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Branching process is a discrete state space stochastic process. The realizations of the process are

either observed in continuous time or discrete time; our focus will be on discrete time. A discrete

time branching process satisfies the following:

Each time unit n represents a generation

there is a single individual at generation 0. This individual is referred to as an ancestor.

Every individual lives exactly one unit of time, and produces a non negative number of

offspring.

The offspring probability distribution is the same for all individuals

All individuals reproduce independently of each other

Below is a realization of a discrete time branching process through three generations starting with

a single individual(ancestor) at generation 0:

The ancestor produced three offsprings who became the first generation and his lifetime is one

genration so he dies. Of three individuals; one produces two offsprings and another produces

one offspring. The third one did not produce any offspring. The second generation has three

individuals. Of the three in the second generation, one produces one offspring, the second two

offsprings and third four offsprings. The third generation has seven individuals.

Let Zn be the population size of the n-th generation ; {Zn : n = 0, 1, 2, ..} is a branching

process. When we have a situation that can be modeled by a branching process, the interest is

usually on:

(i) Population size for n-th generation

(ii) Probability of extinction

(iii) Total progeny

Population size for generation n:

The n-th generation is the number of offsrings produced by the (n-1)-th generation. In this case

Zn1

Zn =

Xi

i=1

is a random variable with probability distribution

P r(Xi = k) = pk ,

pk = 1.

k=0

Since Zn is a random variable, our interest is on its distribution and more specifically its mean

and variance values.

The probability distribution of Zn is given by

P (Zn = k) =

j=0

j=0

(s) =

sk P (Xi = k) =

k=0

sk pk

k=0

(i) when n=1: Z1 = X1 since the zeroth generation has only one individual. Therefore the p.g.f

of Z1 is equal to the p.g.f of X1

(s) =

s P (Z1 = k) =

k=0

sk pk

k=0

p.g.f =

P (Z2 = k) sk

k=0

k=0 j=0

X

k=0 j=0

j=0

k=0

P (Z1 = j)

P (X1 + X2 + ... + Xj = k) sk

Since X1 , X2 , .., Xj are i.i.d random variables with common p.g.f (s), X1 + X2 + ... + Xj

has p.g.f [(s)]j ,

Thus

p.g.f =

j=0

p.g.f =

P (Z3 = k) sk

k=0

X

X

k=0 j=0

X

k=0 j=0

j=0

P (Z2 = j)

P (X1 + X2 + ... + Xj = k) sk

k=0

P (Z2 = j) [(s)]j

j=0

= 2 ((s)) = 3 (s)

Using the steps above, in general, the p.g.f of Zn is given by n1 ((s)) which is equivalent to

(n1 (s)) when Z0 = 1

Mean and variance of Zn :

Let E [Xi ] = , is therefore the average number of offsprings produced per individual. Also let

Var(Xi ) = 2

Using properties of conditional expectation:

(1) E[Zn ]

(i) when n=1:

E [Z1 ] = E [X1 ] =

(ii) when n=2:

E [Z2 ] = E [E [Z2 |Z1 ]]

for fixed value of Z1 , say Z1 = m,

E [Z2 |Z1 = m] = E[X1 + X2 + ... + Xm ]

= m

substituting Z1 back as a random variable;

E [E [Z2 |Z1 ]] = E [Z1 ] = E[Z1 ] = 2

E [Z3 ] = E [E [Z3 |Z2 ]]

for fixed value of Z2 , say Z2 = m,

E [Z3 |Z2 = m] = E[X1 + X2 + ... + Xm ]

= m

thus

E [E [Z3 |Z2 ]] = E [Z2 ]

= E[Z2 ] = 3

(iv) By induction

E [E [Zn |Zn1 ]] = E [Zn1 ]

= E[Zn1 ] = n

the average population size of the n-th generation is n

(2) Var(Zn )

(i) when n=1:

Var [Z1 ] = Var [X1 ] = 2

(ii) when n =2:

Var [Z2 ] = E [Var (Z2 |Z1 )] + Var [E (Z2 |Z1 )]

= E [Var (X1 + X2 + XZ1 )] + Var [E (X1 + X2 + ... + XZ1 )]

= E Z1 2 + Var [Z1 ]

= 2E[Z1 ] + 2 Var [Z1 ]

= 2 + 2 2 = 2(1 + )

(iii) when n =3:

Var [Z3 ] = E [Var (Z3 |Z2 )] + Var [E (Z3 |Z2 )]

= E [Var (X1 + X2 + XZ2 )] + Var [E (X1 + X2 + ... + XZ2 )]

= E Z2 2 + Var [Z2 ]

= 2E[Z2 ] + 2 Var [Z2 ]

= 22 + 2 2(1 + )

= 2 2 1 + + 2

5

Var [Z4 ] = E [Var (Z4 |Z3 )] + Var [E (Z4 |Z3 )]

= E [Var (X1 + X2 + XZ3 )] + Var [E (X1 + X2 + ... + XZ3 )]

= E Z3 2 + Var [Z3 ]

= 2E[Z3 ] + 2 Var [Z3 ]

= 2 3 + 2 2 2 1 + + 2

= 2 3 1 + + 2 + 3

Var [Zn ] = 2 n1 1 + + 2 + n1

Var(Zn ) =

2 n1 1n

6= 1

2n

=1

We can also use the p.g.f of Zn to obtain its mean and variance.

Probability of extinction:

One of the most interesting applications of branching processes is calculating the probability of

eventual extinction. For example, What is the probability that an infectious disease dies out before

reaching an epidemic? What is the probability that a family line (e.g. for royal families) becomes

extinct? etc.The probability of ultimate extinction is a positive value which can be obtained using

the p.g.f of the offspring distribution.

Let be the probability that beginning with one individual at zeroth generation, the population

ever dies out. may be determined by conditioning on the number of offsprings of the initial

individual as follows

= P (population dies out)

X

=

P (population dies out|Z1 = k) P (Z1 = k)

k

Now, given Z1 = k, the population will eventually die out if and only if each of k families started

by the first generation die out. Since each family acts independently and the probability that any

family dies out is just ,

X

k P (Z1 = k) = ().

=

k

s = (s),

i.e can be obtained using the p.g.f of the offspring distribution.

It turns out that the probability of extinction depends crucially on the value of :

(i) If > 1 then each individual on average produces more than one offspring and hence there

is a positive probability that the population will grow; i.e if < 1, < 1

(ii) If < 1 then the population will become extinct; i.e if < 1, = 1.

(iii) If = 1 , = 1 unless each individual constantly produces one offspring

Time to extinction

Let T be the time of extinction. If the population extincts at the n-th generation, then T = n; i.e

T = n Zn = 0 Zn1 > 0 thus

P (T = n) P (Zn = 0 Zn1 > 0)

Now

P (Zn = 0) = P (Zn = 0 Zn1 > 0) + P (Zn = 0 Zn1 = 0)

= P (Zn = 0 Zn1 > 0) + P (Zn1 = 0)

It follows therefore that

P (T = n) P (Zn = 0) P (Zn1 = 0) = n (0) n1 (0)

Examples:

(1) For a branching process {Zn : n = 0, 1, 2, ..} with offspring distribution given by p0 = 16 ,

p1 = 12 , p3 = 13 ; Determine

(a) expectation and variance of the population at generation 9

(b) probability that the branching process dies by generation 3, but not by generation 2,

(c) the probability that the process ever dies out.

Solution:

(a) Let X be the number of offspring produced by one individual.

E[X] =

V ar[X] =

xpx = 1

1

1

+ 3 = 1.5 =

2

3

(x )2 px = (0 1.5)2

1

1

1

+ (1 1.5)2 + (3 1.5)2

6

2

3

= 1.25 = 2

9

1 1.59

1 1.5

= 2399.08

G(s) =

sx px =

1

1 1

+ s + s3.

6 2

3

P r[Z3 = 0|Z2 > 0] =

=

P r[Z3 = 0 Z2 > 0]

P r[Z2 > 0]

P r[Z3 = 0] P r[Z2 = 0]

1 P r[Z2 = 0]

Now

P r[Zn = 0] = Gn (0)

1

G(0) =

' 0.1667

6

G2 (0) = G (G(0)) = G(0.1667)

1

1

= 0.1667 + 0.1667 + (0.1667)3 = 0.2515

2

3

G3 (0) = G (G2 (0)) = G(0.2515)

1

1

= 0.1667 + 0.2515 + (0.2515)3 = 0.2977

2

3

8

Thus

P r[Z3 = 0|Z2 > 0] =

0.2977 0.2515

= 0.0617

1 0.2515

1 1

+ s+

6 2

1 1

s+

0 =

6 2

s =

Now

1 3

s

3

1 3

s

3

1

1

1

1 3 1

s s + = (s 1)(s )

3

2

6

3

2

Hence

1

1

(s 1)(s ) = 0 implies that either s = 1or

3

2

The probability of extinction is 0.5.

s=

1

2

(2) A population starts off with just one female. Each female in the populations lives for one

fixed time period and then dies. While alive and independent of all other females in the

population, she gives birth to X females according to probability distribution

X=x

P (X = x)

0

0.3

1

0.4

2

0.3

(a) Find G2 (s); the probability generating function of the second generation and hence the

probability distribution of females in the second generation.

(b) Find the probability of extinction for the fourth generation.

(c) What is the probability of ultimate extinction.

Solution:

(a)

G(s) =

Thus

G2 (s) = G (G(s))

= 0.3 + 0.4G(s) + 0.3 (G(s))2

2

= 0.3 + 0.4 0.3 + 0.4s + 0.3s2 + 0.3 0.3 + 0.4s + 0.3s2

= 0.447 + 0.232s + 0.222s2 + 0.072s3 + 0.027s4

The probability distribution of females in second generation is

Z2 = z

P (Z2 = z)

0

0.447

1

0.232

2

0.222

3

0.072

4

0.027

(b)

G2 (0) = 0.447

G3 (0) = G(G2 (0)) = G(0.447)

= 0.3 + 0.4(0.447) + 0.3(0.447)2 = 0.539

G4 (0) = G(G3 (0)) = G(0.539)

= 0.3 + 0.4(0.539) + 0.3(0.539)2 = 0.603

Thus

P r[Z4 (0)] = G4 (0) = 0.603

(c)

E[X] = 0.4 + 0.3(2) = 1

hence the probability of extinction is 1. To verify, let us solve s = G(s)

s = 0.3 + 0.4s + 0.3s2

0 = 0.3s2 0.6s + 0.3

0 = 0.3[(s 1)]2

0 = [(s 1)]2

s = 1

The probability of extinction is 1.

10

Total progeny:

We may also be interested in the total number of descendants upto and including the n-th generation, this number is the total progeny. Let Yn be the total progeny at the n-th generation;

Yn = 1 + Z1 + Z2 + ... + Zn ,

n = 1, 2, ...

We can also obtain Yn using Z1 as a reference point as follows: taking n=1 as the starting point; the

j

. This variable has the same properties

total progeny for the j-th offspring (j = 1, 2, .., Z1) is Yn1

Z1

1

2

as Yn1 . Since all the Z1 act independently, Yn1 , Yn1 , .., Yn1

are i.i.d variables.

Thus

Z1

1

2

Yn = 1 + Yn1

+ Yn1

+ .. + Yn1

Probability generating function of of Yn :

let Rn (s) be the p.g.f of Yn ;

Rn (s) = E S Yn = E E S Yn |Z1

Now let Z1 = m,

E S Yn |Z1 = m

i

h

1

2

m

= E S 1+Yn1 +Yn1 +..+Yn1

m

= s E[S Yn1 ] = s (Rn1 (s))m

Therefore

Rn (s) = sE [(Rn1 (s))m ]

X

= s

(Rn1 )m (P (Z1 = m) = s (Rn1 (s))

Let (s) be the p.g.f of Yn as n ;

lim Rn (s) =

= s lim Rn1 (s)

n

(s) = s ((s))

11

Mean of Yn :

E[Yn ] = E[1 + Z1 + Z2 + ... + Zn ] = 1 + + .. + n

Thus

E[Yn ] =

n+1 1

1

n + 1

As n ;

E[Yn ] =

1

1

6= 1

=1

1

<1

Examples

(1) {Zn ; n = 0, 1, 2, ..} is a branching process in which each individual produces at most one

offspring so that p0 > 0, p1 = 1 p0 > 0 and pj = 0 j > 1. Let G(s) and Pn (s)

be the probability generating functions of offspring distribution and distribution of total

progeny upto n-th generation respectively. The two generating functions have the relation

Pn (s) = sG(Pn1 (s)). If Z0 = 1, find

(a) Pr(Zn = 0).

(b) Using Pn (s), find the probability distribution of the total progeny upto the n-th generation.

Solution:

(a)

G(s) = p0 + p1 s = (1 p1 ) + p1 s

G2 (s) = G (G(s))

= p0 + p1 (p0 + p1 s)

= p0 + p0 p1 + p21 s = p0 (1 + p1 ) + p21 s

1 p21

+ p21 s

= p0

1 p1

= (1 p21 ) + p21 s

G3 (s) = G (G2 (s))

= p0 + p1 p0 + p0 p1 + p21 s

= p0 + p0 p1 + p0 p21 + p31 s

1 p31

+ p31 s

= p0

1 p1

= (1 p31 ) + p31 s

12

By induction

Gn (s) = (1 pn1 ) + pn1 s

Thus

Pr(Zn = 0) = Gn (0) = 1 pn1

(b) By definition

P1 (s) = E S (1+Z1 ) = E S S Z1 = s S Z1 = sG(s)

Thus

P1 (s) = s (p0 + p1 s) = p0 s + p1 s2

Next

P2 (s) = sG (P1 (s))

= s p0 + p1 p0 s + p1 s2

= p0 s + p0 p1 s2 + p21 s3

P3 (s) = sG (P2 (s))

= s p0 + p1 p0 s + p0 p1 s2 + p21 s3

= p0 s + p0 p1 s2 + p0 p21 s3 + p31 s4

P4 (s) = sG (P3 (s))

= s p0 + p1 p0 s + p0 p1 s2 + p0 p21 s3 + p31 s4

= p0 s + p0 p1 s2 + p0 p21 s3 + p0 p31 s4 + p41 s5

In general

Pn (s) = p0 s + p0 p1 s2 + p0 p21 s3 + .... + p0 pn1

sn + pn1 sn+1

1

Using the p.g.f, the probabilities corresponding to

the coefficients of sk ; k = 1, 2, .., n + 1; hence if we

p pk1 k

0 1

P r[Yn = k] =

pk

k

1

13

let total progeny be Yn then

= 1, 2, ..., n

=n+1

0, 1, 2, ...; p + q = 1 and G(s) be the probability generating function of the offspring

distribution . Further let Un be the total progeny upto the n-th generation and Rn (s)

be the probability generating function of Un . Assuming Z0 = 1; find

(a) E[Yn ] when p 6= q and hence find limn E[Yn ] when q < p.

(b) the probability generating function Gn (s) of Zn when p = q and hence determine

the probability density function of T when the population first becomes extinct.

(c) H(s) = limn Rn (s); Rn (s) = sG(Rn1 (s)), p 6= q.

Solution:

(a) E[X] =

q

p

hence

E[Un ] = E[1 + Z1 + ... + Zn ]

= 1 + E[Z1 ] + ... + E[Zn ]

2

n

q

q

q

+ ... +

= 1+ +

p

p

p

n+1

1 qp

=

1 qp

q

p

< 1 thus

lim E[Un ] =

1

1

q

p

p

pq

G(s) =

X

k

pq k sk =

p

1 qs

G(s) =

1

0.5

=

1 0.5s

2s

1

G2 (s) = G(G(s)) = G

2s

2s

1

=

=

1

3 2s

2 2s

2s

G3 (s) = G(G2 (s)) = G

3 2s

3 2s

1

=

=

2s

4 3s

2 32s

14

3 2s

G4 (s) = G(G3 (s)) = G

4 3s

1

4 3s

=

=

5 4s

2 32s

43s

In general

Gn (s) =

n (n 1)s

(n + 1) ns

P r[T = n] = Gn (0) Gn1 (0)

n

n1

1

=

=

(n + 1)

n

n(n+)

(c)

lim Rn (s) =

= sG lim Rn1 (s)

H(s) = sG (H(s))

H(s) = s

p

1 qH(s)

ps = H(s) q [H(s)]

0 = q [H(s)]2 H(s) + ps

H(s) =

15

1 4pqs

2q

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