::o is a Brownian motion. corresponding very closely to Theorem 4.6. 00) be measurable and let f : aD ~ [0. then 'l/J ~ ¢.2.4.2.

resource management models. See Example 1. In each case our aim is to provide an introduction rather than a systematic account or survey of the field.for hitting probabilities and expected rewards. In a real-world problem involving random processes you should always look for Markov chains.1. Example 1. Some have already appeared to illustrate the theory. In this chapter we shall look at five areas of application in detail: biological models. and for long-run behaviour via invariant distributions. there is a qualitative theory which limits the sorts of behaviour that can occur . for example. that every state is either recurrent or transient. They are often easy to spot. from games of chance to the evolution of populations. queueing models.6 (octopus). Exercise 1.1 Markov chains in biology Randomness is often an appropriate model for systems of high complexity.4 (birthand-death chain) and Exercise 2.5 Applications Applications of Markov chains arise in many different areas.1. from calculating the fair price for a random reward to calculating the probability that an absent-minded professor is caught without an umbrella.5. References to books for further reading are given in each section.5 (virus). 5.3.we know. There are also good computational methods .1 (bacteria). We are now going to give . Markov decision processes and Markov chain Monte Carlo. such as are often found in biology. Once a Markov chain is identified. We have already illustrated some aspects of the theory by simple models with a biological interpretation.

and j does not lead to i. The process (Xn)n~O is a Markov chain on I = {O. next. We have P(Xn = 0 I X n - 1 = i) = P(N = O)i so if P(N = 0) > 0 then i leads to 0.5. who dies and is replaced at time n = 1 by a random number of offspring N. The basic branching process model has many applications to problems of population growth.:)kEN..1 Markov chains in biology 171 some more examples where Markov chains have been used to model biological processes. If P(N = 0) = 0 then P(N 2: 2) > 0.. It should be recognised from the start that these models are simplified and somewhat stylized in order to make them mathematically tractable. epidemics and genetic inheritance. by providing quantitative understanding of various phenomena they can provide a useful contribution to science. by a random number of further offspring. We deduce that with probability 1 either X n = 0 for some n or X n ~ 00 as n ~ 00.1 (Branching processes) The original branching process was considered by Galton and Watson in the 1870s while seeking a quantitative explanation for the phenomenon of the disappearance of family names. each independently. The solution to this problem is explained below. each with the same distribution as N. hence i is transient in any case. Further information on (Xn)n~O is obtained by exploiting "the branching structure. Consider the probability generating function </J(t) = E(t N ) = :E tkJP(N = k==O 00 k). . so for i 2: 1. We can construct the process by taking for each n E N a sequence of independent random variables (N.1. } with absorbing state o. having the same distribution as N.2. and so on. . Suppose at time n = 0 there is one individual. Under the assumption that each male in a given family had a probability Pk of having k sons. for n 2: 1 X n = Nf + . Example 5. Nevertheless. The case where P(N = 1) = 1 is trivial so we exclude it.. that these offspring also die and are themselves replaced at time n = 2. and also to the study of chain reactions in chemistry and nuclear fission. + N Xn _ • 1 Then X n gives the size of the population in the nth generation. in the study of population growth. they wished to determine the probability that after n generations an individual had no male descendents.. 1. by setting X o = 1 and defining inductively. Suppose. i leads to j for some j > i. even in a growing population. and every state i 2: 1 is transient.

Some quantities are easily deduced: we have E(Xn ) = lim dd lE(t Xn ) = lim dd </>(n)(t) = (lim </>'(t)r = p.n. we find that E(t Xn ) = ¢(n)(t). .1 ) . this gives the entire distribution of X n . 0 ¢. by induction. Since ¢ is increasing and 0 ~ r. hence q ~ r. ¢(n)(o) ~ r for all n. by induction.1] : ¢(t) = t}. where J-l is the mean of the offspring distribution. and if ¢'(1) ~ 1 then since either ¢" = 0 or ¢" > 0 everywhere in [0.00 = ¢( q) so also q 2:: r. then ¢(r) = r by continuity. Suppose that in each generation we replace individuals by their offspring one at a time. . Let us set r = inf{t E [0.1 = k) = lE(</>(t)xn . . n--+-oo Now ¢(t) is a convex function with ¢(1) = 1. since 0 is absorbing. we have q = P(Xn = 0 for some n) = lim ¢(n)(o). If ¢'(1) > 1 then we must have q < 1. til t til t til where J-l = E(N). we have ¢(O) ~ r and.00 = lim ¢( ¢(n) (0)) n --+.1) we must have q = 1. also so. There is a nice connection between branching processes and random walks. Hence. Hence q = r. In principle. though ¢(n) may be a rather complicated function. On the other hand q = lim ¢(n+l) (0) n --+. so if X n = k then it takes k steps to obtain X n + l . where ¢(n) is the n-fold composition ¢ 0 . We have shown that the population survives with positive probability if and only if J-l > 1. Conditional on X n - l = k we have Xn so =Nf+···+Nr and so 00 lE(t Xn ) = 'LlE(t Xn I X n k==O 1 = k)JP>(Xn .172 defined for 0 ~ 5. Applications t ~ 1.

so we deduce that ql is the smallest non-negative root of the equation q = ¢(q). but it is the simplest mathematical model to incorporate the basic features of an epidemic.5.1. in agreement with the generating function approach.2 (Epidemics) Many infectious diseases persist at a low intensity in a population for long periods. New York. Example 5. The decline of an epidemic can also be explained by the eventual decline in the number of individuals susceptible to infection. individuals themselves become infective and remain so for an exponential random time. This idealized model is obviously unrealistic. Moreover we can use the strong Markov property and a variation of the argument of Example 1. This behaviour is to some extent explained by the observation that the presence of a large number of infected individuals increases the risk to the rest of the population. These two possibilities have identical consequences for the progress of the epidemic. E.1. The classic work in this area is The Theory of Branching Processes by T. these naive explanations leave unanswered many quantitative questions that are important in predicting the behaviour of epidemics. (Xn)n>O hits 0 if and only if (Ym)m>O hits O. For an idealized disease we might suppose th~t on contact with an infective. . whether infected or not. 1989). if qi then qi = P(Ym = 0 for some m I Yo = i) = qf for all i and so ql = P(N = 0) + L qfP(N = i) = ¢(ql)' k==l 00 Now each non-negative solution of this equation provides a non-negative solution of the hitting probability equations. after which they either die or recover. as infectives either die or recover and are then resistant to further infection. for n 2: 0 Observe that X n = YTn for all n.4.1 Markov chains in biology 173 The population size then performs a random walk (Ym)m~O with step distribution N . Harris (Dover. Define stopping times To = 0 and. However.3 to see that. and since (Ym)m~O jumps down by at most 1 each time. Occasionally a large number of cases arise together and form an epidemic. In an idealized population we might suppose that all pairs of individuals make contact randomly and independently at a common rate.

i)/N. /-l E (0. 00 ). rather.x. In the idealized model.~ N-l i=l 2 ' " -=~ ~ 1 rv 210gN as N ~ 00.x = l/N and /-l = O. say. We will not prove this result.i do not.O) for s E Z+ are all absorbing and all the other states are transient. . Let us consider the proportions sf = St/N and if' = It/N and suppose that . ~ -=~ 1) = +-. where v is independent of N. It can be shown that as N ~ 00 the process (sf'. an asymptotic equivalence. of size N. It) performs a Markov chain on (Z+)2 with transition rates q(s. We can calculate these probabilities explicitly when So + 10 is small. and the rate at which the rumour is passed on is qi = i(N . How long does it take until everyone knows the rumour? If i people know the rumour.~) = '" . if') . if') converges to the solution (St. N ./-lit starting from (so. This has the following interpretation: a rumour is begun by a single individual who tells it to everyone she meets. Consider the case where So = N -1.(St. but will give an example of another easier asymptotic calculation. Of greater concern is the behaviour of an epidemic in a large population.i-l) = /-li for some . and the absorption probabilities give the distribution of the number of susceptibles who escape infection. i o). The states (s. they in turn pass the rumour on to everyone they meet. ~ ~ . indeed all the communicating classes are singletons. Applications We denote the number of susceptibles by St and the number of infectives by It. Since St + It does not increase. q(s. then N .i)(s. Here convergence means that E[I( sf'. The expected time until everyone knows the rumour is then N-l i=l 1 N-l i=l N N-l(l i=l '" qi = '" ~(N .x = v/N.174 5. X t = (St. Consider now a sequence of models as N ~ 00 and choose s~ ~ So and i~ ~ i o. This is not a limit as above but.10 = 1.i)(s-i. The fact that the expected time grows with N is related to the fact .i+l) = Asi. it) I] ~ o for all t 2:: o. We assume that each individual meets another randomly at the jump times of a Poisson process of rate 1. we effectively have a finite state-space. The epidemic must therefore eventually die out. it) of the differential equations (d/dt)st (d/dt)i t = -vstit = vStit .

If X n denotes the number of alleles of type A in generation n. for example. The randomness here might derive from the choice of reproducing individual.1 Markov chains in biology 175 that we do not scale /0 with N: when the rumour is known by very few or by almost all. for which we refer the interested reader to Mathematical Population Genetics by W. the varieties of genetic material that can be present at such a locus are known as alleles. some of type A and some of type a. We might.. Aa and aa. many more questions of a statistical nature have arisen. The final two examples come from population genetics.m} with transition probabilities In each generation there are m alleles. Example 5. or the choice of parents' alleles retained by their offspring. J. so the possibilities are AA. .5. This can be viewed as a model of inheritance for a particular gene with two alleles A and a. as scientists have gained access to the genetic material itself. Suppose that individuals in the next generation are obtained by mating randomly chosen individuals from the current generation and that offspring inherit one allele from each parent. AA aA AA AA aa. 1. and thereby to discriminate between various competing accounts of the process of evolution. get aa aA Aa AA AA. We suppose that each individual has two genes. for example. then (Xn)n~O is a Markov chain with the above transition probabilities. Let us take m to be even with m = 2k. We emphasise that we present only the very simplest examples in a rich theory.. all independent. in sexual reproduction the choice of partner. More recently. then each gene in generation n + 1 is A with probability 7/10 and a with probability 3/10.1. and in particular make no requirement that parents be of opposite sexes. Berlin. Ewens (Springer. The types of alleles in generation n+ 1 are found by choosing randomly (with replacement) from the types in generation n. . (The word gene refers to a particular chromosomal locus.) This sort of study was motivated in the first place by a desire to find mathematical models of natural selection. Then if the generation n is. 1979). We have to allow that both parents may be the same. . the proportion of 'infectives' changes very slowly. They represent an attempt to understand quantitatively the consequences of randomness in genetic inheritance.3 (Wright-Fisher model) This is the discrete-time Markov chain on {O.

Suppose A mutates to a with probability u and a mutates to A with probability v. The structure of pairs of genes is irrelevant to the Markov chain which simply counts the number of alleles of type A.p) It is + plogp} where T is the hitting time of {O. ~ > 0 respectively. . that. m}.1). {m}.1} is transient. (3. genetic diversity eventually disappears.m .((m . j==o According to this model. alternatively hi = LPijh j . as m ~ 00 lEpm(T) ~ -2m{(1 . .u) and + (m - i)v}/m .i)jm)2 a(ijm)2 and the transition probabilities are Secondly. Then the probability of choosing A when X n = i is given by ¢i = {i(l .. aa have a relative selective advantage given by lX. Some modifications are possible which model other aspects of genetic theory. we may allow genes to mutate.I}.p) log(l . known. Aa.. ~- + (lj2)(3i(m ..i)jm 2 + . however. for p E (0. The communicating classes of (Xn)n~O are {O}. Applications (Xn)n~O. States 0 and m are absorbing and {I. Firstly. it may be that the three genetic types AA. .176 5. This means that the probability of choosing allele A when X n = i is given by 'l/J. .. {I. so in a large population diversity does not disappear quickly.m . The hitting probabilities for state m (pure AA) are given by This is obvious when one notes that one can check that (Xn)n~O m is a martingale.i)jm 2 a(ijm)2 + (3i(m .

the states 0 and m are no longer absorbing.m} with transition probabilities Pi. in fact the chain is irreducible. we choose randomly one individual from the population at time n. then we choose. 1...m . . . absorbing states 0 and m and transient class {I. so attention shifts from hitting probabilities to the invariant distribution 7r.i)V} 7ri = (1 - u)p. v > 0. There is an exact calculation for the mean of 7r: we have p. so that J-L = mv/(u + v). Pi. We can also calculate explicitly the mean time to absorption . with communicating classes {O}. Pii = (i 2 + (m - i)2)/m 2. secondly in the Moran model we only change one individual at a time. like the Wright-Fisher model. the Moran model cannot be interpreted in terms of a species where genes come in pairs. and.m . . The same individual may be chosen each time. However. .i-l = i(m - i)/m 2.I}.1 Markov chains in biology 177 With u. + mv - vp..i+l = i(m - i)/m2. . . = L i7ri = E 7r (XI) = L 7riEi(X1) i=O m m m m i=O = 2: m7ri<Pi = 2:{i(l i=O i=O u) + (m . if X n denotes the number of type A individuals in the population at time n. Here is the genetic interpretation: a population consists of individuals of two types.1. Example 5. is a martingale. again randomly. {m }.4 (Moran model) The Moran model is the birth-and-death chain on {O. There are some obvious differences from the Wright-Fisher model: firstly. {I. the basic Markov chain structure is the same. The hitting probabilities are given by IPi(Xn = m for some n) = i/m. not the whole population. then (Xn)n~O is a Markov chain with transition matrix P. so we obtain the population at time n + 1. or where individuals have more than one parent. and add a new individual of the same type. both to give birth and to die. one individual from the population at time n and remove it. .I}. Now. The Moran model is reversible. .5. in which case there is no change in the make-up of the population. a and A..

) m-1. .p) + plogp}. before absorption: kf kf = bij + (Pi.. m2 . So..m . The simplest method is first to fix j and write down equations for the mean time spent in j. Then 2 m. starting from i.. Hence ki=Lkf=m L j=1 m-1 { i ( m=z... } j=1 j=i+1 J ~ · As in the Wright-Fisher model. .l j-l).1 so that . Applications where T is the hitting time of {O.178 5.p) + plogp} which has the same functional form in p and differs by a factor of m/2. J +P j==mp+1 J L ~ 1 -t -(1. . + L m J .p) 10g(1 . one is really interested in the case where m is large..p) .1). kf where = for i ~ j ((m-i)/(m-j))k.p) log(1. for i ~j k..i-1 k t-1 + Piikt + Pi. For the Wright-Fisher model we claimed that Epm(T) ~ -2m{(1 . = m. . m}.1 kg = kin = 0.. for i = 1. {(i/j)k.j .plogp as m ~ 00.i+1 k t+1) for i = 1.k~ = ..m ..p) j==1 L m_ ~ 00 mp 1 m-1 . as m Epm(T) ~ -m 2 {(1 . is determined by m..2 + .k pm = (1. This factor is partially explained by the fact that the Moran model deals .( m-j j j j(m-j) which gives k. Then. and i = pm for some P E (0.p) 10g(1 .

P and P(N = 1) = p. In the case where the number of immigrants in each generation is Poisson of parameter A. The main .2 A species of plant comes in three genotypes AA. What should you do? How many crosses would your procedure require. the probability that some type A is chosen to die is now i/(i + 2(m . of some other distribution. This is defined. How long on average does it take to achieve a pure strain. find the long-run proportion of time during which the population is zero. giving priority to earlier arrivals. Suppose we begin with just one type A. and the times taken to serve customers are also independent random variables. in the notation of Example 5.2 Queues and queueing networks Queues form in many circumstances and it is important to be able to predict their behaviour.1. then n-l k==O lE(t X n) = ¢(n) ( t) II 1/J (¢ (k) ( t) ) .3 In the Moran model we may introduce a selective bias by making it twice as likely that a type a individual is chosen to die. What is the probability that eventually the whole population is of type A? 5. 5. on arrival each customer must wait until a server is free. it is assumed that the times between arrivals are independent random variables of the same distribution. on average? 5. A single plant of genotype Aa is crossed with itself. whereas the Wright-Fisher model changes all m at once. AA or aa? Suppose it is desired to breed an AA plant. Exercises 5.i))..5.1. Aa and aa. if X o = 1.1. that is. n + Nx n-l + In where (In)n'?:o is a sequence of independent Z+-valued random variables with common generating function 'ljJ(t) = E(t 1n ). and where P(N = 0) = 1 .1. as compared to a type A individual. by n X n = N 1 + . The basic mathematical model for. Show that.1.2 Queues and queueing networks 179 with one individual at a time. 1/2 and 1/4. Aa or aa with probabilities 1/4. Thus in a population of size m containing i type A individuals.queues runs as follows: there is a succession of customers wanting service.1 Consider a branching process with immigration.. so that the offspring has genotype AA.

Then the first jump time J 1 is A 1\ T. XJl = i + 1 if T > A. We shall also look at the random times that customers spend waiting and the length of time that servers are continuously busy.6. and the service times are exponential of parameter J-l.180 5.1 and 3.4. then A-J1 is exponential of parameter A and independent of J1: the time already spent waiting for an arrival is forgotten.7. Applications quantity of interest is the random process (Xt)t~O recording the number of customers in the queue at time t. Then the number of customers in the queue (Xt)t~O evolves as a Markov chain with the following diagram: J-l III( A J-l •• 111( A i i +1 •• i To see this. and in the stable case find means to compute the equilibrium distribution of queue length.3. The code means: memoryless inter-arrival times/memoryless service times/one server. Hence. by exploiting the memorylessness of the Poisson process of arrivals. If the inter-arrival times only are exponential. (Xt)t~O turns out to be a continuous-time Markov chain. where > O. Denote by T the time taken to serve the first customer and by A the time of the next arrival.2. so we can answer many questions about the queue. Some further variations on queues of this type have already appeared in Exercises 3. conditional on J 1 = A. In each example we shall aim to describe some salient features of the queue in terms of the given data of arrival-time and service-time distributions. an analysis is still possible. If we condition on J 1 = T. Similarly. conditional on XJl = j. This is always taken to include both those being served and those waiting to be served. (Xt)t~O . T . 3.2. and a certain discrete-time Markov chain embedded in the queue. suppose at time 0 there are i customers in the queue. and XJl = i . This is the context of our first six examples.1 (M/M/I queue) This is the simplest queue of all. Let us suppose that the interarrival times are exponential of parameter A. Example 5. with probabilities J-l/(A+J-l) and A/(A+J-l) respectively.1. This is explained in the final two examples. In cases where inter-arrival times and service times have exponential distributions. The case where i = 0 is simpler as there is no serving going on.I if T < A.7. We shall find conditions for the stability of the queue. 3. which is exponential of parameter A + JL. which events are independent of J 1 .J 1 is exponential of parameter JL and independent of J 1 .

the mean time to return to 0 is given by so the mean length of time that the server is continuously busy is given by rnO - (llqo) = 1/(J-l . or we multiply the mean waiting time by the expected number of customers At. It follows that (Xt)t. i=l Also.\ > J-l then (Xt)t~O is transient. When A < J-l. its behaviour is largely understood. once the queue size is identified as a Markov chain. This sort of argument should by now be very familiar and we shall not spell out the details like this in later examples. Another quantity of interest is the mean waiting time for a typical customer. Conditional on finding a queue of length i on arrival. that is X t ~ 00 as t ~ 00.\/JL)i = . (Xt)t~O is positive recurrent with invariant distribution So when A < J-l the average number of customers in the queue in equilibrium is given by 00 00 lE7r {Xt ) = LJP>7r{Xt i=l . .A). Thus if A > J-l the queue grows without limit in the long term. Either way we get Atl J-l . once the Markovian character of the queue is noted we know what sort of features to look for . We deduce that if .\). this is (i + 1) I J-l. so the overall mean waiting time is A rough check is available here as we can calculate in two ways the expected total time spent in the queue over an interval of length t: either we multiply the average queue length by t. except that it does not take jumps below o. The first calculation is exact but we have not fully justified the sec9nd. Even in more complicated examples where exact calculation is limited.transience and recurrence. The MIMll queue thus evolves like a random walk. when A < J-l and the queue is in equilibrium.A.\/{JL .2 Queues and queueing networks 181 begins afresh from j at time Jl.::: i) = L{. Thus. convergence to equilibrium. and so on..~o is the claimed Markov chain.5. long-run averages.

2. By an argument similar to the preceding example..2 (M/M/s queue) This is a variation on the last example where there is one queue but there are S servers. S + 2.~o performs a Markov chain with the following diagram: •• ••• ••• 012 A J-l A 2J-l A SJ-l • s•• ••• s+l A SJ-l A So this time we obtain a birth-and-death chain..3 for any T > 0. Let us assume that the arrival rate is A and the service rate by each server is J-l.S = s + 1. The total service rate increases to a maximum SJ-l when all servers are working. and each departure to a decrease... The number of arrivals by time t is a Poisson process of rate A. the first service is completed at the minimum of i independent exponential times of parameter J-l. Each arrival corresponds to an increase in X t . The detailed balance equations hold and (Xt)t~O is non-explosive. The first service time is therefore exponential of parameter iJ-l. The queue is therefore positive recurrent when A < SJ-l. Then if i servers are occupied. so there is an invariant distribution./J-L so that and the invariant distribution is Poisson of parameter AI J-l.. . the queue size (Xt)t.1 and the invariant distribution is geometric of parameter AI J-l: When S = 00 we normalize 1r by taking 1ro = e-). . and consider the queue in equilibrium.2. Applications Example 5. To find an invariant measure we look at the detailed balance equations Hence for i for i = 0. Let us suppose that A < SJ-l. It is transient in the case A > SJ-l and otherwise recurrent. There are two cases when the invariant distribution has a particularly nice form: when S = 1 we are back to Example 5. We emphasise that the queue size includes those customers who are currently being served. so by Theorem 3..1. . (Xt)O~t~T .182 5.7.

where the maximum number of calls that can be connected at once is s: when the exchange is full. Example 5. is just as regular as the process of arrivals. as one might imagine that the departure process runs in fits and starts depending on the number of servers working. Instead. is given by This is known as Erlang's formula.2. and then by server . as in the last example.4 (Queues in series) Suppose that customers have two service requirements: they arrive as a Poisson process of rate A to be seen first by server A.3 (Telephone exchange) A variation on the M/M/s queue is to turn away customers who cannot be served immediately.1.2 Queues and queueing networks 183 and (XT-t)O~t~T have the same law. Example 5. the long-run proportion of time that the exchange is full. This might serve as a simple model for a telephone exchange.5. Compare this example with the bus maintenance problem in Exercise 3. This time we get a truncated Poisson distribution By the ergodic theorem.2. in equilibrium. This is slightly counter-intuitive. it turns out that the process of departures. additional calls are lost.7. the number of departures by time t is also a Poisson process of rate A. The maximum queue size or buffer size is s and we get the following modified Markov chain diagram: A • J-L I( A • 2J-L I( A • 012 s-l s We can find the invariant distribution of this finite Markov chain by solving the detailed balance equations. in equilibrium. It follows that. and hence the long-run proportion of calls that are lost.

184

5. Applications

B. For simplicity we shall assume that the service times are independent exponentials of parameters Q and j3 respectively. What is the average queue length at B?
Let us denote the queue length at A by (Xt)t>o and that by B by (¥t)t>o. Then (Xt)(~O is simply an MIMll queue. If A > Q, then (Xt)(~O is transient so there is eventually always a queue at A and departures form a Poisson process of rate a. If A < a, then, by the reversibility argument of Example 5.2.2, the process of departures from A is Poisson of rate A, provided queue A is in equilibrium. The question about queue length at B is not precisely formulated: it does not specify that the queues should be in equilibrium; indeed if A ~ Q there is no equilibrium. Nevertheless, we hope you will agree to treat arrivals at B as a Poisson process of rate Q /\ A. Then, by Example 5.2.1, the average queue length at B when Q /\ A < j3, in equilibrium, is given by (Q /\ A) 1((3 - (Q /\ A)). If, on the other hand, Q /\ A > (3, then (¥t)t~O is transient so the queue at B grows without limit. There is an equilibrium for both queues if A < Q and A < j3. The fact that in equilibrium the output from A is Poisson greatly simplifies the analysis of the two queues in series. For example, the average time taken by one customer to obtain both services is given by

1/(a - A)

+ 1/(j3 -

A).

Example 5.2.5 (Closed migration process)
Consider, first, a single particle in a finite state-space I which performs a Markov chain with irreducible Q-matrix Q. We know there is a unique invariant distribution Jr. We may think of the holding times of this chain as service times, by a single server at each node i E I. Let us suppose now that there are N particles in the state-space, which move as before except that they must queue for service at every node. If we do not care to distinguish between the particles, we can regard this as a new process (Xt)t~O with state-space Y= N1 , where X t = (ni : i E I) if at time t there are ni particles at state i. !n fact, this new process is ~lso ~ Markov chain. To describe its Q-matrix Q we define a function bi : I --+ I by

Thus bi adds a particle at i. Then for i -=I j the non-zero transition rates are given by

n

E

I,

i,j E I.

5.2 Queues and queueing networks
Observe that we can write the invariant measure equation 1rQ form
1ri

185

= 0 in the
(5.1)

L qij = L 1rjqji·
j#i j#i

For n

=

(ni : i E I) we set
1f(n)
=

II
iEI

1rfi.

Then

1f(8i n)

L q(8 n, 8 n) II 1r~k (1riLqji)
i
j

=

j#i

kEI

j#i

(L:: 1rjqji)
j#i

=

L 1f(8 n)q(8 n, 8m).
j j

j#i

Given mEl we can put m = 8i n in the last identity whenever mi summing the resulting equations we obtain

~

1. On

1f(m)

L
n#m

q(m, n) =

L 1f(n)q(n, m)
n#m

so 7r is an invariant measure for Q. The total number of particles is conserved so Q has communicating classes

and the unique invariant distribution for the N-particle system is given by normalizing 7f restricted to eN.
Example 5.2.6 (Open migration process)

We consider a modification of the last example where new customers, or particles, arrive at each node i E I at rate Ai. We suppose also that customers receiving service at node i leave the network at rate /-li. Thus customers enter the network, move from queue to queue according to a Markov chain and eventually leave, rather like a shopping centre. This model includes the closed system of the last example and also the queues

186

5. Applications

in series of Example 5.2.4. Let X t = (X; : i E I), where X; denotes the number of customers at node i at time t. Then (Xt)t>o is a Markov chain in Y= N I and the non-zero transition rates are given by
q(n, bin)

=

for n E I and distinct i and /-lj > 0 for some j; then Q is irreducible on I. The system of equations (5.1) for an invariant measure is replaced here by
1ri

= /-lj states i, LEI. We shall ass':,me that Ai > 0 for some
Ai, q(bi n , bjn) q(bjn, n)

= qij,

(f.1,i

+ L qi j )
j#i

= Ai

+ L 1rjqji·
j#i

This system has a unique solution, with 1ri > 0 for all i. This may be seen by considering the invariant distribution for the extended Q-matrix Q on I U {8} with off-diagonal entries
q8j

=

Aj,

qij

= qij,

qi8

= /-li·

On summing the system over i E I we find

L
iEI

1rif.1,i = L
iEI

Ai.

As in the last example, for n = (ni : i E I) we set

1f(n) =

II 1r~i.
iEI

Transitions from m E I may be divided into those where a new particle is added and, for each i E I with mi 2:: 1, those where a particle is moved from i to somewhere else. We have, for the first sort of transition

1f(m) Lq(m,8j m) = 1f(m) LAj
JEI JEI

= 1f(m)

L 1rjf.1,j = L 1f(8j m)q(8j m, m)
JEI JEI

and for the second sort

1f(8i n) (q(8in, n)
=

+ L q(8i n, 8j n))
j#i

II 1r~k (1ri (f.1,i + L
kEI j#i kEI j#i

qij))

=

II 1r~k ( Ai + L 1rjqj i)
+ L 1f(8j n)q(8j n, 8i n).
j#i

= 1f(n)q(n, 8i n)

5.2 Queues and queueing networks
On summing these equations we obtain
1f(m)

187

L: q(m, n) = L: 1f(n)q(n, m)
n#m n#m

so 7r is an invariant measure for Q. If 1ri < 1 for all i then 7r has finite total mass niEI(l-1ri), otherwise the total mass if infinite. Hence, Qis positive recurrent if and only if 1ri < 1 for all i, and in that case, in equilibrium, the individual queue lengths (Xi: i E I) are independent geometric random variables with

Example 5.2.7 (M/G/! queue)
As we argued in Section 2.4, the Poisson process is the natural probabilistic model for any uncoordinated stream of discrete events. So we are often justified in assuming that arrivals to a queue form a Poisson process. In the preceding examples we also assumed an exponential service-time distribution. This is desirable because it makes the queue size into a continuous-time Markov chain, but it is obviously inappropriate in many real-world examples. The service requirements of customers and the duration of telephone calls have observable distributions which are generally not exponential. A better model in this case is the MIGll queue, where G indicates that the service-time distribution is general. We can characterize the distribution of a service time T by its distribution function

F(t) = JP>(T
or by its Laplace transform

~

t),

(The integral written here is the Lebesgue-Stieltjes integral: when T has a density function f(t) we can replace dF(t) by f(t)dt.) Then the mean service time J-l is given by
J-l

= E(T) = -£'(0+).

To analyse the MIGll queue, we consider the queue size X n immediately following the nth departure. Then

(5.2)

188

5. Applications

where Yn denotes the number of arrivals during the nth service time. The case where X n = 0 is different because then we get an extra arrival before the (n + 1)th service time begins. By the Markov property of the Poisson process, Y1 , Y 2 , • •• are independent and identically distributed, so (Xn)n~O is a discrete-time Markov chain. Indeed, except for visits to 0, (Xn)n~O behaves as a random walk with jumps Yn - 1. Let Tn denote the nth service time. Then, conditional on Tn = t, Y n is Poisson of parameter At. So

and, indeed, we can compute the probability generating function A(z) = E(zYn ) =
=

1

1

00

E(zYn

I Tn

=

t)dF(t)

00

e-At(l-Z)dF(t) = £('\(1 - z)).

Set p = E(Yn ) = AJ-l. We call p the service intensity. Let us suppose that p < 1. We have

X n = X o + (Y1 + · · · + Yn ) - n + Zn
where Zn denotes the number of visits of X n to 0 before time n. So

E(Xn ) = E(Xo) - n(l - p)
Take X o = 0, then, since X n
~

+ E(Zn).

0, we have for all n

o<

1 - p ~ E(Znln).
--+ 00

By the ergodic theorem we know that, as n

E(Znln)
where mo is the mean return time to

--+

limo
Hence
00

o.

mo ~ 1/(1 - p) <

showing that (Xn)n~O is positive recurrent. Suppose now that we start (Xn)n~O with its equilibrium distribution Set G(z) = E(zX n ) =

Jr.

I:
i==O

00

1riZi

the full equilibrium distribution.A(z)}.p) = p + A2E(T 2)/2(1 - p). . rno = 1/(1 .z) -(l-p)A(z) { (A' (z) -1) (1.2 Queues and queueing networks then 189 = lE(ZYn+l) (1rOZ + L 1r Z i 00 i ) i==l = A(z) (1t"OZ + G(z) -1t"o) = 1t"oA(z)(l z).2). In the case of the M/M/1 queue p = AIJ-l. To obtain the mean queue length we differentiate (5.A'(l-) = 1. as we found in Example 5. as z i 1 --+ (A(z) .z) 1.p) = A/(J-l .z) (A(z) _ Z)2 By l'Hopital's rule: lim (A'(z)-l)(l-z) zjl + A(z)-z -lim (A(Z)-Z)2 - zjl A"(z)(l-z) _ _ -_A_"_(l_-_) 2(A'(z)-1) (A(z)-z) . E(T 2) = 2/ J-l2 and E(Xn ) = p/(l .z) + A(z) .p) = (1 - p)(l .3) By I'Hopital's rule.p. so (A(z) . (A(z) . Since A is given explicitly in terms of the service-time distribution.z} .p) = p + A2£"(0+ )/2(1 .z)/(l.z)A(z)/(A(z) .2(1-p)2 · Hence E(Xn ) = G'(l-) = p + A"(l.A). then substitute for G(z) to obtain G' (z) = (l-p )A'(z) (1.z) .z)G'(z) = (A'(z) .1. Since G(l) and = 1 = A(l). in principle. we can now obtain. G(z) we must therefore have 1t"o = 1 .2.)/2(1 .z)G(z) (5. The fact that generating functions work well here is due to the additive structure of (5.l)G(z) = (1 - p){ A'(z)(l .5.3) (A(z) .z).p.

Consider the Laplace transform Let T denote the service time of the first customer in the busy period. . where N is the number of customers arriving while the first customer is served. Then. and where 8 1 ..xL" (0+) 2 (1 + AL' (0+)) 2 We now turn to the busy period 8.t(l-B(w»dF(t) = L(w + . and time T being served.190 5...A(Q+T)(l-Z)) = M(A(l. Applications We shall use generating functions to study two more quantities of interest .B(w))).82 .p)w/(w . Hence G(z) = E(e. lead to a formula for the mean queueing time E(Q) = -M'(O+) = . since the customers in the queue at time 0 are precisely those who arrived during the queueing and service times of the departing customer. as above..x(1.z)) where M is the Laplace transform On substituting for G(z) we obtain the formula M(w) = (1 .z))L(A(l..L(w))). Consider the queue (Xn)nEZ in equilibrium.the queueing time of a typical customer and the busy periods of the server. Hence B(w) = = 1 1 00 E(e. we have 8=t+81 + . are independent. Differentiation and l'Hopital's rule. which is Poisson of parameter At.x(1 . conditional on Q + T = t. +8N. with the same distribution as 8..WS IT = t)dF(t) 00 e-wte->.t. Suppose that the customer who leaves at time 0 has spent time Q queueing to be served. Then conditional on T = t. X o is Poisson of parameter >. .

. Hence. so all customers in fact receive service at once.. is the distribution of the number X t being served at time t? The number Nt of arrivals by time t is a Poisson random variable of parameter At. with a common distribution function F(t) = lP(T ~ t). Then.p)tt.k)! n==k 00 e-APt(Apt)k /k! So we have shown that X t is Poisson of parameter .\ it (1 .. .p). The analysis here is simpler than in the last example because customers do not interact. We condition on Nt = n and label the times of the n arrivals randomly by AI.AB'(O+)) = Jl(l + AE(S)) so the mean length of the busy period is given by E(S) = Jl/(l .An. then. of rate A. Suppose there are no customers at time O.8 (M/G/oo queue) Arrivals at this queue form a Poisson process.5. Then P(Xt = k) = L P(Xt = k I Nt = n)P(Nt = n) n==O 00 = = k e->.. There are infinitely many servers. . t]. .. AI.2 Queues and queueing networks 191 Although this is an implicit relation for B(w). by Theorem 2.6./(n . What. conditional on Nt = n. For each of these customers.2. . X t is binomial of parameters nand p.4.pt)k /k! L('\(1 .An are independent and uniformly distributed on the interval [0. say. Service times are independent. service is incomplete at time t with probability 1 1 p=JP>(T>s)ds=tot it it 0 (l-F(s))ds.t(>.F(s))ds. Example 5. we can obtain moments by differentiation: E(S) = -B'(O+) = -£'(0+)(1 .

. Kelly (Wiley.3 Markov chains in resource management Management decisions are always subject to risk because of the uncertainty of future events. The statistical problem of estimating transition rates for Markov chains has already been discussed in Section 1. then (Xn)n~O is a Markov chain. for some threshold m. .10. Applications Hence if E(T) < 00. We denote the residual stock at the end of period n by X n . 1. Let us assume that D 1 .7. there is a demand for D n units of stock. 5. perhaps on the basis of past experience. Given that X n = i. c. or the reserves of an insurance company.c}. the queue size has a limiting distribution. Chichester. Example 5. ••• are independent and identically distributed.xE(T). which is met if possible. If one can quantify that risk. or the water in a reservoir. P.1 on the maintenance of unreliable equipment. Here we present some examples involving the management of a resource: either the stock in a warehouse.3. 1978).1 (Restocking a warehouse) A warehouse has a capacity of c units of stock. Thus (Xn)n~O satisfies if X n ~ m ifm < X n ~ c. which is Poisson of parameter . .. then the determination of the best action will rest on the calculation of probabilities. For further reading see Reversibility and Stochastic Networks by F..192 Recall that 5. often involving a Markov chain. is irreducible on {O. and. the expected unmet demand in period n + 1 is given by if i ~ m if m < i :s. See also Exercise 3. The warehouse manager restocks to capacity for the beginning of period n + 1 whenever X n ~ m. In each time period n. D 2 . Hence (Xn)n~O has a unique invariant distribution 7r which determines the long-run proportion of time in each state. excepting some peculiar demand structures.

1/3. . and that the demand satisfies P(D ~ i) = 2.1. 00 lE((D . u(l) = 1/6.3 Markov chains in resource management Hence the long-run proportion of demand that is unmet is u(m) = 193 L 7l"i i· U c i==O The long-run frequency of restocking is given by r(m) = L7l"i.2.5. Hence (1/6.i)+ 2: k) = LIP(D 2: i + k) = 2. u(m) decreases and r(m) increases. u(2) = 1/8 .1/4. (1/8. Suppose that the profit per unit b = 1.2 are given. Suppose that the capacity c = 3. The warehouse manager may want to compute these quantities in order to optimize the long-run cost ar(m) + bu(m) where a is the cost of restocking and b is the profit per unit.1/2). i==O m Now as m increases.i)+) = LIP((D .i . respectively.1. but once the distribution of the demand is known. We shall discuss in detail a special case where the calculations work out nicely.. so possible threshold values are m = 0. k=l k=l The transition matrices for m = 0.1/6. There is no general formula for 1r.1/4).1/4. u(O) = 1/4. it is a relatively simple matter to write down the (c + 1) x (c + 1) transition matrix P for (Xn)n~O and solve 1rP = 1r subject to E~==o 1ri = 1. by 1/8 1/2 ( 1/4 1/8 1/8 1/4 1/2) (1/8 1/8 1/4 1/2) (1/8 1/8 1/2 0 0 1/8 1/8 1/4 1/2 1/8 1/8 1/4 1/2 0 1/4 1/4 1/2 0 1/8 1/8 1/8 1/4 1/2 1/8 1/8 1/4 1/2 1/8 1/8 1/4 1/4 1/4 1/4 1/2) 1/2 1/2 1/2 with invariant distributions (1/4.1/3).1/8.i Then 00 for i = 0..2..1.1/4.

1)+ + A n+l .3.194 and 5. Example 5. if E(A n ) < 1. assuming irreducibility.. for example a reservoir. A simplifying assumption which makes some calculations possible is to assume that consumption in each period is constant. When the reservoir is empty. Hence we know that the longrun behaviour of (Xn)n~O is controlled by its unique invariant distribution 7r.2 (Reservoir model . Hence. An units of resource are available to enter the facility and B n units are drawn off. Applications r(O) = 1/4.c}.discrete time) We are concerned here with a storage facility. A 2 . Then the infinite capacity model satisfies a recursion similar to the M/G/l queue: X n+1 = (Xn .z)A(z)j(A(z) . .z) . the equation lIiZi L i=O = (1 .z)A(z)j(A(z) . then (Xn)n~O is a Markov chain on {O.EA n )(1 . So we would like to calculate 7r. For example. likewise B I . to minimize the long-run cost ar(m) 2 m = + u(m) we should take { 1 o if 1/4 < a ~ 1 if 1 < a. Then the quantity of water X n in the reservoir at the end of period n satisfies X n+1 = ((Xn -Bn+I)+ + A n+l ) Ac. If we assume that An. surplus water is lost. We assume that newly available resources cannot be used in the current time period. ••• . the long-run proportion of time that the reservoir is empty is simply 7ro.2. whose transition probabilities may be deduced from the distributions of An and B n . When the reservoir is full. 00 In fact. ••• are independent and identically distributed. B n and c are integer-valued and that AI. then is positive recurrent and the invariant distribution 7r satisfies (Xn)n~O L where A(z) 00 7riZi = (1 . by the argument used in Example 5.z) i=O = E(zA n ). Therefore. no water can be supplied. and that our units are chosen to make this constant 1. 1. of finite capacity c. . whether or not E(A n ) < 1. if a ~ 1/4 r(2) = 1/2. B 2 .. r(l) = 1/3. In each time period n.7.

Note that (Wt)t~O can enter [0. In fact. arriving each time are assumed independent and identically distributed. for i ~ 1 where ai = P(A n = i).continuous time) Consider a reservoir model where fresh water arrives at the times of a Poisson process of rate A..1. For a reservoir of infinite capacity.xIE(Sn)). it is to be hoped that.. which is true if E(A n ) > 1.5. so II must have infinite total mass. 1. The periods when the reservoir is empty correspond to idle periods of the queue.82 .. We assume that there is a continuous demand for water of rate 1. (Xn)n~O observed whilst in {O. Note that (Xn)n~O can only enter {O.3. The problem faced by the water company is to keep the long-run proportion of time 1ro(c) that the reservoir is empty below a certain acceptable fraction. . +ve ). and the level c equation is redundant..c} through c. c] only through c. in part. Then (Xn)n~O is transient. Hence.82 . In reality. + lie) < c which is always possible in the transient case. we can deduce for the finite-capacity model that the long-run proportion of time in state i is given by vi/(vo +.. In the case where IE(A n) < 1.. .z and equate powers of z: the resulting equations are the equilibrium equations for (Xn)n~O: Vo = lIo(ao l/i + a1) + V1 aO + = l/i+l a O L j=O i l/j a i-j+1.. € > say.. 1. The quantities of water 8 1 . supply will exceed demand. this is true in general as the equilibrium equations for the finite-capacity model coincide with those for v up to level c . the quantity of water held (Wt)t~O is just the stored work in an M/G/I queue with the same arrival times and service times 8 1 . multiply by A(z) . Example 5. in the long run.. As in the preceding example we can obtain the finite capacity model by observing (Wt)t~O whilst in [0. but we shall not pursue this here. . Hence c should be chosen large enough to make ° lIO/(lIo + . Hence in the positive recurrent case where AE(8n ) < 1.... . the long-run proportion of time that the reservoir is empty is given by IE(Sn)/(l . .3 (Reservoir model . To see this.3 Markov chains in resource management 195 serves to define a positive invariant measure v for (Xn)n~O.c} is simply the finite-capacity model. because it illustrates a surprising and powerful connection between reflected random walks and the maxima . by the strong Markov property. . c]. The next example is included...

. Applications of random walks. By the strong law of large numbers as n ~ 00. by induction. We choose units making this rate 1. identically distributed random variables. The company pays claims at the times of a Poisson process of rate -X..Tn and Tn is the nth inter-arrival time.P per unit time. Set p = -XE(Yi) and assume that p < 1. However. Then in the long run the company can expect to make a profit of 1 .196 5. so Zn has the same distribution as M n where Example 5. Denote by Sn the cumulative net loss following the nth claim.. there is a danger that large claims early on will ruin the company even though the long-term trend is good.7 that the queue-length distribution converges to equilibrium.3. But Zn is the queueing time of the nth customer in the M/G/1 queue with inter-arrival times Tn and service times Yn . the claims YI. • •• denote a sequence of independent. + X n and define (Zn)n~O by Zo = 0 and Zn+l = (Zn Then. we have + X n+l )+.T n )+.2. · + X n . ••• being independent and identically distributed. X 2 . where X n = Y n . The maximum loss that the company will have to sustain is M= lim M n n--+oo where By the argument given above. M n has the same distribution as Zn.4 (Ruin of an insurance company) An insurance company receives premiums continuously at a constant rate. Thus Sn = Xl + . We know by Example 5. so does the . Hence. which we now explain. Y 2 . Let Xl. Set Sn = Xl + . where Zo = 0 and Zn+l = (Zn + Yn .

Example 5. then the choice p = 1 may be best. 5.2. the expected total cost starting from 1.2 how to calculate in these circumstances the long-run average cost or the expected total cost. In principle. } jumps one step to the right with probability p and one step to the left with probability q = 1 . Suppose now that we are able to choose the transition probabilities for each state from a given class and that our choice determines the cost incurred.1 A random walker on {O.7.5.2p) 00 Thus for c(p) = lip the choice p = 1/4 is optimal. Hence The probability of eventual bankruptcy is P(M > a). and seek to minimize ¢(p)..4 Markov decision processes In many contexts costs are incurred at a rate determined by some process which may best be modelled as a Markov chain. where a denotes the initial value of the company's assets. with expected cost 8. we know the Laplace transform of the equilibrium queueing-time distribution. Starting from i we must first hit i-I. this may now be obtained by inverting the Laplace transform. . in the long run the only way to avoid an infinite total cost is to get to O. and so on. Any value of p E (0. If we are only concerned with minimizing costs over the first few time steps. ¢(p) = { c(p)/(l . Given the lack of memory in the model. incurring no further costs.4. The general discussion which follows will make rigorous what we claimed was reasonable. However.4 Markov decision processes 197 queueing-time distribution. The question arises as to how best to do this to minimize our expected costs.1] may be chosen. The expected total cost starting from 2 is 2¢(p) since we must first hit 1.. Hence ¢(p) so that = c(p) + 2p¢(p) for p < 1/2 for p ~ 1/2. 2.10 and Section 4. Also by Example 5. . The walker on reaching 0 stays there. but incurs a cost c(p) = l/p. this makes it reasonable to pick the same value of p throughout. We have seen in Section 1. 1.2. then i .p.

. .j E I) and a cost function c( a) = (Ci (a) : i E I). a). we assume that c(i. though so far we have no process and when we do it will not in general be Markov. . a policy U is a sequence of functions n=O. Then we associate to a policy u an expected total cost starting from i.. jE! .Xn )). . A stationary policy u is a function u : I ~ A. We abuse notation and write u also for the associated policy given by Under a stationary policy u.. a way of determining actions by our current knowledge of the process. The basic problem of Markov decision theory is how to minimize expected costs by our choice of policy.1... for each action a E A. with transition probabilities P"tj = Pij (u(i))· We suppose that a cost c(i... given by 00 VU(i) =E U LC(Xn.. n=O So that this sum is well defined. (ii) PU(Xn+ 1 =in+11 X o =io. a) = ci(a) is incurred when action a is chosen in state i. .in)). the probability law pu makes (Xn)n>O Markov. let us suppose given some distribution A = (Ai: i E I) and.2. .198 5.Un(Xo.Xn =i n ) =Pi n in +l(u n (i o . a transition matrix P(a) = (Pij(a) : i. a Then the minimum expected cost incurred before time n = 2 is V2 (i) = i~{ c(i. Each policy u determines a probability law pu for a process (Xn)n~O with values in I by (i) PU(Xo = io) = Aio . The minimum expected cost incurred before time n = 1 is given by VI (i) = inf c(i. To get a process we must choose a policy. Applications Generally. Formally. . These are the data for a Markov decision process. that is.. a) ~ 0 for all i and a. a) + LPij(a)V1 (j)}.. Define also the value function V*(i) = infVU(i) U which is the minimal expected total cost starting from i.

Then Vn+l(i) = !~ {C(i. c(i. j the functions Ci : A ~ [0. Lemma 5.4) It is easy to see by induction that Vn (i) ~ Vn +l (i) for all i. letting n ~ 00 and then minimizing over a. being the limit of minimal expected costs over finite time intervals. with obvious exceptions at i = O. a) + LPij(a)VnU)}. for all but finitely many j.4 Define inductively Markov decision processes 199 Vn+l (i) = i~f{ c(i. We assume that (i) for all i.a if j = i-I { otherwise. ci(a) = l/a and a ifj=i+1 1 Pij ( a) = 0 .5) It is a reasonable guess that Voo(i). unless we can show that the inequality (5.00) are continuous. for all a E A we have Pij (a) = 0.a) + LPij(a)VnU) jEI for all a so.2. We have Vn+l(i) :::.a) + LPij(a)Vn(j)} jEJ . i~{ c(i. A simple case where (i) and (ii) hold is when A is a finite set. so Vn (i) increases to a limit Voo(i). possibly infinite. jEI (5.5) is actually an equality.6) Proof.4.5. This is not always true. jEI (5. (iii) for each i.00) and Pij : A ~ [0. We make three technical assumptions to ensure this.1. with A = (0.4. a) + LPij(a)VOOU)}. There is a stationary policy u such that Voo(i) = c(i. u(i)) + LPij (u(i))VooU)· jEI (5. so let us assume that Voo(i) ~ B < 00. It is easy to check that the assumptions are valid in Example 5. If Voo(i) = 00 there is nothing to prove.1]. is in fact the value function V*(i). Voo(i) :::. (ii) for all i and all B < 00 the set {a : ci(a) ~ B} is compact.

Un (Xo.a) + :EPij (a)V* (j) jEI for all i. Vo(i) = 0 ~ V*(i).7) for some un(i) E K. in the sense that v u * (i) = Proof. by continuity. Let us suppose inductively that Vn(i) ~ V*(i) for all i.8) we find Vn+ 1 (i) ~ V*(i) and the induction proceeds. For any policy u we have 00 V*(i) for all i.8) Certainly. (ii) if u * is any stationary policy such that a (i) Vn(i) i V*(i) as n ~ 00 = u * (i) minimizes c(i.7). we obtain (5.uo(i)) + :EPij(UO(i))vu[i](j) jEI where u[i] is the policy given by Hence we obtain VU(i) ~ i~{ c(i.6). Hence Voo(i) ~ V*(i) for all i. and. jEI (5. We have for all i. .200 5. a) ~ B} and where J is the finite set {j : Pij ¢. O}. Hence. then u* is optimal. the infimum is attained and Vn+l(i) = c(i. VU(i) = = Ei L n=O c(Xn .3.Xn )) c(i. on passing to the limit nk ~ 00 in (5. say. Applications where K is the compact set {a : c( i.4) and (5. D Theorem 5.4.un(i)) + :EPij(un(i))Vn(j) jEJ (5. a) + LPij (a)V* (j) } jEI and. on taking the infimum over u V*(i) ~ i~{ c(i. · " . Then by substitution in the right sides of (5. By compactness there is a convergent subsequence u nk (i) ~ u(i). a) + LPij (a)V* (j) }.

Given one stationary policy u we may define another Ou by the requirement that a = (Ou)(i) minimizes c(i. We have (i) VeU(i) ~ VU(i) for all i. by choosing a = u(i) to minimize c(i. Moreover.a) + :Epij(a)Vu(j).u(i)) + LPij(u(i))VU(j) jEI ~ c(i. even less that this policy would be stationary.9) Proof. Then by Theorem 4. . a) + :EPij(a)Vn(j) jEI we get a nearly optimal policy.u*(i)) + LPij(U*(i))Voo(j). by Theorem 4. In practice we may know only an approximation to V*. provided that for all i. jEI We know such a policy exists by Lemma 5.3.4. by Theorem 4.3 we have vu* (i) ~ Voo(i) for all i.2.2.4 (Policy improvement). so Voo(i) = V*(i) = and we are done. D v u * (i) for all i The theorem just proved shows that the problem of finding a good policy is much simpler than we might have supposed.2. But V*(i) ~ vu* (i) for all i.Ou(i)) + :EPij(Ou(i))vu(j) jEI so VU(i) ~ VeU(i) for all i.5. part (i) gives an explicit way of obtaining the value function V* and.2. part (ii) identifies an optimal stationary policy. jEI Theorem 5. An alternative means of constructing nearly optimal policies is sometimes provided by the method of policy improvement. We may then hope that. for example Vn for n large. (i) We have. (ii) VenU(i) ! V*(i) as n ~ 00 for all i. For it was not clear at the outset that there would be a single policy which was optimal for all i.4.3 VU(i) = c(i. once this is known. (5.4 Markov decision processes Let u* be any stationary policy for which 201 Voo(i) ~ c(i.

Applications (ii) We note from part (i) that VOU(i) :::. i = X n and a = u*(Xn ).202 5. Hence if we assume (5. .u*(Xn))) D asN~oo. The recurrent case is also of practical importance and one way to deal with this is to discount costs at future times by a fixed factor Q E (0.. n=O Define the discounted value function V. u*(Xn )) * jEI n-l + LC(Xk. accessible from i. . U . It follows that EU· (Mn +1) ~ EU· (Mn ) for all n. .(i) = infV:(i).N the process n-l M n = VON-nU(Xn) + LC(Xk. We have been discussing the minimization of expected total cost. then V 9N U(i) = IEy· (Mo) ~ IEY· (MN ) =Ef(VU(XN)) +Eu* ~V*(i) (~c(Xn. which is only relevant to the transient case. (5. u(j)) > 0. We have EU (Mn+ 1 I :Fn ) = LPXni (U*(Xn))VoN-n-lu(j) + c(Xn .10) with u replaced by (IN-n-l u .Xn )).Un(Xo..1.1).10) Fix N ~ 0 and consider for n = 0. c(i. 1. We now seek to minimize the expected total discounted cost 00 V:(i) = EiLOnC(Xn.U*(Xk))' k=O Recall the notation for conditional expectation introduced in Section 4.9). are transient. . . This is because we will have V* (i) = 00 unless for some stationary policy u. the only states j with positive cost c(j..U*(Xk)) k=O ~Mn where we used (5.a) + LPii(a)Vu(j) jEI for all i and a.

a) is uniformly bounded. jEI (5.a) +a 2:Pij(a)V. define another Oau by the requirement that a = (Oau)(i) minimizes c(i.11) (iii) Let u* be a stationary policy such that a = u*(i) minimizes c(i.5.(i) = i~f{ c(i. given a stationary policy u.4. Pia(a) = 1 . at some geometric time of parameter a. a) + a 2: Pij(a)V. Introduce VO. incurring no further costs.U) }.5.o:(i) = i~f {c(i. a) + a 2:Pij (a)Vn. inductively Vn+l. Then u* is optimal in the sense that V:* (i) = VC:(i) for all i. With obvious notation we have ~ 00 for all i. it jumps to 8 and stays there. Thus the new process follows the old until.a. the discounted case reduces to the undiscounted case by introducing a new absorbing state 8 and defining a new Markov decision process by Pij (a) = apij (a). (ii) The value function VC: is the unique bounded solution to 00 (i) We have Vn. ca(a) = O. a) + a 2:Pij(a)V jEJ U U). . Suppose that the cost function c(i.U) jEI for all i.a(i) i VC:(i) as n ~ V.o: (in jEJ and. ci(a) = ci(a).4 Markov decision processes 203 In fact. (iv) For all stationary policies u we have as n Proof. for all i. Theorem 5.a (i) = 0 and.

This suggests that one approach to minimizing long-run costs might be to minimize L 7rjcU. we do not know in general that the optimal policy is positive recurrent.4. as n ~ 00.4.. of We assume that Ic(i. by Theorem 4. there is a stationary policy u such that V(i) = c(i.11). except for the uniqueness claim in (ii).4. . for all i. u(j)). or even stationary.0:) n=O iEf* (VU(Xn )) as n ~ 00.2.u(i)) +0: :Epij(u(i))V(j). u(Xn )) :::. with the same limit. We have c(i. This forces IV: (i) I ~ B for all n. we know by the ergodic theorem that 1 n-l . Pi -almost surely.: LC(Xk. Here we are concerned with the limiting behaviour. So for any stationary policy u we have 00 V:(i) and so = Ei:E o:nc(xn .a) ~ D 0 Hence (iv) also follows from Theorem 5.204 5. a) ~ B for some B < 00. So ~ (i) does converge in this case by bounded convergence.U(Xk)) ~ L k=O 7r j c U.u(j)) JEI as n ~ 00. But given any bounded solution V to (5. JEI Then V = V~. = anEf* (V~(Xn)) ~ Ba n /(l.3 and 5. JEI But. a)1 ~ B < 00 for all i and a.4.5. (ii) and (iii) follow directly from Theorems 5. In the case of a stationary strategy u for which (Xn)n>O has a unique invariant distribution 1ru . we use a martingale approach. We finish with a discussion of long-run average costs. although this is sometimes valid. but in general the sequence ~ (i) may fail to converge as n ~ 00.4. Then (}au = U so (iv) will show that u is optimal and V = VC:. B/(l . which is more general. Applications so parts (i). Instead.

5. (ii) liminfn~oo (i) ~ V* for all i. n-l Consider M n = W(X n ) . then 2: 1I"f (V* + W(i)) iEI ~ 2:1I"f (C(i'U(i)) + 2:Pii(U(i))W(j)) iEI jEI = 2:1I"fc(i.. D IW(i)l/n The most obvious point of this theorem is that it identifies an optimal stationary policy when the hypothesis is met. Fix a strategy u and set Un = un(Xo. Therefore So we obtain v* ~ V~(i) + 2 sup IW(i)l/n.Xn ). Un) + LPXni(Un)W(j)} jEI (V* + W(Xn )) with equality if u = u*.a) + LPii(a)W(j)} jEI for all i. (5..4 Markov decision processes 205 Theorem 5.u(i)) iEI + L1I"jW(j) jEI .6. Firstly.4.t 00 for all i. v::* v:: Proof. Two further aspects also deserve comment.t V* as n . for all u. When u 2 sup i = u* we also have v::* (i) ~ V* + and hence (i). Then (i) (i) . . . if u is a stationary policy for which (Xn)n~O has an invariant distribution 1r u .12) Let u* be any stationary strategy such that a = u*(i) achieves the infimum in (5.12) for each i.nV* Then +L k=O C(Xk' Uk). EU(Mn+l I F n ) = M n + {C(Xn . Suppose we can find a constant V* and a bounded function W(i) such that V* + W(i) = i~f{c(i. i This implies (ii) on letting n ~ 00.

Applications v* ~ L 1rfc(i. C. Assume that I is finite and that P( a) is irreducible for all a. Ross. Chichester.(i) = V* /(1 . which for many purposes may be regarded as sample values of a sequence of independent random variables. Secondly.12) on letting a i 1. Applied Probability Models with Optimization Applications (Holden-Day. 1994) for more examples. San Francisco. Stochastic Models . U21 U22 U 23 = 0. Then we can show that as a i 1 we have V.a) + W(j) + 0(1 V* + W(i) = a))} i~f {C(i' a) + a LPij(a)W(j)} + 0(1 jEI a) which brings us back to (5. Tijms. 5. u(i)) iEI with equality if we can take u = u* .a).an algorithmic approach (Wiley.Ull U12 U 13 Ulm U2m U3m U2 = U3 O.5 Markov chain Monte Carlo Most computers may be instructed to provide a sequence of numbers Ul = O. On substituting this into (5.206 so 5.11. there is a connection with the case of discounted costs. 1970) and to H.11) we find v* /(1 = so a) + W(i) + 0(1 jEI a) i~f {C(i' a) + a LPij(a)(V* /(1. The interested reader is referred to S.1]: . uniformly distributed on [0.U31 U32 U 33 written as decimal expansions of a certain length. results and references.a) + W(i) + 0(1 .

we can partition [0. U2. P).. We shall now describe one procedure to simulate a Markov chain (Xn)n~O with initial distribution A and transition matrix P. . are actually all integer multiples of 10. 1] ~ I. U3 (w). U1. U2 .u)=j Suppose that Uo.1] into disjoint subintervals (A ij : j E I) such that Now define functions Go : [0.5.m and. of course. lP(Xn +1 = i n +1 I X o = io. G : I x [0. This simple procedure may be used to investigate empirically those aspects of the behaviour of a Markov chain where theoretical calculations become infeasible.. . the generators of such pseudo-random numbers are in general as reliable an imitation as one could wish of U1(w). and set X o = Go(Uo). uniformly distributed on [0.Xn = in) = JP>(Un +1 E Ainin+l) = Pi ni n+l so (Xn)n~O is Markov(A. Since EiEI Ai = 1 we can partition [0..1] into disjoint subintervals (Ai: i E I) with lengths Similarly for each i E I. U3. and then might exploit the observed properties of such processes. Nevertheless. lP(Xo = i) = lP(Uo E Ai) = Ai. • •• is a sequence of independent random variables. U2 (w). G(i. they are usually derived sequentially by some entirely deterministic algorithm in the computer.1]. . ... if u E A ij .5 Markov chain Monte Carlo 207 We are cautious in our language because. . X n+1 Then = G(Xn ... This makes it worth while considering how one might construct Markov chains from a given sequence of independent uniform random variables. more seriously. 1] ~ I by Go(U) =i if u E Ai. Ul. Un+1 ) for n ~ 0.

and it is desired to compute the number (5.. Applications The remainder of this section is devoted to one application of the simulation of Markov chains. . After a general discussion we shall give two examples. Markov chain Monte Carlo is sometimes the only way to simulate samples from 7r. For recall that a computer just simulates sequences of independent U[O. where. For the purposes of this discussion we shall also assume that each component 8 m is a finite set. for each site mEA.. unless 7r has product form 1r(X) = II 1r mEA m {x(m)). especially in statistics. . When 7r does not have product form. one can obtain error estimates which indicate how large to make n in practice.performing the sum (5.208 5. perhaps up to an unknown constant multiple. Monte Carlo is another name for computer simulation so this sounds no different from the procedure just discussed. 1] random variables. X(m) takes values in 8 m . It is the application which finds greatest practical use. . The essential point to understand is that A is typically a large set. However. making the state-space I very large indeed. known as Markov chain Monte Carlo.13) for some given function I = (Ii : i E I). the object of primary interest being the invariant distribution of the Markov chain and not the chain itself. L!(Xk). An alternative approach would be to simulate a large number of independent random variables Xl. statistical physics and computer science.13) state by state for a start.Xn in I. moreover.13) by 1 n . We are given a distribution 7r = (7ri : i E I). Then certain operations are computationally infeasible . But what is really meant is simulation by means of Markov chains. and to approximate (5. simulation from the distribution 7r is also difficult.. A random variable X with values in I is then a family of component random variables (X (m) : mEA). The context for Markov chain Monte Carlo is a state-space in product form I = 8m II mEA where A is a finite set. each with distribution 7r. k=l The strong law of large numbers guarantees that this is a good approximation as n ~ 00 and..

When the chosen site is m. we simulate a new random variable X n + 1 (m) with values in 8 m according to a distribution determined by X n . Indeed. Thus at each step we have only to simulate a random variable in 8 m . Theorem 1. A sufficient condition is that the detailed balance equations hold: thus for all i. The law for simulating a new value at site m is described by a transition matrix P( m).5 Markov chain Monte Carlo 209 The basic idea is to simulate a Markov chain (Xn)n~O. j#i . which is constructed to have invariant distribution Jr.3.10.8. for example. We would like Jr to be invariant for P( m). It does not matter crucially what distribution X o is given. by Theorem 1. we know. j we want There are many possible choices for P(m) satisfying these equations. The process (Xn)n~O is made to evolve by changing components one site at a time. Then. Indeed.2:Pij(m) ~ O.5. that as n ~ 00 the distribution of X n converges to Jr. assuming aperiodicity and irreducibility. make all components independent. except possibly at site m. assuming only irreducibility. given any stochastic matrix R( m) with rij(m) =0 unless i ~ j we can determine such a P(m) by for i =I j.2 shows that with probability 1. not one in the much larger space I. and for k =I m we set X n+ 1 ( k) = X n ( k) . Let us write i ~ j if i and j agree. But why should simulating an entire Markov chain be easier than simulating a simple distribution Jr? The answer lies in the fact that the state-space is a product. but we might. and then pii(m) = 1. Each component Xo(m) of the initial state X o is a random variable in 8 m . where pij(m) = 0 unless i ~ j.

On taking rij(m) = rji(m) for all i and j we find for i ~ j.210 5. Then (m n . This is called a Hastings algorithm. generating a sequence of sites (mn)n~O. Let us assume that P is irreducible. then if Y n = j we set with probability (7ririj(m)/7rjrji(m)) 1\ 1 otherwise. This is called the Gibbs sampler. where the analysis is simpler to present. we might choose a site randomly at each step. We have not yet specified a rule for deciding which site to visit when. if 7rj > 7ri. given the other components. then we adopt the new value. provided we keep returning to every site. which is easy to ensure in the examples.1) where N m == ISml. So we simply resample X n (m) according to the conditional distribution under 7r. It is particularly useful in Bayesian statistics. On taking for i ~ j we also find for i ~ j. In practice this may not matter much. i =1= j rij(m) == l/(Nm . Then (Xn)n~O is itself a Markov chain with transition matrix P= IAI. A particularly simple case would be to take for i ~ j. We know that . Applications This has the following interpretation: if X n = i we simulate a new random variable Y n so that Y n = j with probability rij(m). Alternatively. There are two commonly used special cases.1 :E P(m). This is called a Metropolis algorithm. i =1= j. whereas if 7rj ~ 7ri we adopt the new value with probability 7rj/7ri. We might choose to visit every site once and then repeat. This amounts to choosing another value jm at site m uniformly at random. mEA We shall stick with this second choice. For definiteness we mention two possibilities. Xn)n~O is a Markov chain in A x I.

7 I y) ex 7r(/-l.t 7rdi n k=O iEI as n ~ 00 with probability 1. 0:0 and . the computer output gives a good idea of how well we are doing. which it is reasonable to assume are normally disn tributed. which is the conditional density given the observations. P. Besag. Hence. 7) ex exp{ -¢o(p. . /-l is normal of mean 00 and variance cPo 1 .5. Chichester. Spiegelhalter (Chapman and Hall. We shall not pursue the matter here. J. 1995) contains many interesting references. 7). In practice one is concerned with how fast it works.807}. 1987). D. S.( 0 )2 /2} exp { -T t. and Markov Chain Monte Carlo in practice by W. The recent survey article Bayesian computation and stochastic systems by J. Richardson and D. pp. 3-40.(Yi - p)2 /2 } T ao -l+ n / 2 exp{ -{jOT}. but useful information of this type cannot be gained in the present general context. cPo. The parameters 00 . is then given by Bayes' formula 7r(/-l. . cPo 1 ). Mengersen (Statistical Science. .5 Markov chain Monte Carlo for all m and all i. that is to say.2. Thus the algorithm works eventually.Y ..10. The Bayesian approach to this problem is to assume that /-l and 7 are themselves random variables. so also 7riPij 211 = 7rjPji and so 7r is the unique invariant measure for P. we might assume that /-l rv N( 00. Green. For further reading we recommend Stochastic Simulation by B. 7) ex exp{ -cPO(/-l. D. R. Then the prior density for (/-l. For example. 7 rv r( 0:0. much more can be said. Gilks. and 7 has gamma distribution of parameters 0:0 and . . Given more information on the structure of 8 m and the distribution 7r to be simulated. Ripley (Wiley.80. j. 7) f (y I /-l.80). we have f(Xk) . -L 1 n-1 L o The posterior density for (/-l. by Theorem 1. .1 . It should also be emphasised that there is an empirical side to simulation: with due caution informed by the theory.5. with a given prior distribution. 7) is given by 7r(/-l.O )2/2}7 ao .1 (Bayesian statistics) In a statistical problem one may be presented with a set of independent observations Y1 . London. Example 5. 10 (1).80 are known. but with unknown mean /-l and variance 7. 1996). One then seeks to draw conclusions about /-l and 7 on the basis of the observations. We finish with two examples.1 exp{ -. Higdon and K.

we first simulate J-lk+1 from 7r(J-l I y. First we simulate X o.( 0)2/2} exp { -r t.00). then set Xk+1 = (J-lk+1. 00) are not finite sets does not affect the basic idea. T). At the kth stage. p) + t. Applications Note that the posterior density is no longer in product form: the conditioning has introduced a dependence between J-l and T.00). I Y. and one can show that k-1 ~ ~ f(X j ) . T I y). To make the connection with our general discussion we set 1=81 X 8 2 = JR x [0. The model consists of m copies of the preceding one.80 p)2 /2 } I'. with .8n) where n an = ao + n/2. In any case the computer will work with finite approximations to JR and [0. Nevertheless. T) with density 7r(J-l. This is not an immediate consequence of the ergodic theorem for discrete statespace.80 + 2)Yi i==l - p)2/2.t 00 1 with probability 1. for all bounded continuous functions f : I ---+ JR. say from the product form density 7r(J-l.J r(a n . given X k = (J-lk. Tk) and then Tk+1 from 7r(T I y. with a rate of convergence depending on the smoothness of 7r and f. The fact that JR and [0. r) ex exp{ -¢o(p. .J-lk+1).(Yi ex r CYo -l+ n / 2 exp { -r (. Of course. Our final belief about J-l and T is regarded as measured by the posterior density.t f(x)1r(x I y)dx as k . Tk).. the full conditional distributions still have a simple form 1r(pl 1r(r Y. Here the Gibbs sampler provides a particularly simple approach.212 5.Tk+1). numerical integration would also be feasible as the dimension is only two.(Yi - p)2 /2) } I'. but you may find it reasonable at an intuitive level. We wish to simulate X = (J-l. ¢.8n = . . We now turn to an elaboration of this example where the Gibbs sampler is indispensible.J N(On. We may wish to compute probabilities and expectations.1). T I y). Then (Xk)k~O is a Markov chain in I with invariant measure 7r(J-l.

1 .m. and j = 1.J-lj)2 /2} TQo-Hmn/2 exp{ -.5 Markov chain Monte Carlo 213 different means but a common variance.8oT}. x exp { -T t.7 I y) is infeasible. just as in the case m = 1 discussed above. . Note that.J-lj)2/2.. . . . Thus there are mn independent observations }!ij. as is direct simulation from the distribution. . with Let us write jj = (jj1.( 0 )2 /2} . .... T I y) ex exp { -¢o ~(J-lj .jjn). . with means jjj and common variance 7. for j = 1.8n = f30 + L L(Yij . numerical integration of 7r(jj. where i = 1. The prior density is given by and the posterior density is given by 1r(J-l. the means jjj. effect of speeding convergence to the equilibrium distribution. Thus one can update all the means simultaneously in the Gibbs sampler. normally distributed.m. so the Markov chain approach is the only one available.. n. We take these parameters to be independent random variables as before. ~(Yij Hence the full conditional distributions are where n m On = 00 + mn/2. i=1 j=1 We can construct approximate samples from 7r(jj. .. 7 I y).. . conditional on 7. by a Gibbs sampler method.5. remain independent. This has the. . In cases where m is large.

5. As (3 ! the weighting becomes uniform.= {(ml' m2) + m2 E A : ml + m2 E A : ml is even}. where simulation is still possible by simple modifications of the methods presented here. . Consider the sets of even and odd sites A+ = {(ml' m2) A. the fact that X is forced to take boundary values 1 does not significantly affect the distribution of X(O) when N is large.0. but there are many related models which are not.N}2 and the configuration space = AN\A N. the Ising model is rather well understood theoretically.1 .))2 where the sum is taken over all pairs {m.x(m.m'l = 1. m / } ~ A with 1m . if sinh 2(3 ~ 1. For x E A define H(x) = ! I:: (x(m) . or even to detect phenomena quite out of reach of the current theory. First we describe a Gibbs sampler.2 (Ising model and image analysis) Consider a large box A = AN in 71 2 A with boundary 8A = {-N. Applications Example 5..-1.214 5. called the Ising model. then ° In particular. uniformly in N. A famous and deep result of Onsager says that if X has distribution 1t".1. Note that H(x) is small when the values taken by x at neighbouring sites are predominantly the same. Simulations may sometimes be used to guide further developments in the theory. .. This is one of the fundamental models of statistical physics. whereas if sinh 2{3 > 1 there is a residual effect of the boundary values on X(O). .. is odd} . We write I+ and for each (3 > ° = {x E I : x(m) = 1 for all m E 8A} define a probability distribution (rr(x) : x E I+) by 1t"(x) ex e-(3H(x).. Here we consider the problem of simulating the Ising model. whereas. as (3 i 00 the mass concentrates on configurations x where H(x) is small. In fact. .

We can exploit the fact that the conditional distribution 1r(x+ product form 1r(X+ I x-) ex e/3x(m)s(m) I x-) has II mEA+\8A where. An alternative approach is to use a Metropolis algorithm. simulate firstly X~+l with distribution 1r(. the Ising model is sometimes used as a prior. By varying the parameter . independently for each m E A+\8A. the distribution of X n is approximately 1r. for large n. Let us call the resulting configuration Y n . Given that X n = x. We can again exploit the even/odd partition. Note that we did not use the value of the normalizing constant Z = e-/3H(x) L xEI+ wllich is hard to compute by elementary means when N is large.( m) for the odd sites m E A-\8A. where x(m) = 1 for a white pixel and x(m) = -1 for a black pixel.I x+).8 < 1. I x-) and then given X~+l = x+. where 1r has an approximate product structure on large scales. The process (Xn)n~O is then a Markov chain in 1+ with invariant distribution 1r. In a Bayesian analysis of two-dimensional images.x) = (1r(x)/1r(x)) 1\ 1 = e2 . Then inductively. Therefore. Choose now some simple initial configuration X o in 1+. Next we apply the corresponding transformation to Y n. Both methods we have described serve to simulate samples from 1r.+l with distribution 1r(.5 Markov chain Monte Carlo and for x E I set 215 x± = (x(m) : m E A±). Convergence is fast in the subcritical case sinh 2.8 in the Ising model. it is easy to simulate from 1r(x+ I x-) and likewise from 1r(x. Then according to our general discussion. given X. for mEA+\8A s(m) = L Im'-ml=l x-(m'). there is little to choose between them. we change the sign of Xt(m) with probability p(m.Bx(m)s(m) 1\ 1 where x ~ x with x(m) = -x(m). simulate X. = x-.5. We may encode a digitized image on a twodimensional grid as a particular configuration (x(m) : mEA) E I.. to obtain X n+1 . I x+). we vary the tendency of black pixels .

We describe the appropriate Metropolis algorithm: given that X n = x. the same methods work. Although this is not exactly the Ising model.1). which we choose according to the sort of image we expect. . y) and d(x. I y). black or white. Thus (3 is a sort of texture parameter.p)d(x. Call the resulting configuration X n + 1 / 2 .y) where a(x. change the sign of X:(m) with probability p(m.6x(m)s(m)((1_ p)/pt(m)y(m) where x ~ x with x(m) = -x(m).2 . thus obtaining a prior 7r(x).f3H (x)pa(x. Then (Xn)n~O is a Markov chain in /+ with invariant distribution 7r(. Next apply the corresponding transformation to X~+1/2 for the odd sites to obtain X n+ 1 . y) = (7r(x I Y)/7r(x I y)) = 1\ 1 e. The posterior distribution for X given observations Y is then given by 7r(x I y) ex 7r(x)f(y I x) ex e. Applications to clump together.216 5. x. Observations are now made at each site which record the true pixel. the same for white pixels. 'Cleaned-up' versions of the observed image Y may now be obtained by simulating from the posterior distribution. independently for each m E A+\8A.y) (1 . y) are the numbers of sites at which x and y agree and disagree respectively. with probability p E (0.

. The basic framework of measure and probability is reviewed in Sections 6.n} ~ I for some n E N.6. the proofs are intended to be rigorous.5. In either case we can enumerate all the elements of I . we discuss a general technique for determining probability measures and independence in terms of 1r-systems. This is proved in Section 6. This is because the state-space is at worst countable.1 Countable sets and countable sums A set I is countable if there is a bijection f : {I. are needed a number of times: these are discussed in Section 6. .1 contains some reminders about countable sets and the discrete version of measure theory. with or without a measure-theoretic background.3. except an elementary understanding of Riemann integration or Lebesgue measure. the monotone convergence theorem and Fubini's theorem. which are often more convenient than a-algebras.4. For much of the book we can do without explicit mention of more general aspects of measure theory. One crucial result which we found impossible to discuss convincingly without measure theory is the strong Markov property for continuous-time chains. Finally. When interpreted in terms of measure theory.6 Appendix: probability and measure Section 6.2 and 6. in Section 6. Two important results of measure theory.. 6. The proofs we have given may be read on two levels.or a bijection f : N ~ I. .

••• . n=l and the result follows on letting N ~ D Since the value of the sum does not depend on the enumeration we are justified in using a notation which does not specify an enumeration and write simply More generally. The set of all subsets of N is uncountable and so is the set of real numbers JR. There would have been no loss in generality had we insisted that all our Markov chains had state-space N or {I. Any countable union of countable sets is countable. ~3. Given any N E N we can find M ~ Nand N' ~ M such that Then N M N' """ A· n -< """ A· -< """ A· n L.-J In L. we have 00 00 LAin n=l = LAin' n=l Proof.. We need the following basic fact.-J 't n=l n=l 00.1.. Any subset of a countable set is countable. ~ 0 for all i E I. ~2. Appendix: probability and measure where in one case the sequence terminates and in the other it does not. .218 6. for any two enumerations of I ~1. if we allow Ai to take negative values. Any finite cartesian product of countable sets is countable. .1. Lemma 6. then we can set where .-J 't L. Let I be a countably infinite set and let Ai Then.n} for some n E N: this just corresponds to a particular choice of the bijection f. for example tl n for any n.

..1. We take the opportunity to prove these simple versions in order to convey some intuition relevant to the general case. Then as n ~ 00. iEI jEJ jEJ iEI Proof. Let jl. for any finite set J and for 2 0.discrete case). Let I and J be countable sets and let Aij 2 0 for all i E I and j E J. and that Ai ( n) 2 0 for all i and n. be an enumeration of J.2 (Fubini's theorem . Suppose for each i E I we are given an increasing sequence (Ai(n))n~O with limit Ai. Then L (LAi j) = L (LAij).6.discrete case). we have L (LAi j) L (LAij).. = iEI iEI Aij iEI By induction. Lemma 6. jji 2 0 that I)Ai + Pi) L Ai + LPi. .3 (Monotone convergence .1. Then LAi(n) i LAi as n iEI iEI -t 00. = iEI jEJ jEJ iEI The following two results on sums are simple versions of fundamental results for integrals.1 Countable sets and countable sums 219 allowing that the sum over I is undefined when the sums over I+ and Iare both infinite. There is no difficulty in showing for Ai. Hence and the result follows by symmetry. . D Lemma 6.j3.j2.

Here AC denotes the complement E\A of A in E.00] which has the following countable additivity property: The triple (E. Set 8i (1) = Ai(l) and for n ~ 2 set Then 8i (n) ~ 0 for all i and n.n E N) =* Un An E £. J-l) is called a measure space.2 Basic facts of measure theory We state here for easy reference the basic definitions and results of measure theory. Appendix: probability and measure Proof. The pair (E. n E N with Un En = E and J-l(En ) < 00 for all n. Thus £ is closed under countable set operations.1 Let I be a countable set and denote by I the set of all subsets of I. we obtain in this way all a-finite measures J-l on (I. (~8i(k)) t. For such A we obtain a measure on the measurable space (I.00) for all i.1 if Ai E [0. Recall that A = (Ai: i E I) is a measure in the sense of Section 1.I) by setting In fact. then we say J-l is a-finite. so as n ~ 00. A a-algebra £ on E is a set of subsets of E satisfying (i) 0 E £. £. by Fubini's theorem ~Ai(n) = ~ (t. Example 6.220 6. (ii) A E £ =* AC E £. Let E be a set. . £) is called a measurable space. A measure J-l on (E. £) is a function J-l : £ ~ [0.I). (~8i(k)) i = L (f 8i (k)) LAi = iEI k=l iEI o D 6.8i(k)) = t. (iii) (An E £.2. If there exist sets En E £.

It can be shown that there is a unique measure J. Example 6. .00] such that (i) ji(lA) = J. The collection of a-algebras containing A is therefore non-empty and its intersection is a a-algebra a(A).-t(a.2. We denote by m£+ the set of measurable functions f : E ~ [0.2 Basic facts of measure theory Example 6. The set of all subsets of E is a aalgebra containing A.2 221 Let A be any set of subsets of E. both lim sUPn f nand lim inf n fn are in m£+. 00] the a-algebra generated by the open intervals (a. It can be shown that there is a unique map ji : m£+ ~ [0. The intersection of any collection of a-algebras is again a a-algebra. When the range E 2 is a countable set I we take £2 to be the set of all subsets I by default.-t on (JR. i It follows that. 9 E m£+ . (ii) ji(o:f + (3g) = o:ji(f) + (3ji(f) for all f. (3 ~ 0) ~ o:f + {3g E m£+. for a sequence of functions f n E m£+. When the range E 2 = JR we take £2 = B by default. £1) and (E2 .6. {3 ~ 0.-t is called Lebesgue measure. A function f : E 1 ~ E 2 is measurable if f-1(A) E £1 whenever A E £2. (iii) (fn E m£+.3 In the preceding example take E = JR and A = {(a. m£+ is closed under countable suprema: (fi E m£+. which is called the a-algebra generated by A.2.-t(A) for all A E £.0:.a for all a. £2) be measurable spaces. b.g E m£+.i E I) ~ SUpfi E m£+. n E N) ~ ji(En fn) = En ji(fn). Let (E.b E JR. and so is limn fn when this exists. b) = b . This measure J. Also. B) such that J. Then m£ is a vector space. 00]. We denote by m£ the set of measurable functions f : E ~ JR. 0:. Then m£+ is a cone (f.a < b}. The a-algebra B generated by A is called the Borel a-algebra of JR. £) be a measllrable space. Let (E 1 .b): a. b). where we take on [0.

f. 6.222 6. (iii) P(A n ) i P(A) whenever An i A. a random variable X : 0 models a random state. We use random variables Y : 0 ~ lR to model random quantities.{3 ~ 0. then f+. with Un An = A. Thus F is a a-algebra of subsets of 0 and P : F ~ [0. Y E mF+. where for a Borel set B ~ lR the probability that Y E B is given by P(Y E B) = P({w: Y(w) E B}). ~ Similarly.. This is simply a measure space with total mass P(O) = 1. (ii) P(AI n A 2 ) = P(A I ) + P(A 2 ) for AI. f = f+ . P).and IfI = f+ + f-· If jt(lfl) < 00 then f is said to be integrable and we set We call ji(f) the integral of f. F. . A measurable function X defined on (0. It is conventional to drop the tilde and denote the integral by one of the following alternative notations: p(J) = lE r fdp = lXEE f(x)p(dx). In the case of Lebesgue measure one usually writes simply lXEJR r f(x)dx. Appendix: probability and measure For f E mE. o. given a countable state-space I.f. set f± = (±f) V 0. Thus we have (i) E(IA) (ii) E(oX = P(A) for A E F. with distribution I Ai = P(X = i) = p({w : X(w) = i}). which is the integral of Y with respect to P. To every non-negative or integrable real-valued random variable Y is associated an average value or expectation E(Y). F) is called a random variable.1] satisfies (i) P(O) = 1. A 2 disjoint. r jj.3 Probability spaces and expectation The basic apparatus for modelling randomness is a probability space (0.E m£+.. In (iii) we write An i A to mean Al ~ An ~ . + (3Y) = oE(X) + (3E(Y) for X.

00] is £1 measurable. First we shall state the theorems.4. Proofs may be found.6. When X is a random variable with values in I and f expectation of Y = f(X) = foX is given explicitly by E(J(X)) = 223 : I ~ [0. Yn i Y) :::} IE(Yn ) i IE(Y). then we shall discuss some places where they are used. For a real-valued random variable Y the probabilities are sometimes given by a measurable density function p in terms of Lebesgue measure: P(Y E B) = Then for any measurable function L p(y)dy. f : lR ~ [0.1 (Monotone convergence). £. £1. y) : E 1 ~ [0. n E N. 6. Williams (Cambridge University Press. J-l1) and (E2. (c) r yEE2 JxEE (1 f(x.4.00] is £1 measurable for all Y E E 2. J-l2) be two a-finite measure spaces. ') J l l ') . y) : E 2 ~ [0. Y)J-l2(dy) : E 1 ~ [0.4 Monotone convergence and Fubini's theorem Here are the two theorems from measure theory that come into play in the main text. (b) x ~ f yE E2 f(x. £2. Theorem 6.4 Monotone convergence and Fubini's theorem (iii) (Yn E mF+. Let (E 1 .00] is £2 measurable. J-t) be a measure space and let (fn)n~l be a sequence of non-negative measurable functions. for example.00] there is an explicit formula E(J(Y)) = L f(y)p(y)dy.2 (Fubini's theorem). Suppose that f : E 1 x E 2 ~ [0. 1991). in Probability with Martingales by D.00] the LAdi iEI where A is the distribution of X. 00] satisfies (i) x ~ f(x. y)J-t1(dx) : E 2 ~ [0.y)J-t2(dy~J-tl(dx)=1yEE2 (rxEE f(X. Then (a) y ~ f(x. (ii) Y ~ IXEE 1 f(x. Let (E.Y)J-tl(dx~J-t2(dY). Then. as n ~ 00 (fn(x) i f(x) for all x E E) :::} J-t(fn) i J-t(f)· Theorem 6.00] is £2 measurable for all x E E 1.

£2. 6.5 Stopping times and the strong Markov property The strong Markov property for continuous-time Markov chains cannot properly be understood without measure theory. So IE(Y .X.L Sn}).. . We used monotone convergence in Theorem 2. They are powerful results and very easy to use.4. Fubini's theorem is used in Theorem 3. + 9n. provided that (E.1 to see that for a nonnegative random variable Y we have IE(Y) = N--+oo lim IE(Y /\ N).00) with Lebesgue measure and (E2.L Sn}) n n~N =J~= E(exp { . J-t1) to be [0. J-t) is a-finite: just take E 2 = {I. This is also a special case of Fubini's theorem.X) and if IE(Y) < 00 we can deduce IE(Xn ) ! IE(X). There is an equivalent formulation of monotone convergence in terms of sums: for non-negative measurable functions 9n we have To see this just take .X n ) i IE(Y . n~N In the last application convergence is not monotone increasing but monotone decreasing. 3.224 6.2 to see that Thus we have taken (E 1.2 to see that for random variables Sn ~ 0 we have E(LSn) = LE(Sn) n n and E(exp { . £.10. J-t2) to be the probability space with the measure Pi.LSn}) =E(J~= exp { . But if 0 ~ X n ~ Y and X n ! X then Y . Appendix: probability and measure The measurability conditions in the above theorems rarely need much consideration.. The problem lies with the . 2. £1.3.2 as a defining property of the integral. } and J-t2( {n}) = 1 for all n..X n i Y .fn = 91 +. This form of monotone convergence has already appeared in Section 6. We used monotone convergence in Theorem 1..

Hence so X T is FT-measurable. in what terms would you require the dependence to be exhibited? So in this section we shall give a precise measure-theoretic account of the strong Markov property. Of course.5 Stopping times and the strong Markov property 225 notion of 'depending only on'. (k . for some k ~ 1. which in measure theory is made precise as measurability with respect to some a-algebra. Let (Xt)t~O be a right-continuous process with values in a countable set I. Without measure theory the statement that a set A depends only on (X s : s ~ t) does not have a precise meaning.1. on {T < t} there exists an n ~ 0 such that for all m ~ n.5.1)2. Note that this certainly implies {T<t}=U{T::. We define for stopping times T FT = {A E F : A n {T ~ t} E F t for all t ~ O}. that is to say. Then both X T and {S ~ T} are FT-measurable. by all sets {X s = i} for s ~ t and i E I.m ~ T < k2. Proof. We have {S>T}n{T~t}= so {S U sEQ. Let Sand T be stopping times of (Xt)t~o.t-l/n}EFt n forall t~O. in general. Denote by F t the a-algebra generated by {X s : s ~ t}.m ~ t and X k2 -rn = X T . if the dependence is reasonably explicit we can exhibit it. This turns out to be the correct way to make precise the notion of sets which 'depend only on {Xt : t ~ T}'. Lemma 6. and so {S ~ T} E Fr· .s~t ({T~s}n{S>s})EFt D > T} E Fr. We say that a random variable T with values in [0.00] is a stopping time of (Xt)t~O if {T ~ t} E F t for all t ~ O. but then. Since (Xt)t~O is right-continuous.6.

0.5. both measurable with respect to Qm.5.. m that is.··· .3.. Since these sets generate F t . by events of the form {Yk = i} for k ~ m and i E I or of the form {8k > s} for k ~ m and s > o. so J m + 1 is a stopping time and the induction proceeds.s~t {Jm ~ s} n {X s =1= X J71J E F t D 0. . Am(t) E Qm such that B(t) n {T < J m+ 1 } = Bm(t) A(t) n {T < Jm+ 1 } = Am(t) Set n {T < Jm+1}. We denote by Qm the a-algebra generated by yo.Jm ~ s}) n{t< Jm+d so {X s = i} E At. Jo = 0 is a stopping time. Assume inductively that J m is a stopping time. Fix t ~ 0 and consider Since Qm is a a-algebra.2. So we can find Bm(t). such that T = T m and lA = lA on {T < J m + 1 }. . Tn Proof. Then {Jm +! ~ t} for all t ~ = U sEQ. the jump time J m is a stopping time of Proof. For all m (Xt)t~o. this implies that At = Ft· For T a stopping time and A E FT we have B(t) := {T :s. Obviously. t} E F t and A(t) := An {T ~ t} E F t for all t ~ O.226 6.Y and 8 1 .Jk ~ s < Jk+l}U{Ym =i.8m . Let T be a stopping time of (Xt)t~O and let A EFT. Then for all m ~ 0 there exist a random variable T m and a set Am. Lemma 6. n {T < Jm+ 1 }. For s ~ t we have {X s = = i} n {t < J m +1} (D\Y k=O k =i. Am = then T m and Am are Qm-measurable and T ml{T<J Tn U Am(t) tEQ +l} = suptlB (t)n{T<J Tn Tn +l} tEQ = (sup tl{T~t}) l{T<J tEQ Tn +l} = Tl{T<J Tn +l} . so is At. Appendix: probability and measure ~ Lemma 6.

.2. ... By Lemma 6.5. where T m and Am are Qm-measurable. Let (Xt)(~O be Markov(A. .. Y n = in. We have to show that..8n > sn) It suffices to prove this with {T < (} replaced by {Jm ~ T < Jm + 1 } for all m ~ 0 and then sum over m. Yn = in. . . .:c: : 82 . Q) and independent of FT.Sn ~ 0 IF( {Yo = io. Tn .6.... .5.: o On {Jm ~ 8 m +1 : i T T < J m + 1 } we have.1 and 6.. all io.in E I and all S1. .5. for all A EFT. 81 :c: . D Theorem 6.. conditional on T < ( and X T = i. Q) and let T be a stopping time of (Xt)(~o.4 (Strong Markov property).. Proof On {T < (} set X = X T +t and denote by (Yn)n~O the jump chain t and by (Sn)n~1 the holding times of (Xt)t~o. X IF(A n {T < (} n {X T = i}). . 81 > S1. as shown in the diagram . {Jm ~ T} n {XT = i} E FT so we may assume without loss of generality that A ~ {Jm ~ T} n {XT = i}. .5 Stopping times and the strong Markov property and 227 Am n {T < Jm+d = = U Am(t) n {T < Jm+d tEQ U (A n {T ~ t}) n {T < Jm+d = tEQ An {T < Jm+d as required. . .8n > sn} nAn {T < (} n {XT = i}) = lFi(YO = io.5.3 we can write T = T m and 1A = 1A on {T < J m + 1 }. . (XT+t)(~O is Markov(8i .. Then. By Lemmas 6. 8 1 > S1.

8m+ 1 > 81 + (Tm .228 6.6. . From these specified probabilities we have often deduced explicitly the values of other probabilities. Then PI = P 2 · Proof. 8 m+ 2 > 82. 81 > 81. n o 8 1 > 81. F) which agree on a 7r-system A generating :F. by the Markov property of the jump chain P( {Yo = io. . Consider . conditional on Ym = i. The constructive approach we have taken should make this seem obvious.1. A 7r-system A on 0 is a collection of subsets of 0 which is closed under finite intersections.8m+ n > 8 n } n Am n {8m+ 1 > T m .:F) be a measurable space.Y = in. If a(A) we say that A generates :F.8n > 8 n } nAn {Jm ~ T < Jm + 1 } n {XT = i}) = p( {Ym = io. that our definitions determine the probabilities of all events depending on the process. D 6. Ym+n = in. for example hitting probabilities.Yn = in.J m }) = Pi(Y = io.J m and Am and. = :F Theorem 6. 8 m+ 1 is independent of gm and hence of T m . In this section we shall show. . Appendix: probability and measure Now. Let 0 be a set. but it is illuminating to see what has to be done. Let (O. in measure-theoretic terms.. thus We denote as usual by a(A) the a-algebra generated by A.8n > 8 n )P(A n {Jm ~ T < Jm + 1 } n {XT = i}) as required.· . by the memoryless property of the exponential Hence. . Let PI and P 2 be probability measures on (0.6 Uniqueness of probabilities and independence of a-algebras For both discrete-time and continuous-time Markov chains we have given definitions which specify the probabilities of certain events determined by the process. . .J m ).

Since VI = V. Suppose that (0.2 (Dynkin's 1r-system lemma). You may easily check that VI is ad-system . Since A is a 1r-system. Theorem 6. so it suffices to show V is a 1r-system. E V. We say that Fl and F 2 are independent if The usual means of establishing such independence is the following corollary of Theorem 6.6.3. You may easily check that any d-system which is also a 1r-system is necessarily a a-algebra. Then a(A) ~ V.6. so we may without loss assume that V is the smallest d-system containing A. A ~ VI. Any collection of subsets having these properties is called a d-system. Since A generates F. Let A be a 1r-system and let V be a d-system. This we do in two stages. Since V is the smallest d-system containing A. . since PI and P 2 are probability measures. the result now follows from the following lemma. Any intersection of d-systems is again a d-system. Hence also V 2 = V. this shows VI = V. F. Suppose that Then Fl and F 2 are independent. Moreover. P) is a probability space and F 1 and F 2 are sub-a-algebras of F.6.6 Uniqueness of probabilities and independence of a-algebras 229 We have assumed that A ~ V. Proof. Next consider V2 = {A E V : A n B E V for all B E V}. B E V and A ~ B) :::} B\A (iii) (An E V.1. An i A) :::} A E V. (ii) (A. You can easily check that V 2 is also ad-system. Consider first VI = {A E V : A n B E V for all B E A}. Suppose A ~ V. D The notion of independence used in advanced probability is the independence of a-algebras. D Lemma 6. V has the following properties: (i) 0 E V.6. A ~ V 2 .because V is a d-system. Let Al be a 1r-system generating F 1 and let A2 be a 1r-system generating F2. But this shows V is a 1r-system.

6. > 0 and consider the probability measure We showed in ~e first step that P(A) = P(A) for all A E A2. . In our general discussion of continuous-time random processes in Section 2. D We now review some points in the main text where Theorems 6.230 6. .. ..\ and transition matrix P determines the probabilities of all events of the form But subsequently we made explicit calculations for probabilities of events which were not of this form . Hence. There are two steps. First fix A 2 E A 2 with P(A 2 ) the probability measure > 0 and consider jp> = P on :Fl. is not necessarily measurable with respect to a(Xt : t ~ 0).1 and 6.1. P =P on :F2 . .1. In Theorem 1. So Theorem 6. Hence:F1 and :F2 are independent.Xn = in} form a 1r-system which generates the a-algebra a(Xn : n ~ 0). our definition determines (in principle) the probabilities of all events in this a-algebra. so. An argument given in ..6. by Theorem 6. Appendix: probability and measure Proof.1 we showed that our definition of a discrete-time Markov chain (Xn)n~O with initial distribution .3 are relevant.6. The point about right-continuity is that without such an assumption an event such as {Xt = i for some t > O} which might reasonably be considered to depend on (Xt)t~O.1 justifies (a precise version) of this claim.Xtn = in} form a 1r-system which generates the a-algebra a(Xt : t ~ 0).6. We note now that the events {X o = io.1. so. Next fix Al E :F1 with P(A 1) We have assumed that P(A) = P(A) for all A E AI. Now events of the form {Xto = io. by Theorem 6.such as the event that (Xn)n~O visits a set of states A.6.2 we claimed that for a right-continuous process (Xt)t~O the probabilities of events of the form for all n ~ 0 determined the probabilities of all events depending on (Xt)t~o.6. by Theorem 6..1.

Then the conclusion of the strong Markov property states that = i) = lPi(B) IT < (. which is what we did in the proof of Theorem 6.. Thus 9 ~ F where 9 = a((Yn)n~O' (Sn)n~1). JP>(B I T < (.S1 > S1. Our jump chain/holding time definition of the continuous-time chain (Xt)t~O with initial distribution . Consider now the method of describing a minimal right-continuous process (Xt)t~O via its jump process (Yn)n~O and holding times (Sn)n~1. Q) and that T is a stopping time of (Xt)t~o. n~O so also F C g.3 it suffices to prove the independence assertion for the case C = B. Assume that (Xt)t~O is Markov(.· .Yn = i n .4.Xt = i)JP>(A for all C E F and A E FT. Finally. .Yn = i n .6. On the other hand. . without some assumption like right-continuity. and that JP>(C n A I T < (. C I'fr. · .x and generator matrix Q may be read as stating that. ••• "'tn-l't n I'fr. • e-qio81 ••• e-qin-18n • Then. Set B = {Yo = i o. .4. On the set = {T < (} define Xt = X T +t and let j = a(Xt : t ~ 0). Theorem 6. for such events l1J)(B) .S1 > S1. general continuous-time processes are unreasonable.2 show that (Yn)n~O and (Sn)n~1 are F-measurable.Sn > sn}.1 and 6.6 Uniqueness of probabilities and independence of a-algebras 231 Section 2. . Then Lemmas 6. this definition determines JP> on 9 and hence on F.Sn > sn}.1.x. X T 9 = a((Yn)n~O' (Sn)n~O).6..5.. by Theorem 6. and coincide by the same argument as = g. By T~eore~ 6. write CYn)n~O and (Sn)n~O for the jump chain and holding times of (Xt)t~O and set n Thus for F F and 9 are a-algebras on n. . · . A useful1r-system generating 9 is given by sets of the form B = {Yo = i o..5.A'tO"'tO'tl \.6.·. for all i E I {Xt = i} = U {In ~ t < In+d n {Yn = i} E g. Let us take F = a(Xt : t ~ 0)..5.XT = i) with B as above. we consider the strong Markov property. We conclude that.5.XT = i) = JP>(C I T < (.2 shows that this event is measurable in the right-continuous case.

Stochastic Simulation. Freedman. T. Chapman and Hall. Ewens. D. Rogers and D. 1984.M.G. Spiegelhalter. Amsterdam.D. 1970. North-Holland. 1984. Bayesian computation and stochastic systems.E. D. Random Walks and Electrical Networks. Wiley. K. P. 1994. Markov Chains with Stationary Transition Probabilities. Berlin. Revuz. L. Wiley. 1979. Richardson and D. Markov Chains. 1989. Chichester. 2nd edition. . Wiley. Green. S. Markov Chain Monte Carlo in Practice. New York. Springer.J. 1971. Kelly. Mathematical Population Genetics. Reversibility and Stochastic Networks. 3-40. Doyle and J.R. F. Williams. Markov Processes and Martingales. Mengersen. Holden-Day. Harris. Statistical Science 10 (1) (1995).G. P. Diffusions. 1967. W. Berlin. Springer. 1978.L. London. Markov Chains. Besag. D. B. 1996. Dover. Applied Probability Models with Optimization Applications. The Theory of Branching Processes. Ross. Holden-Day. Snell.C. J. 1987. San Francisco.P. Higdon and K. Gilks. S. W.L. San Francisco.Further reading We gather here the references for further reading which have appeared in the text. Mathematical Association of America. 2nd edition. Chung. Chichester. Ripley. Carus Mathematical Monographs 22. Chichester. This may provide a number of starting points for your exploration of the vast literature on Markov processes and their applications. Vol 1: Foundations.J.

Tijms. 1993. Williams. Cambridge University Press. Chichester. Cambridge University Press. Stroock.W. Probability Theory .C. Wiley. H. Stochastic Models .An Analytic View. 1994.Further reading 233 D. D. Probability with Martingales.an Algorithmic Approach. . 1991.

112 action 198 adapted 129 alleles 175 aperiodicity 40 average number of customers 181 backward equation 62. 170 birth process 81 infinitesimal definition 85 jump chain/holding time definition 85 transition probability definition 85 birth-and-death chain 16 boundary 138 boundary theory for Markov chains 147 branching process 171 with immigration 179 Brownian motion 159 as limit of random walks 164 existence 161 in jRd 165 scaling invariance 165 starting from x 165 transition density 166 busy period 181 capacity 151 central limit theorem 160 charge 151 closed class 11. 111 closed migration process 184 communicating class 11. 111 conditional expectation 129 conductivity 151 continuous-time Markov chains 87 construction 89 infinitesimal definition 94 jump chain/holding time definition 94. 82. 97 transition probability definition 94. 121. 97 continuous-time random process 67 convergence to equilibrium 41. 168 countable set 217 coupling method 41 current 151 . 96 Bayesian statistics 211 biological models 6.Index absorbing state 11. 111 absorption probability 12. 9. 16.

97 Markov chain continuous-time 88 discrete-time 2 Markov chain Monte Carlo 206. 145 harmonic function 146 Hastings algorithm 210 hitting probability 12 hitting time 12. 126 mi. exponential of Q 62 effective conductivity 156 electrical network 151 energy 154· epidemic model 173 equilibrium distribution 33. 169 Green matrix 144. expected return time 37. exponential distribution of parameter :A 70 eQ . 115 flow 151 forward equation 62. state-space 2 infective 173 integrable 129. expected time in i between visits F n .Index detailed balance 48. 111 holding times 69 235 I. expected time in i between visits to j 35 Galton-Watson process 171 gambling 131 Gaussian distribution 160 generator 166 generator matrix 94. 97 to j 118 Markov(:A. 204 . 124 discounted value function 202 distribution 1 lE. 126. 117 ergodic theorem 53. 222 integral form of the backward equation 98 integral form of the forward equation 101 inter-arrival times 180 invariant distribution 33. expectation 222 E(:A). P) 2 Markov(:A. 208 Markov decision process 197 expected total cost 198 expected total discounted cost 202 long-run average costs 204 Markov property 3 for birth processes 84 for continuous-time chains 93 for Poisson process 75 martingale 129. 141. 168 Erlang's formula 183 excursions 24 expectation 222 expected hitting time 12. 118 explosion for birth processes 83 for continuous-time chains 90 explosion time 69 explosive Q-matrix 91 exponential distribution 70 Gibbs sampler 210 gravity 134.t{. filtration 129 fair price 135 filtration 129 finite-dimensional distributions 67 first passage decomposition 28 first passage time 19. Q) 94. 100 for birth processes 84 for Poisson process 78 Fubini's theorem 223 discrete case 219 full conditional distributions 212 fundamental solution 145 1'1. 118 J. 117 computation of 40 irreducibility 11. 111 Ising model 214 jump chain 69 jump matrix 87 jump times 69 last exit time 20 long-run proportion of time 53. 176. 113 expected return time 37.

125 right-continuous process 67 ruin gambler 15 insurance company 196 selective advantage 176 semigroup 96 semigroup property 62 service times 180 shopping centre 185 simple birth process 82 simulation 206 skeleton 122 state-space 1 .236 Index gravitational 134 in electrical networks 151 with discounted costs 142 potential theory 134 probability generating function 171 probability measure 222 probability space 222 Q-matrix 60 associated to a Markov chain 132 associated to Brownian motion 169 matrix exponentials 105 maximum likelihood estimate 56 measure 1 memoryless property 70 Metropolis algorithm 210 minimal non-negative solution 13 minimal process 69 monotone convergence 223 discrete case 219 Moran model 177 mutation 6.O(t). 118 potential 138 associated to a Markov chain 138 associated to Brownian motion 169 random chessboard knight 50 random walk on tl d 29 on a graph 49 recurrence 24. semigroup of reversed chain 124 p~j). transition matrix 2 [>. jump matrix 87 1r-system 228 Poisson process 74 infinitesimal definition 76 jump chain/holding time definition 76 transition probability definition 76 policy 198 policy improvement 201 population genetics 175 population growth 171 positive recurrence 37. rate of going from i to j 61 queue 179 MIGll 187 M/G/oo 191 MIMll 180 M/M/s 182 queueing network 183-185 queues in series 183 o(t). order notation 63 Ohm's law 151 open migration process 185 optional stopping theorem 130 IP. rate of leaving i 61 qij. probability 222 P. 114. transition semigroup 96 P(t). transition matrix of reversed chain 47 P(t). 195 resolvent 146 resource management 192 restocking a warehouse 192 return probability 25 reversibility 48. 167 recurrence relations 57 reflected random walks 195 reservoir model 194. 118 Q. generator matrix of reversed chain 124 qi. 176 non-minimal chains 103 null recurrence 37. n-step transition probability 5 II.

211. 123 transience 24. explosion time 69 . 117 stationary increments 76 stationary. 215 stochastic matrix 2 stopping time 19 strong law of large numbers 52 strong Markov property 19.policy 198 statistics 55. 93. number of visits to i before n 53 valency 50 value function 198 weak convergence 164 Wiener process 159 Wiener's theorem 161 Wright-Fisher model 175 (. 227 success-run chain 38 susceptible 173 telephone exchange 183 texture parameter 216 time reversal 47. 167 transition matrix 2 irreducible 11 237 maximum likelihood estimate 56 transition semigroup 165 truncated Poisson distribution 183 unit mass 3 Vi(n).Index stationary distribution 33. 114.

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