PURE BIRTH PROCESS:

A pure birth process is a continuous time, discrete state Markov process for which state
transitions are either the process remains at the current state or the state increases by one
unit. The process cannot move from higher state to a lower state since there is no death.
Specifically, we deal with a family of random variables {X(t); t ≥ 0} where the possible
values of X(t) are non negative integers representing the population size at time t. Suppose
the process is at time t; then when a birth occurs, the process goes from state n to state
n + 1. If no birth occurs, the process remains at state n. The birth process is characterized
by the birth rate λn which varies according to the state n.
Assumptions of process:
The process {X(t); t ≥ 0} satisfies the following assumptions: during time interval [t, t+δt]
where δt is a sufficiently small time interval

(i) Pr[X(t + δt) − X(t) = 1|X(t) = n] = λn δt + ◦(δt)

(ii) Pr[X(t + δt) − X(t) = 0|X(t) = n] = 1 − λn δt + ◦(δt)

(iii) Pr[X(t + δt) − X(t) ≥ 2|X(t) = n] = ◦(δt)

where
◦(δt)
lim =0
δt→0 δt

We use these assumptions to define system of equations that are useful in deriving prop-
erties of population size at gien time t.

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 Probability distribution of X(t):
Let Pr[X(t) = n] = Pn (t) and Pr[X(t + δt) = n] = Pn (t + δt).
If the population size at time t + δt is n, then what are the possible values of population
size at time t? From the assumptions, we can infer that either the population size is n or
n − 1 ; n = 1, 2, ...
Therefore

Pn (t + δt) = Pr[X(t + δt) = n]

= Pr[X(t + δt)) = n, X(t) = n] + Pr[X(t + δt)) = n, X(t) = n − 1]

Now

Pr[X(t + δt)) = n, X(t) = n] = Pr[X(t + δt) = n|X(t) = n]Pr[X(t) = n]

= Pr[X(t + δt) − X(t) = 0]Pr[X(t) = n]
= (1 − λn δt + ◦(δt))Pn (t)

and

Pr[X(t + δt)) = n, X(t) = n − 1] = Pr[X(t + δt) = n|X(t) = n − 1]Pr[X(t) = n − 1]

= Pr[X(t + δt) − X(t) = 1]Pr[X(t) = n − 1]
= (λn−1 δt + ◦(δt))Pn−1 (t)

Thus

Pn (t + δt) = (1 − λn δt + ◦(δt))Pn (t) + (λn−1 δt + ◦(δt))Pn−1 (t)

Pn (t + δt) − Pn (t) = −(λn δt + ◦(δt))Pn (t) + (λn−1 δt + ◦(δt))Pn−1 (t)

Dividing through by δt
   
Pn (t + δt) − Pn (t) δt ◦(δt) δt ◦(δt)
= −λn + Pn (t) + λn−1 + Pn−1 (t)
δt δt δt δt δt

Pn (t + δt) − Pn (t) ∂Pn (t)

lim = = Pn0 (t)
 δt→0 δt
 ∂t
δt ◦(δt)
lim λn−1 + Pn−1 (t) = λn−1 Pn−1 (t)
δt→0 δt δt
 
δt ◦(δt)
lim −λn + Pn (t) = −λn Pn (t)
δt→0 δt δt

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Combining all these

Pn0 (t) = −λn Pn (t) + λn−1 Pn−1 (t) n = 1, 2, ...

Now what if the population size at time t + δt is zero, what are the possible values of
population size at timt t? In this case the only possibility is that the size is zero and that
during the time interval [t, t + δt] no birth takes place.
For n = 0

P0 (t + δt) = Pr[X(t + δt) = 0]

= Pr[X(t + δt)) = 0, X(t) = 0]
= Pr[X(t + δt) − X(t) = 0|X(t) = 0]Pr[X(t) = 0]
= (1 − λ0 δt + ◦(δt))P0(t)
P0 (t + δt) − P0 (t) = −(λ0 δt + ◦(δt))P0(t)

Dividing through by δt
 
P0 (t + δt) − P0 (t) δt ◦(δt)
= −λ0 + P0 (t)
δt δt δt

P0 (t + δt) − P0 (t) ∂P0 (t)

lim = = P00 (t)
δt→0 δt  ∂t
δt ◦(δt)
lim −λ0 + P0 (t) = −λ0 P0 (t)
δt→0 δt δt

Combining all these

P00 (t) = −λ0 P0 (t) n = 0

The two equations

P00 (t) = −λ0 P0 (t)

Pn0 (t) = −λn Pn (t) + λn−1 Pn−1 (t) n = 1, 2, ...

are referred to as basic difference-differential equations for pure birth process.

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 We will consider four special cases of pure birth process, namely

(i) The process where λn = λ for all population sizes; i.e birth rate is a constant. This
process is Poisson process.

(ii) The process where λn = nλ; i.e birth rate is proportional to current population size
n. This process is known as simple birth process.

(iii) The process where λn = nλ + ν; ν is the rate of immigration into the population.
This process is known as simple birth process with immigration.

(iv) The proccess where  

1 + an
λn = λ a is a constant
1 + λat
This process is known as polya process.

For specified initial conditions for each of the above processes, an explicit expression for
Pn (t) can be obtained either by using probability generating function technique or by using
the iteration method.
Example:
Let {X(t); t ≥ 0} be a pure birth process with birth rate λn; n is the current population
size and initial condition X(0) = 1. Find Pn (t) = Pr[X(t) = n]using

(i) the iteration method

(ii) probability generating function technique

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 Solution:

(i) We will make use of the basic difference-differential equations to iteratively obtain
Pn (t).
For n = 1

P10 (t) = −λP1 (t)

P10 (t)
= −λ
P1 (t)
Intergating both sides with respect to t,
Z 0 Z
P1 (t)
dt = −λdt
P1 (t)

ln[P1 (t)] = −λt + c

c is the constant of integration

P1 (t) = e−λt+c = e−λt ec

Using the intial condition X(0) = 1, then P1 (0) = Pr[X(0) = 1] = 1 .

Substituting t = 0

P1 (0) = e−λ0+c
1 = e−λ0ec = ec

thus c = 0; and
P1 (t) = e−λt

For n = 2

P20 (t) = −2λP2 (t) + λP1 (t) = −2λP2 (t) + λe−λt

P20 (t) + 2λP2 (t) = λe−λt

Multiplying the equation above with an integrating factor e2λt;

P20 (t)e2λt + 2λP2 (t)e2λt = λe−λt e2λt

d λt

e P1 (t) = λeλt
dt

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Integrating both sides with respect to t
Z Z
d 2λt

e P2 (t) dt = λeλtdt
dt
e2λtP2 (t) = eλt + c

Therefore


P2 (t) = e−2λt eλt + c

Using the intial condition X(0) = 1, then P2 (0) = Pr[X(0) = 2] = 0 .

Substituting t = 0

P2 (0) = 0


e−2λ0 eλ0 + c = 0

thus c = −1; and

P2 (t) = e−2λt eλt − 1 = e−λt 1 − e−λt

For n = 3

P30 (t) = −3λP3 (t) + 2λP2 (t)

= −3λP3 (t) + 2λe−λt 1 − e−λt

P30 (t) + 3λP3 (t) = 2λe−λt 1 − e−λt

Multiplying the equation above with an integrating factor e3λt;

P30 (t)e3λt + 3λP3 (t)e3λt = 2λe−λt 1 − e−λt e3λt

d 3λt


e P3 (t) = 2λe2λt 1 − e−λt
dt
Integrating both sides with respect to t
Z Z
d 3λt


e P3 (t) dt = 2λe2λt 1 − e−λt dt
dt
e3λtP3 (t) = e2λt − 2eλt + c

Therefore


P3 (t) = e−3λt e2λt − 2eλt + c

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 Using the intial condition X(0) = 1, then P3 (0) = Pr[X(0) = 3] = 0 .
Substituting t = 0

P3 (0) = 0


e−3λ0 e2λ0 − 2eλ0 + c = 0

thus c = 1; and


P3 (t) = e−3λt e2λt − 2eλt + 1

= e−λt − 2e−2λt + e−3λt

= e−λt 1 − 2e−λt + e−2λt

2
= e−λt 1 − e−λt

Thus

2
P3 (t) = e−λt 1 − e−λt

Proceeding in this manner iteratively, we find that

n−1
Pn (t) = e−λt 1 − e−λt n = 1, 2, 3, ....

(ii) Let G(s, t) be the p.g.f of the probability distribution Pn (t). By defintion

 X(t) X∞
G(s, t) = E S = Pn (t)S n
n=1

Using the basic difference-differential equations;

Multiply the equation

Pn0 (t) = −nλn Pn (t) + (n − 1)λn−1 Pn−1 (t)

by sn and sum over all possible values of n

X
∞ X
∞ X
∞
Pn0 (t)sn = −λ n
nPn (t)s + λ (n − 1)Pn−1 (t)sn
n=1 n=1 n=1

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Now we simplify each summation one at a time

(i)
"∞ #
∂ X X X
∞ ∞
∂ ∂
G(s, t) = Pn (t)sn = Pn (t)sn = Pn0 (t)sn
∂t ∂t n=1 n=1
∂t n=1

Using this;
X
∞
∂
Pn0 (t)sn = G(s, t)
n=1
∂t

(ii)
"∞ #
∂ X X ∂ n X
∞ ∞
∂ n
G(s, t) = Pn (t)s = Pn (t) s = nPn (t)S n−1
∂s ∂s n=1 n=1
∂s n=1

Thus
X
∞ X
∞
∂
n
−λ nPn (t)s = −λs nPn (t)sn−1 = −λs G(s, t)
n=1 n=1
∂s

(iii)

X
∞ X
∞
n
λ (n − 1)Pn−1 (t)s = λ (n − 1)Pn−1 (t)sn
n=1 n=2

and
X
∞ X∞
∂
n 2
λ (n − 1)Pn−1 (t)s = λs (n − 1)Pn−1 (t)sn−2 = λs2 G(s, t)
n=2 n=2
∂s

Therefore we have
∂ ∂ ∂
G(s, t) = −λs G(s, t) + λs2 G(s, t)
∂t ∂s ∂s
The expression above can be expressed as a linear partial differential equation
∂ ∂
G(s, t) − λs(s − 1) G(s, t) = 0
∂t ∂s

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To solve this equation we proceed as follows: we first obtain the auxillary equations
to be used to solve the equation.
The equations are
∂t ∂s ∂G
= =
1 −λs(s − 1) 0
Next we solve any two of these equations and obtain a general solution for G(s, t).

(i)

∂t ∂s
=
1 −λs(s − 1)
∂s
−λ∂t =
s(s − 1)

Integrating the left and right hand sides

Z Z
∂s
−λ∂t =
s(s − 1)
Z Z
A B
−λt + c1 = ∂s + ∂s
s s−1
Z Z
−1 1
−λt + c1 = ∂s + ∂s
s s−1
−λt + c1 = − ln s + ln(s − 1) + c2
−λt + ln s − ln(s − 1) = c2 − c1 = c

c1 and c2 are constants of integration. Their difference is also a constant. The

values A = −1 and B = 1 are obtained by solving the partial equations.
(ii)

∂t ∂G
=
1 0
0∂t = ∂G

Integrating the left and right hand sides

Z Z
0∂t = ∂G
k1 = G(s, t) + k2
G(s, t) = k1 − k2 = k

k1 and k2 are constants of integration. Their difference is also a constant.

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The general solution is
  
s
G(s, t) = ψ (−λt + ln s − ln(s − 1)) = ψ −λt + ln
s−1

where ψ is a function we need to determine.

At t = 0;      
s s
G(s, 0) = ψ −λ0 + ln = ψ ln
s−1 s−1
let ω = eln( s−1 ) ; ω =
s
s ω
s−1
and s = ω−1
Now from definition

G(s, 0) = P1 (0)s + P2 (0)s2 + P3 (0)s3 + .... + Pn (0)sn + ..... = s

since P1 (0) = 1 Pn (0) = 0, n = 2, 3, ... Therefore

  
ω s
G(s, 0) = s = = ψ ln
ω−1 s−1

It follows then that

  
s e−λtω
G(s, t) = ψ −λt + ln = −λt =
s−1 e ω −1
s
Simplifying this function by substituting ω = s−1
we get

se−λt se−λt
G(s, t) = =
se−λt − s + 1 1 − s (1 − e−λt)

this is the probability generating function of geometric distribution with param-

eter e−λt;

n−1
Pn (t) = e−λt 1 − e−λt n = 1, 2, ...

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 Mean and Variance of population size:
We can use either the probability generating function technique or method of moments
technique to obtain the mean and variance of population size. For method of moments
define
X X X
M1 (t) = nPn (t) ; M2(t) = n2 Pn (t) in general Mk (t) = nk Pn (t)
n n n

and
d X d X
M1(t) = n Pn (t) = nPn0 (t) = M10 (t)
dt n
dt n
d X d X
M2(t) = n2 Pn (t) = n2 Pn0 (t) = M20 (t)
dt n
dt n

Using the basic differential-difference equations, we can obtain the mean and variance
which will be given by

E[X(t)] = M1 (t) and V ar[X(t)] = M2(t) − (M1 (t))2

Example: Using the previous example, find the mean and variance of population size
using method of moments
Solution: The basic differential-difference equation is

Pn0 (t) = −nλPn (t) + (n − 1)λPn−1 (t) n = 1, 2, ......

Multiplying this equation by n and summing over all possible values of n we obtain
X
∞ X
∞ X
∞
nPn0 (t) = −λ 2
n Pn (t) + λ n(n − 1)Pn−1 (t)
n=1 n=1 n=1

X
∞ X
∞ X
∞
nPn0 (t) = −λ 2
n Pn (t) + λ [(n − 1) + 1](n − 1)Pn−1 (t)
n=1 n=1 n=1

X
∞ X
∞ X
∞ X
∞
nPn0 (t) = −λ 2
n Pn (t) + λ 2
(n − 1) Pn−1 (t) + λ (n − 1)Pn−1 (t)
n=1 n=1 n=1 n=1

M10 (t) = −λM2 (t) + λM2 (t) + λM1 (t) = λM1 (t)

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 Now

M10 (t) = λM1 (t)

M10 (t)
= λ
M1(t)
Integrating this function we obtain
Z Z
M10 (t)
dt = λdt
M1 (t)

ln (M1 (t)) = λt + c

M1 (t) = eλt+c

At t = 0
X
M1 (0) = nPn (0) = 1P1 (0) + 2P2 (0) + 3P3 (0) + ... = 1
n
thus
M1 (0) = 1 = eλ0+c = ec
this implies c = 0

E[X(t)] = M1 (t) = eλt

Multiplying this equation by n2 and summing over all possible values of n we obtain
X
∞ X
∞ X
∞
2
n Pn0 (t) = −λ 3
n Pn (t) + λ n2 (n − 1)Pn−1 (t)
n=1 n=1 n=1

X
∞ X
∞ X
∞
n2 Pn0 (t) = −λ n3 Pn (t) + λ [(n − 1) + 1]2 (n − 1)Pn−1 (t)
n=1 n=1 n=1

X
∞ X
∞ X
∞
n2 Pn0 (t) = −λ n3 Pn (t) + λ [(n − 1)2 + 2(n − 1) + 1](n − 1)Pn−1 (t)
n=1 n=1 n=1

X
∞ X
∞ X
∞ X
∞
2
n Pn0 (t) = −λ 3
n Pn (t) + λ 3
(n − 1) Pn−1 (t) + λ 2(n − 1)2 Pn−1 (t)
n=1 n=1 n=1 n=1
X
∞
+λ (n − 1)Pn−1 (t)
n=1

M20 (t) = −λM3 (t) + λM3 (t) + 2λM2 (t) + λM1 (t) = 2λM2 (t) + λM1 (t)

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 Solve for M2 (t) by multiplying the expression for M2 (t) by integrating factor e−2λt and
intergrating it

M20 (t)e−2λt − 2λe−2λt M2 (t) = λM1 (t)e−2λt

d  
M2 (t)e−2λt = λeλt e−2λt = λe−λt
Z dt Z
d  
M2(t)e−2λt dt = λe−λt dt
dt
 
M2 (t)e−2λt = −e−λt + c


M2 (t) = −e−λt + c e2λt

At t = 0;
X
M2 (0) = n2 Pn (0) = 1P1 (0) + 22 P2 (0) + 32 P3 (0) + ... + n2 Pn (0) + .. = 1
n

M2 (0) = −e−λ0 + c e2λ0 = 1

Thus c = 2 and

M2 (t) = 2e2λt − eλt

2  
V ar[X(t)] = 2e2λt − eλt − eλt = e2λt − eλt = eλt eλt − 1

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