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

The Edinburgh Building, Cambridge CB2 2RU, United Kingdom 40 West 20th Street, New York, NY 10011-4211, USA 10 Stamford Road, Oakleigh, Melbourne 3166, Australia
© 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

6 Convergence to equilibrium 3.1 Countable sets and countable sums 6.9 Non-minimal chains 2.2 Potential theory 4.4 Poisson processes 2.6 Uniqueness of probabilities and independence of a-algebras Further reading Index . Applications 5.1 Basic properties 3.4 Markov decision processes 5.5 Markov chain Monte Carlo 6.2 Queues and queueing networks 5.2 Basic facts of measure theory 6. Further theory 4.1 Markov chains in biology 5. Appendix: probability and measure 6.1 Martingales 4.4 Recurrence and transience 3.3 Probability spaces and expectation 6.7 Time reversal 3.5 Stopping times and the strong Markov property 6.8 Forward and backward equations 2.10 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 3.3 Electrical networks 4.7 Explosion 2.4 Monotone convergence and Fubini's theorem 6.2 Class structure 3.3 Markov chains in resource management 5.8 Ergodic theorem 4.viii Contents 2.5 Birth processes 2. Continuous-time Markov chains II 3.4 Brownian motion 5.6 Jump chain and holding times 2.3 Hitting times and absorption probabilities 3.5 Invariant distributions 3.

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

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

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

In this introduction we shall discuss a few very simple examples and preview some of the questions which the general theory will answer. when it is usual to refer it as a Markov chain. . In this book we shall present general techniques for the analysis of Markov chains.. m. Such a process is called a Markov process. and to compute probabilities and expected values which quantify that behaviour. What makes them important is that not only do Markov chains model many phenomena of interest. 2. The letters n. . We shall consider chains both in discrete time n E Z+ and continuous time = {O. This means that only the current state of the process can influence where it goes next. Examples of Markov chains abound. together with many examples and applications. 1. 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. as you will see throughout the book. We shall be concerned exclusively with the case where the process can assume only a finite or countable set of states. } t E jR+ = [0. but also the lack of memory property makes it possible to predict how a Markov chain may behave.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. k will always denote integers. (0)..

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

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

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

3.5 on hitting times. Part of that understanding will come from familiarity with examples.5. lP). Theorem 1.2 on the strong Markov property. F.7 on invariant distributions and positive recurrence. Recall that a random variable X with values in I is a function X : 0 --+ I.1 Discrete-time Markov chains This chapter is the foundation for all that follows. then we call A a distribution.2 and 1. . Theorem 1.3 on reversibility. Once you understand these you will understand the basic theory. and Theorem 1. Suppose we set Ai = IF(X = i) = IF( {w : X(w) = i}).3 characterizing recurrence and transience.4. Theorem 1.9. 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 1.3. For better orientation we now list the key theorems: these are Theorems 1. Discrete-time Markov chains are defined and their behaviour is investigated. so a large number are worked out in the text. Theorem 1. We work'throughout with a probability space (0. 1. Theorem 1.8.7.3 on convergence to equilibrium.10. Exercises at the end of each section are an important part of the exposition. Each i E I is called a state and I is called the state-space.2 on longrun averages.1 Definition and basic properties Let I be a countable set.

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

. .I = iN-I) On the other hand... for n 0. . ·Pirn+n-lirn+nlP(A I Xm = i) (1.1) holds for N .. X n+1 = in+I)/P(XO = i o.1 Definition and basic properties 3 Proof.. D The next result reinforces the idea that Markov chains have no memory. (Xm+n)n~O is Markov(8 i . if (1. First consider the case of elementaryevents A = {X o = i o.Xm = 8iirnPirnirn+l . . then by summing both sides over iN E I and using EjEI Pij = 1 we see that (1.. .. then P(Xo = iO.· .XI = i l .N..Xm . P) and is independent of the random variables X o. ..1. P). P). .. Theorem 1. ..1.1 and..· . In particular.1. . where 8ij ={ ° I ifi=j otherwise. .1. conditional on X m = i.N .Xn = in) So (Xn)O~n~N is Markov(A. . Suppose (Xn)O~n~N is Markov(A...2) then the result follows by Theorem 1.1.Xn = in) = P(Xo = i o. lP(XN = iN I X o = io. . P(Xo = io) = Aio and..XN.. .. Proof. .1. P(Xn+ 1 = i n+ 1 I X o = io.2 (Markov property).... We write 8i = (8 ij : j E I) for the unit mass at i. . Let (Xn)n~O be Markov(A. .1) holds for N. . . . by induction for all n = 0. .Xm = i m }.Xm+n = im+n } n A I X m = i) Xo~.XN = iN) = P(Xo = iO)P(XI = il I X o = io) . Then.Xn = in. P).1.··· . We have to show that for any event A determined by we have lP({Xm = im..

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

(i) By Theorem 1.I = in-I.1 5 P(Xn = j) = = ioEI L ·.1. D = i. conditional on X m (8i .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 ) . The following examples give some methods for calculating p~j).(3) PII + {3 .. (n) We also know that pi~) + pi~) = IP\ (Xn = 1 or 2) = 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. L L .1.. (n) This has a unique solution (see Section 1. L P(Xo = i o.a .11): (n) PII = {_(3_ + a + {3 1 _a_(l_ a a + {3 (3)n for a for a + {3 > 0 + {3 = O. P).1.1 Definition and basic properties Proof. so we just take A = 8i in (i). X n = j) AioPioil" · Pin-Ii = (Apnk in-lEI ioEI in-lEI (ii) By the Markov property.··· ..Xn. so by eliminating pi~) we get a recurrence relation for pi~): PII (n+I) - (1 . . Example 1.

Pij = a / (N - 1) for i =I j.1. + (1. or with probability a mutates to another strain.6 Consider the three-state chain with diagram 1 3 2 1 2 .a.1) in Example 1. Thus we have a two-state chain with diagram a/(N . in this example there is a much simpler approach. In fact.1. and a transition from another state to the initial state with probability a/(N .5 (Virus mutation) Suppose a virus can exist in N different strains and in each generation either stays the same.4 we find that the desired probability is -!. with N x N transition matrix P given by Pii = 1 . Example 1.6 1.1) and by putting (3 = a/(N . which relies on exploiting the symmetry present in the mutation rules.~)n N N N-1· Beware that in examples having less symmetry. Discrete-time Markov chains Example 1.1). this sort of lumping together of states may not produce a Markov chain. At any time a transition is made from the initial state to another with probability a. which is chosen at random.1.) (1.-!. Then the answer we want would be found by computing pi~). 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.

i/2.2 ( .1)(4x 2 The problem is to find a general formula for pi~).)n + c (")n ~ ~ for some constants a. 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. band c. so we get equations to solve for Q. First we compute the eigenvalues of P by writing down its characteristic equation o = det (x - P) = x(x - ~)2 .~ + 1).1 Definition and basic properties and transition matrix 7 p= (~ ~ I)· = ~(x . P is diagonalizable. The first few values of pi~) are easy to write down. -i/2 and from this we deduce that pi~) has the form Pu (n) =a+b 2 .) 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. (The justification comes from linear algebra: having distinct eigenvalues. The eigenvalues are 1.(. (3 and ~: 1= pi~) = Q p(2) 11 - o = pii) O- + (3 = + ~l' Q r\J L. (3 aDd~.1. that is. - 1(3 4 .

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

(d)X n = (Sn.] 1. all other scores having equal probability... are independent. (b) X n = Sn. By considering the relationship between the two dice find the value of p for the new die. A second flea also hops about on the vertices of a triangle. but this flea is twice as likely to jump clockwise as anticlockwise.4 A flea hops about at random on the vertices of a triangle.p. 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. B by being given repeated trials in which it is shown both and is rewarded with food if it chooses A.1. Sn = Z1 + ..1. . In the cases where (Xn)n~O is a Markov chain find its state-space and transition matrix. + Sn. all other scores having probability 1/5.1 Definition and basic properties 9 Suppose now that Zo. + Zn. + Sn). 1.6 An octopus is trained to choose object A from a pair of objects A. (c) X n = So + ..5 A die is 'fixed' so that each time it is rolled the score cannot be the same as the preceding score. .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.1 = k) is not independent of k. So + . Z1. with all jumps equally likely. and in the cases where it is not a Markov chain give an example where P(Xn+1 = ilXn = j. Find the probability that after n hops the flea is back where it started.. 1. Set So = 0. in state 2 it remembers and chooses A but may forget again. 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 ? . 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... 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. If the first score fS 6. In each of the following cases determine whether (Xn)n~O is a Markov chain: (a) X n = Zn. in state 3 it remembers and chooses A and never forgets. It is in state 1 before the first trial. identically distributed random variables such that Zi = 1 with probability p and Zi = 0 with probability 1 . X n.1.

with reference to the value of Pn+ 1 (A) that you have found. Proof..2. It is sometimes possible to break a Markov chain into smaller pieces.3} with transition matrix 1 2/3 1.in-l Pii 1 P i li2 . whether this is possible. For distinct states i and j the following are equivalent: (i) i (ii) ~ j. 1.2 Class structure = 1/16. 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. each of which is relatively easy to understand.. Observe that p~j) ::. . lPi(Xn =j for some n ~ 0) ::. This is done by identifying the communicating classes of the chain. Pin-li n > 0 for some states io...10 1.in with io = i and in = j. L p~j) n=O 00 which proves the equivalence of (i) and (iii).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.1. ~ ~ j if both i j and j ~ i. (c) p = 1/12.. .il. Calculate P(Xn = 11Xo = 1) in each of the following cases: (a) p (b) p = 1/6. Discuss.P 0 ) 1/3 0 ... Also p~j) = L il .2.. and which together give an understanding of the whole. P i oi l P i li2 . . 0 . Theorem 1. 1.7 Let (Xn)n~O be a Markov chain on {1. ·Pin-d so that (ii) and (iii) are equivalent. (iii) p~j) > 0 for some n ~ O.

Exercises 1.6} being closed. So ~ satisfies the conditions for an equivalence relation on I. The smaller pieces referred to above are these communicating classes. with only {5. A state i is absorbing if {i} is a closed class.6}. {4} and {5.1 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? .2. Also i ~ i for any state i. Thus a closed class is one from which there is no escape. We say that a class C is closed if i E C.2. and thus partitions I into communicating classes. Example 1.1. when one can draw the diagram.3}.3 Hitting times and absorption probabilities 11 It is clear from (ii) that i ~ j and j ~ k imply i ~ k. As the following example makes clear. the class structure of a chain is very easy to find.2. A chain or transition matrix P where I is a single class is called irreducible. i ~ j imply j E C.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.

here is a simple example.. The probability When A is a closed class. We shall often write less formally Remarkably.. } 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 00.1.2. 1.3 Hitting times and absorption probabilities Let (Xn)n>O be a Markov chain with transition matrix P.2. .12 1. hf is called the absorption probability. Find an example of a transition matrix with no closed communicating class. these quantities can be calculated explicitly by means of certain linear equations associated with the transition matrix P. 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). The hitting time of a subset A of I is the random variable H A : n ~ {O. Discrete-time Markov chains 1.2 Show that every transition matrix on a finite state-space has at least one closed communicating class.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. what is the probability of absorption in 4? How long does it take until the chain is absorbed in 1 or 4? Introduce . Example 1.3. Before we give the general theory.

then H A ~ 1. A. (1.2. and consider the situation after making one step.1. Here is a general result for hitting probabilities.3) Xi ~ (Minimality means that if x = for all i. in assuming that the chain begins afresh from its new position after the first jump. If X o = i fj. Theorem 1. 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 + ~). k2 = 1 + ~k3 = 1 + ~(1 + ~k2).3). Suppose now that we start at 2. If X o = i E A. starting from 2.XI = j) jEI = LJPi(H < 00 I Xl = j)JPi(XI = j) = LPijhf. Similarly. then H A so hf = 1. the probability of hitting 4 is 1/3 and the mean time to absorption is 2. so by the Markov property = 0.3. jEI jEI A .) i E I) is another solution with 0 Proof. and hf = lP\(H A < 00) = LJPi(H A < oo. With probability 1/2 we jump to 1 and with probability 1/2 we jump to 3. hI = 0. 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. So. A.3 Hitting times and absorption probabilities 13 Clearly. then Xi ~ hi for all i. First we show that h A satisfies (1. So The 1 appears in the second formula because we count the time for the first step. h4 = 1 and k l = k4 = o.

Suppose i ¢ A. Discrete-time Markov chains Suppose now that X = (Xi: i E I) is any solution to (1.14 1. 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. A. and the remaining terms sum to JP>i(H A ~ n).Xn I + . A.3). D Example 1. then Xi Substitute for Xi Xj = Xi = 1 = '2:PijXj jEI = '2:Pij jEA + '2:PijXj.1 (continued) The system of linear equations (1. but the minimality condition now makes us take hI = 0... Then hf for i E A. j~A to obtain = LPij jEA + LPij(LPjk + j~A LPjkXk) k~A kEA = JPli(X1 E A) + JPli(X1 ¢ A. so is the last term on the right.3).. . h2 = ~hl + ~h3. + JP>i(XI jn~A fj. .3) for h = h{4} are given here by = 1.3. Of course. 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. h4 so that h3 = ~h2 + ~h4 and The value of hI is not determined by the system (1. the extra boundary condition hI = 0 was obvious from the beginning .. so we recover h 2 = 1/3 as before... L PiiIPjli2 · · · Pjn-lin Xjn' Now if X is non-negative. X n E A) + L jl~A .

i-l = q. Pi. for i = 1.. if p has a general solution hi = A+ Bi ~ = 0. In cases where the state-space is infinite it may not be possible to write down a corresponding extra boundary condition. so there is no upper limit to your fortune. (See Section 1.2. The transition probabilities are Poo = 1. Example 1. £1 at a time. the minimality condition is essential.11. q 1( p o • I( 1 i i +1 •• where 0 < P = 1 . so the minimal nonq the recurrence relation .3..2. Then. q I( p . as we shall see in the next examples.i+l = P Imagine that you enter a casino with a fortune of £i and gamble.) If P < q.. Pi. hi = ph i+1 + qhi . The resources of the casino are regarded as infinite. so hi = 1 for all i. ... If p =I q this recurrence relation has a general solution hi = A +B (~) i .. If p > q. for i = 1.. . then h is the minimal non-negative solution to h o = 1.q < 1.1.3 (Gamblers' ruin) Consider the Markov chain with diagram q p • . then the restriction 0 ~ hi ~ 1 forces B = 0.1 . Finally.. 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. But what is the probability that you leave broke? Set hi = IPi(hit 0). with probability P of doubling your stake and probability q of losing it. which is the case in most successful casinos..

Example 1... the restriction 0 ~ hi ~ 1 forces A = 0 and hi = 1 for all i. But if L::o ~i < 00 then we can take A > 0 so long as l-A(~o+ . even if you find a fair casino. for i = 1..qi < 1. then PiUi+1 = qiUi. -...---. Discrete-time Markov chains and again the restriction 0 ~ hi ~ 1 forces B = 0.16 1... This apparent paradox is called gamblers' ruin. so where the final equality defines UI ~i. At this point A remains to be determined.. you are certain to end up broke.• t i+l qi+1 Pi+1 where... .4 (Birth-and-death chain) Consider the Markov chain with diagram o .t(-. But here we allow Pi and qi to depend on i..2.. hi = Pihi+1 + qihi-I.... Pi being the probability that we get a birth before a death in a population of size i. Such a chain may serve as a model for the size of a population. ..2... (I---. In the case L::o ~i = 00.~ ql PI qi Pi ---... Then = h o .I . As in the preceding example...hi..... But consider Ui = h i . + Ui so where A = UI and ~o = 1.... . for i = 1.. Thus. recorded each time it changes. We write down the usual system of equations ho = 1. so hi = 1 for all i. we have 0 < Pi = 1 . This recurrence relation has variable coefficients so the usual technique fails.3..... +~i-I)~O for all i. 0 is an absorbing state and we wish to calculate the absorption probability starting from i..-••. ..hi + ..t(~--- 1 i . Then hi = IPi(hit 0) is the extinction probability starting from i. .

so.3. for example. 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) + . 1x1 ==j is the random variable equal to 1 if Xl = j and equal to 0 otherwise. so the population survives with positive probability. Then for i E A. . then HA so kf = o. = 0. . If i f/: A. (1... If X o = i f/: A.. If X o = i E A. for i = 1.3 Hitting times and absorption probabilities 17 Thus the minimal non-negative solution occurs when A = then (E:o Ii) -1 and In this case.1. First we show that k A satisfies (1. Here is the general result on mean hitting times. 'Pjn-dnYjn' . Theorem 1..2.. where H A is the first time (Xn)n~O hits A. Recall that kf = Ei(H A )..4). then H A ~ 1.. by the Markov property. L jn~A PiilPilh .4). 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. so.5. we have hi < 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.4) Proof. We use the notation 1B for the indicator function of B. + lP'i(H A ~ n) + L jl~A .

. gambler will achieve his aim with probability 1/5.18 1. Discrete-time Markov chains So. 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.2 A gambler has £2 and needs to increase it to £10 in a hurry. (b) and (c) made in example (v) of the Introduction.3. if he wins. letting n ----* 00. Yi 2: Wi(H A 2: 1) and. he wins a sum equal to his stake. otherwise he loses his stake. + Wi(H A = 2: n) Yi 2': Exercises L IP\(H n==l A 2': n) JEi(H A ) = Xi- D 1.. and his stake is returned. to £10. He can play a game with the following rules: a fair coin is tossed.3. if a player bets on the right side.3 A simple game of 'snakes and ladders' is played on a board of nine squares.3. 1. Pro~e that the What is the expected number of tosses until the gambler either achieves his aim or loses his capital? 1. if y is non-negative. Let X o == 2 and let X n be his capital after n throws. .1 Prove the claims (a). + .

1. Pi. the process after time m begins afresh from i. at some random time H..1 jumps straight to i.4. the process after time H .i-l = 1. Pi. by watching the process. instead of conditioning on X m = i. .4 Let (Xn)n~O be a Markov chain on {O.1. 1.. for example H .2. so it does not simply begin afresh. . . we simply waited for the process to hit state i. } U {(X)} is called a stopping time if the event {T = n} depends only on X o .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. Suppose. you know at the time when T occurs... If you land at the foot of a ladder you climb to the top.1. Intuitively. but if you land at the head of a snake you slide down to the tail.. 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 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. after all.Xn for n = 0.i+l + Pi.I? In this section we shall identify a class of random times at which a version of the Markov property does hold. .. Xl. If asked to stop at T.1. .3. This class will include H but not H -. . .Xn E A}.3 is a stopping time because {H A = n} = {X o ~ A..Xn l ~ A.. What can one say about the process after time H? What if we replaced H by a more general random time.1 we proved the Markov property. you know when to stop.2.. 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. Examples 1. A random variable T : n ~ {O.i+l = i + ( -i- 1) 2 Pi. . i ~ 1. conditional on X m = i..i-l.. This says that for each time m. } with transition probabilities given by POI = 1.4 Strong Markov property In Section 1.

. conditional on T < 00 and X T = i. Proof. and divide by lP(T < 00. P) and let T be a stopping time of (Xn)n~O. Xl. . .20 1. .Xn = jn)JP>(B I T < 00.XT . Xl. 1.. if T is a stopping time and B ~ n is determined by X o. . X T = i) to obtain JP>( {XT = jo..4. .3.Xm .XT+n = jn} n BIT < 00.. The crucial point is that.. . If B is an event determined by X o.XT+n = in} n B n {T = m} n {XT = i}) = JP>i(XO = io. Now sum over m == 0. then B n {T = m} is determined by X o.. Xl = jl. Xl.XT .~ 1 i +1 . 2.. Then. so.·.. . X T = i).Xm . (XT+n)n~O is Markov(8 i .XI .. . then B n {T == m} is determined by X o. . Let (Xn)n~O be Markov(A. XT+I = il. X T = i) = JP>i(XO = jo... . .. 2..X I = jl. .3 Consider the Markov chain (Xn)n~O with diagram q p • ~ q I( • p ~ q i p o • I( I(. by the Markov property at time m lP( {XT = io. 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.Xn = jn)JP>(B n {T = m} n {XT = i}) where we have used the condition T = m to replace m by T. . Example 1. D The following example uses the strong Markov property to get more information on the hitting times of the chain considered in Example 1. 1. == n} depends on We sllall show that the Markov property holds at stopping times.2 (Strong Markov property). .3.. Xl. P) and independent of XO.4. for all m = 0.XT. Theorem 1. X T+I = jl..

. Thus ¢ = ¢( s) satisfies and pS¢2 ... 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! + . 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. ) } = qs +pq s = + . Then. Apply the strong Markov property at !II to see that under lP 2. is independent of HI and has the (unconditioned) distribution of HI. 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. where iio. Here we obtain the complete distribution of the time to hit 0 starting from 1 in terms of its probability generating function. for 0 ~ s < 1 </>(s) = lEI (sHo) = 2: snIP (Ho = n).¢ + qs =0 (1. the time taken after time 1 to get to 0.1. We know from Example 1. we have H o = HI + H o.. 2 3 .q < 1. 1 n<oo Suppose we start at 2. has the same distribution as H o does under lP 2 . where H o... conditional on Xl = 2. Set H j = inf{n ~ 0 : X n = j} and. by the Markov property at time 1.3 the probability of hitting 0 starting from 1. 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..5) ¢ = (1 ± VI .4 Strong Markov property 21 where 0 < p = 1 . conditional on HI < 00.3. the time taken after HI to get to 0.4pqs2)/2ps. slPl(Ho = 1) + s2lP l (Ho = 2) + s3lP l (Ho = 3) + . we have H o = 1 + H o.

.4.1. that P(Ym +1 = i m +1 I Yo = i o.rn +l 't 't . 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.. where the mean hitting time has a chance of being finite. for m = 0.) It is only worth considering the case p ~ q..P 1(Ho = 2).4pq = VI . Example 1.22 1.im+l E J.4 We now consider an application of the strong Markov property to a Markov chain (Xn)n~O observed only at certain times. For each m we can check J.4p + 4p2 = 11 We can also find the mean hitting time using 2pl = 12q .. T m + 1 = inf{n > Tm : X n E J}.5) to obtain 2ps¢¢' so + p¢2 - ¢' + q = 0 ¢'(s) = (p¢(S)2 + q)/(l - 2ps¢(s)) ~ 1/(1 . On letting s lI]) i 1 we have ¢(s) ~ P1(Ho < 0 00). so . See Example 5. . 2. rn . Ym = i m ) = P(XTrn + 1 = i m + 1 I X To = i o. The resulting process (Ym)m~O may be obtained formally by setting Ym = X Trn . 1..1 for a connection with branching processes.11. Let us assume that lP(Tm < 00) = 1 for all easily that T m. (Remember that q = 1- p.2p) = l/(q . for m. are readily checked from first principles.··· . Differentiate (1.··· . . the time of the mth visit to strong Markov property applies to show. Discrete-time Markov chains The first few probabilities P1(Ho = 1).XTrn = i m) = Pi rn (XT 1 = i m +1 ) = p-. so VI .. ..p) as s i 1. So the i o.1rl (Ii < 00 ) _ 1- VI - 4pq _ { 1 if p ~ q 2p q/p if p > q. where To = inf{n ~ 0 : X n E J} and. is a stopping time.

"Y2.1 Let Y1 . ... is changed to lP(Y1 lP(Y1 = -1) = 1/2.4. ••• be independent identically distributed random variables with lP(Y1 = 1) = lP(Y1 = -1) = 1/2 and set X o = 1.2 the claim made at (1. .2 Deduce carefully from Theorem 1. The resulting process (Zm)m~O is given by Zm = XS rn where 8 0 = 0 and for m = 0. Let us assume there are no absorbing states.3. for i =I j Pij = Pij/ LPik.. Suppose the distribution of Y1 .. by the strong Markov property lP(Zm+l = im+l I Zo = io. Define H o = inf{n ~ 0 : X n = O}. the vector (h{ : i E I) is the minimal non-negative solution to (1.2¢ + s = 0 . X n = X o + Y1 + . 1.6)..6) h{ = Pij + LPik h 1· k~J Thus (Ym)m~O is a Markov chain on J with transition matrix P. Find the probability generating function ¢(s) = E(sHO). 1.. .Zm = i m) = lP(XSrn + 1 = im+l I XS o = io.Xsrn = im ) = lPirn (XS1 = i m +1 ) = Pirnirn+l where Pii = 0 and. Show that ¢ now satisfies s¢3 ..··· . . + Yn for n ~ 1. A second example of a similar type arises if we observe the original chain (Xn)n~O only when it moves. for j E J. j E J Pii - = hi i and where. Y2 .2.. Again the random times 8 m for m ~ 0 are stopping times and.4 Strong Markov property 23 where. k=j:i Thus (Zm)m~O is a Markov chain on I with transition matrix Exercises P. for i. .1.1. = 2) = 1/2.4.

We IIOW define inductively the rth passage time Ti(r) to and. Thus a recurrent state is one to which you keep coming back and a transient state is one which you eventually leave for ever. Discrete-time Markov chains 1. 00 The following diagram illustrates these definitions: Xn i T.2..24 1. . for r = 0. We say that a state i is recurrent if lPi(Xn =i for infinitely many n) = 1.(O) ~ n .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. 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. We say that i is transient if IPi(Xn =i for infinitely many n) = O.1. We shall show that every state is either recurrent or transient. .

. . conditional on T < 00. =0 Proof. It is automatic that X T = i on T < 00. . we can compute the distribution of Vi under Pi in terms of the return probability Lemma 1. conditional on Ti(r-I) < pendent of {Xm : m ~ Ti(r-I)} and 00.XT . sir) is inde- Proof. Apply the strong Markov property at the stopping time T = Ti(r-I). Recall that the indicator function l{xl==j} is the random variable equal to 1 if Xl = j and 0 otherwise. Suppose inductively that it is true for r. Observe that if X o = i then {Vi > r} = {Ti(r) < oo}.2. But sir) so = inf{n ~ 1 : X T +n = i}... .5.1.3.. For r = 0. D sir) is the first passage time of (XT+n)n~O to state i. P) and independent of X o.. so by induction the result is true for all r. and si r+ I) < < 00 I Ti(r) < oo)Pi(Ti(r) < 00) = f[+1 by Lemma 1. When r the result is true. So. Lemma 1.1.5. (XT+n)n~O is Markov(8i .1. then Pi ( Vi > r + 1) = Pi ( T i(r+I) < 00 00 ) 00) = Pi(Ti(r) < = Pi (Sfr+I) = fif. D . . we have Pi (Vi > r) = fi.. Xl.1.2.5 Recurrence and transience 25 Our analysis of recurrence and transience will rest on finding the joint distribution of these excursion lengths.5. n==O n==O Also. For r = 2.. . 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). Let us introduce the number of visits Vi to i.

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.

. 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.1 / 2 Z and X n == 0 if and only if X~ == 0 == X. Suppose we start at o..2 (Simple symmetric random walk on Z2) The simple symmetric random walk on Z2 has diagram 31 :4 . This makes it clear that for X n we have Poo (2n) == asn~oo .6 Recurrence and transience of random walks Example 1. 1 :4 . are independent simple symmetric random walks on 2..6...1. 1 1 .~ :4 1 :4 and transition probabilities Pij 1/4 { 0 == ifli-jl==l otherwise.

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

X m + 1 .3. We say A is invariant if AP == A. By Theorem 1.2.1 The rooted binary tree is an infinite graph T with one distinguished vertex R from which comes a single edge. . 7 Invariant distributions 33 Exercises 1.1. Proof. Then (Xm+n)n~O is also Markov(A. conditional on X m+n == i.7.P) and suppose that A is invariant for P. Remember that a measure A is any row vector (Ai : i E I) with non-negative entries. The random walk on T jumps from a vertex along each available edge with equal probability.Xm+n and has distribution (Pij : j E I). P(Xm == i) == (Apm)i == Ai for all i and.6. P). 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. clearly. X m+n+ 1 is independent of X m .6.2 Show that the simple symmetric random walk in Z4 is transient..7. Theorem 1.1.7 Invariant distributions Many of the long-time properties of Markov chains are connected with the notion of an invariant distribution or measure. The terms equilibrium and stationary are also used to mean the same. at every other vertex there are three edges and there are no closed loops. == (7rj : j E I) is an invariant distribution. Proof. D The next result explains the term equilibrium. Let (Xn)n~O be Markov(A. 1. Let I be finite.. Theorem 1. The first result explains the term stationary. Suppose for some i E I that p~j) Then 7r ---t 7rj as n ---t 00 for all j E I. Show that the random walk is transient.1.== n~oo 1m (n) 1m L kEI P-k Pkj ~ (n) == L kEI n~oo 1· 1m P-k Pkj ~ (n) == L kEI 7rkPkj .

The limit is certainly invariant.2 is not a very useful result but it serves to indicate a relationship between invariant distributions and n-step transition probabilities. Example 1. j E I.7. the distribution ((3/(0: + (3).3 we shall prove a sort of converse.34 1.0:/(0: invariant. D Notice that for any of the random walks discussed in Section 1. In Theorem 1.8.7. Discrete-time Markov chains where we have used finiteness of I to justify interchange of summation and limit operations.4 pn ~ ((3/(a (3/(a + (3) + (3) a/(a + (3)) a/(a + (3) as n ~ 00. but it is not a distribution! Theorem 1.1. + (3)) must be Example 1.6 we have p~. There are of course easier ways to discover this. which is much more useful. Hence 7r is an invariant distribution. by Example 1. so.( l-a (3 Ignore the trivial cases 0: = (3 = 0 and 0: = (3 = 1.) ---t 0 as n ---t 00 for all i.7. Then.7.2.4 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 - .3 Consider the two-state Markov chain with transition matrix p. by Theorem 1.

consider for each i the expected time spent in i between visits to k: Tk. . In the next two results we shall show that every irreducible and recurrent stochastic matrix P has an essentially unique positive invariant measure. Proof. so P must have a row eigenvector with eigenvalue 1.1.7. 7 Invariant distributions 35 In terms of the chain. (i) This is obvious. when X o has distribution 7r. Then (i) l'~ = 1.) in Example 1. According to Example 1. and another equation is required to fix 7r uniquely..5. The equations are homogeneous so one of them is redundant. That equation is and we find that 7r = (1/5.1. n7r) + CSln 2 we could have used Theorem 1. by the Markov property at n .7.l .2/5). Xl.Xn .2 and knowledge of 7r1 to identify a = 1/5. . . for all i E I. so the column vector of ones is an eigenvector with eigenvalue 1. instead of working out p~. Tk} depends only on X o.6 pi~) ~ 1/5 as n ~ 00 so this confirms Theorem 1. knowing that p~~) had the form PII (n) = a + (l)n (bcos 2 2 n7r . so.1. (ii) For n = 1.2/5. Alternatively.1 . The proofs rely heavily on the probabilistic interpretation so it is worth noting at the outset that. For a fixed state k. and the equations require Xl also to have distribution 7r. the event {n ::.7. the right-hand sides give the probabilities for Xl.6. for a finite state-space I. Let P be irreducible and recurrent..2. Theorem 1.2. .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 . the existence of an invariant row vector is a simple piece of linear algebra: the row sums of P are alII.. (ii) l'k = (l'f : i (iii) 0 < E Tf < 00 I) satisfies l'k P = l'k .

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

given i E I. Proof. A recurrent state which fails to have this stronger property is called null recurrent. 7r say. Then A is an invariant measure with Ak = 1. Theorem 1. / mi defines an invariant distribution.7. (ii) some state i is positive recurrent. Moreover.5. Let P be irreducible.7. (n) (n) (n) we have Pik > 0 £ some n. If P is recurrent.= -1 < 7r 7r k k 00 (1. Set Ai = 7ri/7rk.7. . then ~k is invariant by Theorem 1. it is certainly recurrent. (iii) => (i) Take any state k. so J-li = O. (iii) P has an invariant distribution. (ii) => (iii) If i is positive recurrent. 0 Recall that a state i is recurrent if IPi(Xn = i for infinitely many n) = 1 and we showed in Theorem 1.7. when (iii) holds we have mi = 1/7ri for all i. By Theorem 1.3 that this is equivalent to If in addition the expected return time is finite. Since P is irreducible and EiEI 7ri = 1 we have 7rk = EiEI 7riP~~) > 0 for some n. so P is recurrent.6. then we say i is positive recurrent.5. Then the following are equivalent: (i) every state is positive recurrent. so J-l = A . A ~ ~k. But L~j jEI = mi < 00 so 7rj = ~.~k is also invariant and /-l ~ O.7.7) and k is positive recurrent. 7 Invariant distributions 37 So A ~ ~k.5. So by Theorem 1. ~ ~ L iEI iEI 7ri . Hence mk =L k ~. (i) => (ii) This is obvious. Since P is irreducible. and O ' " or = /-lk = LJjEI /-ljPjk ~ /-liPik . ~i is then invariant.1.

Example 1.38 1. Since LiEZ 7ri = 00.9 The existence of an invariant measure does not guarantee recurrence: consider. but has invariant measure 7r given by 7ri = 1 for all i. Consider the measure 7ri Then =1 for all i. by Example 1.7.3.i+l· In components the invariant measure equation 7r P = 7r reads This is a recurrence relation for 7r with general solution So. PiO = qi = 1 . it is also recurrent.7.7. there can be no invariant distribution and the walk is therefore null recurrent.7. so 7r is invariant.10 Consider the asymmetric random walk on Z with transition probabilities Pi.6. by Theorem 1. so A = ~k and the inequality (1. there is a two-parameter family of invariant measures uniqueness up to scalar multiples does not hold. Example 1.Pi· .6.7. Now Theorem 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.7) is in fact an equality. the simple symmetric random walk on Z3. whose transition probabilities are given by Pi. in this case. which is transient by Example 1.6 forces any invariant measure to be a scalar multiple of 7r. for example.11 Consider a success-run chain on Z+ .8 (Simple symmetric random walk on Z) The simple symmetric random walk on Z is clearly irreducible and. Example 1.7.7.1.i+l = Pi. 0 Example 1.i-l = q < P = Pi.

A hole is made in the partition.2.7. 1.3 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. = 0 or 7ro = 00. 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. 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. What are the transition probabilities? What is the invariant distribution of this chain? 1.7. independently of its past motion. for i ~ 7ri = Pi-l7ri-l. Calculate each of the following quantities: . 7 Invariant distributions 39 7r P Then the components of the invariant measure equation 00 = 7r read 1ro = L i=O qi 1ri.2 Gas molecules move about randomly in a box which is divided into two halves symmetrically by a partition. 0 the vertex opposite i.1.7. 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. Suppose there are N molecules in the box. so there is no invariant Exercises 1.1 Find all invariant distributions of the transition matrix in Exercise 1. Let i be the initial vertex occupied by the particle.1. 1.

1. (ii) the expected number of visits to 0 until the first return to i. The behaviour of the chain in Example 1. But.7.5 Let P be a stochastic matrix on a finite set I.4 Let (Xn)n~O be a simple random walk on Z with Pi.) 1. Thus p~j) fails to Let us call a state i aperiodic if p~~) > 0 for all sufficiently large n.8.7. then it must be an invariant distribution.8 Convergence to equilibrium We shall investigate the limiting behaviour of the n-step transition probabilities p~. and a = (ai : i E I) with ai = 1 for all i. Note that this enables one to compute the invariant distribution by any standard method of inverting a matrix.j E I) with aij = 1 for all i and j. the limit does not always exist. so p2n converge for all i.40 1. Find . Example 1. This is also a consequence of Theorem 1. (iii) the expected number of steps until the first visit to o. 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. Show that a distribution 7r is invariant for P if and only if 7r(I -P+A) = a.7. j.10.6 and Example 1. where A = (aij : i. Deduce that if P is irreducible then I -P+A is invertible.1 is connected with its periodicity. where the infimum is taken over all invariant measures A with Ao (Compare with Theorem 1. if the state-space is finite and if for some i the limit exists for all j.8.1 Consider the two-state chain with transition matrix p=(~ ~).i-l = q < P = Pi.8. As we saw in Theorem 1.2.) as n ~ 00.4. Discrete-time Markov chains (i) the expected number of steps until the particle returns to i. as the following example shows.f = and verify that T'~ ~ TO-l lEo ( n=O L ) l{x n =i} = inf Ai for all i A 1. =I and p 2n+l = P for all n.7. Then p2 = I.i+l. 1.7. .

. Let A be any distribution. is ingenious. P has an invariant distribution given by 7r(i. for all states j and k. Since P is aperiodic.2.5.Pji Pii Pik > >0 for all sufficiently large n. by coupling two Markov chains.1. Theorem 1.8. Y n ) Step 1.k)(j. k. But T is the first passage time of W n to (b. Then P(Xn = j) ~ 7rj as n ~ 00 for all j. p~.k) = 7ri7rk so. Suppose that (Xn)n~O is Markov(A. Suppose P is irreducible and has an aperiodic state i. Then. In particular.k) = Ai 7rk.l) = Pij Pkl > 0 for all sufficiently large n. Also. for all states i. Then · (r) (s) 0 (r+n+s) (r) (n) (s) Pjk . by Theorem 1. 0 Here is the main result of this section.I · P rooJ. P) and independent of (Xn)n~O. Let (Yn)n~O be Markov(7r. Fix a reference state b and set T = inf{ n 2:: 1 : X n = Yn = b}.3 (Convergence to equilibrium). b) so P(T < 00) = 1. j. P). (X n . There eXIst r. l we have ~n) (n) (n) P(i. The method of proof. all states are aperiodic.7. Let P be irreducible and aperiodic. j. The process W n = chain on I x I with transition probabilities P(i.8. and suppose that P has an invariant distribution 7r.7. by Theorem 1.l) is a Markov = PijPkl and initial distribution jj(i.) ---t 'lrj as n ---t 00 for all i. Proof.k)(j. In particular.7. P is positive recurrent. PJ~) > 0 for all sufflciently large n. S _ > 0 WIt h Pji' Pik >. so P is irreducible.8 Convergence to equilibrium 41 Lemma 1. We use a coupling argument. We show P(T < 00) = 1. .

Discrete-time Markov chains Step 2.Yo). P) and remains independent of (X o. In particular.. We show that (Zn)n~O is n The strong Markov property applies to (Wn)n~O at time T. Hence W~ = (Zn. We have lP(Zn = j) = lP(Xn = j and n < T) +lP(Yn = j and n 2 T) so IlP(Xn ~ = j) . . Step 3.(XT . P) where n . XT+n)n~O which is also Markov(8(b. . Z~) is Markov(j.YT).\. P). (X I. Y T ) . P). I ~ T. we can replace the process (XT+n. so (XT+n. P) and independent of (X o..b). YI). . (Xl.42 1.7rjl = 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. ~ and P(n < T) D . (XT. Markov(.\. YT+n)n~O by (YT+n .t. Set ifn < T if n The diagram below illustrates the idea. .. . (Zn)n~O is Markov(.b). Yo). By symmetry. YT+n)n~O is Markov(8(b. YI). Zn = { Y Xn ifn < T if n 2 T.

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. we can write nd = qn1 + r for integers q ~ n1 and ~ n1 . . 1/2) as its unique invariant distribution. o~ r Now for nd ~ n~. Since d divides n1 we then have r = md for some integer m and then nd = (q . Fix a state k and consider S = {n ~ 0 : P~~ > O}. and the proof fails.d-1 Cr = {~.4. There is an integer d partition I = Co U C 1 U . then p~7d+r+k) > 0 so j E C r+n as required. 1.. if p~~d+r) > 0 and p~~d+8) > 0 for some r. for all r. then . By taking i = j = k we now see that d must divide every element of S. Theorem 1. where (Xt)~o is periodic or transient or null recurrent. However. (Xn)n~O and (Yn)n~O will never meet. We start (Xn)n~O from 0 and (Yn)n~O with equal probability from 0 or 1. . We move on now to the cases that were excluded in the last theorem.. (ii) p~jd) > 0 for all sufficiently large n.d .) > 0. ..8. for all i. we have p~~d+r+m) > 0 and p~~d+8+m) > 0 so r = s by minimality of d.. Hence we have a partition.8. Let P be irreducible. The remainder of this section might be omitted on a first reading..) Define for r = 0.1. Choose m so that p~7d+r) > 0. by irreducibility. in particular n1. then. j E Cr choose m1 and m2 so that p~:l) > 0 and p~72) > 0. To prove (ii) for i. Choose n1.I}.j E C r . Moreover. Hence and hence nd E S. if Yo = 1.m)n1 + mn2. n2 E S with n1 < n2 and such that d := n2 . Consider the two-state chain of Example 1.. U Cd-1 = I. then. Then Co U . because of periodicity. E I (nd+r) : Pki > 0 £or some n ~ O} .1 which has (1/2. .. choosing m ~ 0 so that p~". To prove (i) suppose p~j) > 0 and i E Cr.. (Here and throughout we use the symbol := to mean 'defined to equal'. S E {O. Proof. 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.1.

8.. pd is irreducible and aperiodic on Cr.. 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}.1. Let P be irreducible of period d and let Co.44 1.4 we have = Apr.Cd-l be the partition obtained in Theorem 1. Since are done. Let A be a distribution with LiECo Ai = 1. then P(Xnd+r = j) = P(Yn = j) so the theorem holds in general.8. ~ dlmj as n ~ 00 Step 2.1 and j E C r we have P(Xnd +r = j) ~ dlmj as n ~ 00 where mj is the expected return time to j. Theorem 1.3. In particular. Gray. then (Yn)n~O is Markov(v.8. for i E Co and j E C r we have (nd+r) ~ dl mj as n ~ 00. . If P is positive recurrent then 1/mj = 1rj. Assume that P is aperiodic. D + m2 is then necessarily a multiple of d. where 1r is the unique invariant distribution. pd) and.8. Otherwise mj = 00 and we have to show that P(Xn = j) ~ 0 as n ~ 00.4. .3 in two respects since we require neither aperiodicity nor the existence of an invariant distribution. This generalizes Theorem 1.. . The argument we use for the null recurrent case was discovered recently by B. .8. This is sometimes useful in identifying d..4. We reduce to the aperiodic case. P). Set v 1. Pij Proof Step 1. For j E Cr the expected return time of (Yn)n~O to j is mjld. Fristedt and L.8. so the result follows from Theorem 1. we We call d the period of P. So if the theorem holds in the aperiodic case.5. then by Theorem Set Y n = Xnd+r. here is a complete description of limiting behaviour for irreducible chains. . Then for r = 0.d . Finally. by Theorem 1. Discrete-time Markov chains ml whenever nd ~ n~. Suppose that (Xn)n~O is Markov(A. C 1 .

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

8. .2 Find the invariant distributions of the transition matrices in Exercise 1. + Yk for some k ~ 0) ~ 1/ J-l. parts (a). from left to right. 1. 1.K .2.. Find lim P(Xn is a multiple of 13) n--+-oo quoting carefully any general theorems that you use. Show that the following = inf{m ~ n: m = Y1 + . where 0 < Qi < 1 for i = 1. (f) and (g) made in example (v) of the Introduction. Let Y1 .n..5 (Renewal theorem). Pn converges as n ~ 00. .. 1. .8.I} such that P(Xn + k = j) c/2.2.3 A fair die is thrown repeatedly. 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. show that.. Let X n denote the sum of the first n throws. 2.46 1. irrespective of the initial arrangement of the books.8.3. and compare them with your answers there. ••• be independent. and determine the limit..8. Suppose that the set of integers {n : P(Y1 = n) > I} has greatest common divisor 1.1 Prove the claims (e). In the evening he replaces the book at the left-hand end of the shelf.. (b) and (c). Y 2 . Hence. Set J-l process is a Markov chain: Xn = E(Y1 ). Discrete-time Markov chains ~ But for any n we can find k E {O.. this shows that lP(Xn = j) required. The probability that he chooses book i is Qi.. 1. Determine n--+-oo and hence show that as n P(n ~ 00 = Y1 + .3. .4 Each morning a student takes one of the three books he owns from his shelf. Since c > 0 was arbitrary. and choices on successive days are independent. D Exercises ~ 0 as n ~ 00. as 1. for n ~ N P(Xn = j) ~ c. }. 1.8. + Yk lim lP(Xn = 0) for some k ~ O} .7.1.

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

Discrete-time Markov chains so. The chain (Yn)O~n~N is called the time-reversal of (Xn)O~n~N. Pil io D = 7rioPioil . We say that (Xn)n~O is reversible if. Pin-li n > O. Then both (a) and (b) are equivalent to the statement that P = P in Theorem 1. it is often easier to find by the detailed balance equations than by the equation A = AP.9.9.1. (Yn)O~n~N is Markov(7r. Let P be an irreducible stochastic matrix and let A be a distribution. Lemma 1. with P irreducible. P)... Though obvious.il.9. If P and A are in detailed balance.3. for each pair of states i. P). Finally. Proof· We have (AP)i = LjE! AjPji = LjE! AiPij = Ai· D Let (Xn)n~O be Markov(A.in =j withpioil .. P). Pin-l in / 7ri n >0 so P is also irreducible. P).. (XN-n)O~n~N is also Markov(A. Then the following are equivalent: (a) (Xn)n~O is reversible. Then Pin in-l . ..48 1.2.. j there is a chain of states io = i. A stochastic matrix P and a measure A are said to be in detailed balance if AiPij = AjPji for all i. then A is invariant for P. Suppose that (Xn)n~O is Markov(A.9. the following result is worth remembering because.1. D We begin a collection of examples with a chain which is not reversible. since P is irreducible. ..in-1. (b) P and A are in detailed balance. for all N ~ 1. Example 1. Proof.4 Consider the Markov chain with diagram: 1 3 3 2 2 . Theorem 1.1. when a solution A to the detailed balance equations exists. by Theorem 1. Both (a) and (b) imply that A is invariant for P. j..

An observer would see the chain spending most of its time near M and making occasional brief forays to the left.1. . which in this case would be heavily concentrated near M. But p is not symmetric.6 (Random walk on a graph) A gr. .i for i = 0. this ignores the fact that we reverse the chain in equilibrium. 1/3. So a solution is given by A = ((p/q)i : i = 0. Example 1.1.~ i-I i i+l M-l M <P= 1- q < 1. for example: . so P =I P and this chain is not reversible. . 1.9. If P were much larger than q.i+l = Ai+lPi+l.aph G is a countable collection of states.M) and this may be normalised to give a distribution in detailed balance with P. the transpose of P. some of which are joined by edges. which behaviour is symmetrical in time.. The non-zero detailed balance equations read AiPi.M . one might argue that the chain would tend to move to the right and its time-reversal to the left. . usually called vertices.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. A patient observer would see the chain move clockwise in the long run: under time-reversal the clock would run backwards! Example 1.~ II(.. However.9. 1..5 Consider the Markov chain with diagram: P q 1 P • q II( • o where 0 . Hence P = pT. 1/3) is invariant.. Hence this chain is reversible.

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

N} andp~J == 0 if Ij -il2:: 2. (b) (c) 1== {O.l. and the 16 central squares have valency 8.1 In each of the following cases determine whether the stochastic matrix P.9 Time reversal 51 The diagram shows a part of the graph. We know by Theorem 1. The four corner squares have valency 2.3. if you enjoy solving sets of 64 simultaneous linear equations. or calculating lEe (Te ) using Theorem 1.. Hence lEc(Tc ) = 8 + 24 + 80 + 96 + 128 = 168. 2 Alternatively. There are 20 squares of valency 4.1. . is reversible: (a) l-q p ) .7 and the preceding example that so all we have to do is identify valencies.7. .. .9.5! Exercises 1. . 16 of valency 6. and the eight squares adjacent to the corners have valency 3. you might try finding 1r from 1r P == 1r. which you may assume is irreducible.

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

Moreover. The case where J_l = 00 is a simple deduction.. Theorem 1. Let P be irreducible and let be any distribution.as n mi ---t 00) = 1 where mi = Ei(Ti ) is the expected return time to state i. The following result gives the long-run proportion of time spent by a Markov chain in each state. 1991). Then c (Yl + .10. 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... As N i 00 we have E(YI A N) i J_l by monotone convergence (see Section 6..2 (Ergodic theorem). + Yn n as n ~ 00. with probability 1 -----~oo Y1 + . P) then ]p> .1. in Probability with Martingales by David Williams (Cambridge University Press. in the positive recurrent case.4).x (Vi (n) n ---t .. If (Xn)n?O is Markov(. for example.!. + Yn n -----~J_lasn~oo ) = 1. Fix N < 00 and set yJN) = YnAN. Proof..1 0 Ergodic theorem 53 variables with JE(Y1 ) = 11']) jj. Then Y1 + ···+ Yn > Y1 n (N) + ···+ Yn n (N) _ ---t E(Y1 /\ N) asn~oo with probability one. A proof for the case J_l < 00 may be found. So we must have. for any bounded function f : I ~ lR we have where and where (7ri : i E I) is the unique invariant distribution.x. .

. mi Suppose then that P is recurrent and fix a state i.. the non-negative random variables S. 00 in (1.t 00 = 1 and. By Lemma 1. since P is recurrent P(Vi(n) So. Hence S.5. . which implies P (Vi(n) n -t . If P is transient. . . letting n ~ ~ 00 as n ~ 00) = 1. the total number Vi of visits to i is finite.l) :::.2).5. so it suffices to consider the case A = bi.. The longrun proportion of time spent in i is the same for (XT+n)n>O and (Xn)n>O.t 00) = 1..!. + S. Write sir) for the length of the rth excursion to i. + S~n) ~ -t mi as n ) .V~(n)-l) Vi(n) n S. as in Section 1.. Now S't~l) + ••• + S~V~(n)-l) < n 1 _ .l). For T = T i we have P(T < 00) = 1 by Theorem 1.n -t 0= . are independent and identically distributed with Ei(S..l) + .8). + S. Discrete-time Markov chains Proof. with probability 1.as n mi -t (0) = 1. so Vi(n) < Vi n . Xl..7 and (XT+n)n~O is Markov(8i . P) and independent of X o. 't the left-hand side being the time of the last visit to i before n. .V~(n)) Vi(n) (1.!-.. 8.8) By the strong law of large numbers JP> (S~l) + • ~ ~. Vi(n) < + ..54 1. we get JP> (Vi7n) -t mi as n . Also the left-hand side being the time of the first visit to i after n .XT by the strong Markov property.. then.5.1.. ..1.r)) = mi.

The log-likelihood function is given by I(P) = log(. Then. we have < c. For any J ~ I we have I ~ n-l !(Xk) -! I = ~ ( -n. the case where we have N + 1 observations (Xn)O~n~N. Consider. for n ~ N(w) 1ri "I iEJ Vi(n) ~ -n. D We consider now the statistical problem of estimating an unknown transition matrix P on the basis of observations of the corresponding Markov chain.- I < c/4.7ril + L IVi~n) .\xoPxoxl •• . Let I : I ~ lR be a bounded function and assume without loss of generality that III ~ 1.1. " We proved above that JP> (Vi ~n) ---t 7ri as n ---t 00 for all i) = 1. choose J finite so that and then N = N(w) so that.1 0 Ergodic theorem 55 Assume now that (Xn)n~O has an invariant distribution (1ri : i E I). Given c > 0. to begin. which establishes the desired convergence..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.jEl N ij logpij . for n ~ N(w).PXN-1XN) = L i.- 1 L - Vi(n) 1ri ) Ii k=O 'tEl ~ L IVi~n) iEJ iEJ .

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

1. Having a fine artistic temperament. How much should he spend on flowers? 1. Flowers costing x thousand pounds. We look first for a constant solution X n = x.11 Appendix: recurrence relations 57 Exercises 1. 0 ~ x ~ 1.10. so Yn = anyo. This he does by sending flowers every day until she returns. For J ~ I let (Ym)m~O be the Markov chain on J obtained by observing (Xn)n~O whilst in J.3 we found a recurrence relation of the form aXn+l + bXn + CXn-l = 0 .10.3 Let (Xn)n~O be an irreducible Markov chain on I having an invariant distribution Jr. Here is an account of the simplest cases. In Example 1. then x = ax + b. In Example 1. she is liable to pullout each night with probability 1/2. When a = 1 the general solution is obviously Xn = Xo +nb.1.4.3.2 A professor has N umbrellas.4. If it is raining he likes to carry an umbrella and if it is fine he does not.4 An opera singer is due to perform a long series of concerts.10. He walks to the office in the morning and walks home in the evening.1.3.4. Suppose that it rains on each journey with probability p.a).11 Appendix: recurrence relations Recurrence relations often arise in the linear equations associated to Markov chains.b/(l .1 Prove the claim (d) made in example (v) of the Introduction. (See Example 1. so provided a =I 1 we must have x = b/(l . A more specialized case was dealt with in Example 1.10. independently of past weather.) Show that (Ym)m~O is positive recurrent and find its invariant distribution. bring about a reconciliation with probability yIX. What is the long-run proportion of journeys on which the professor gets wet? 1. Once this has happened she will not sing again until the promoter convinces her of his high regard. The promoter stands to make £750 from each successful concert. Thus the general solution when a =I 1 is given by Xn = Aa n + b/ (1 - a) where A is a constant.a) satisfies Yn+l = aYn. 1. Now Yn = Xn .4 we found a recurrence relation of the form Xn+l = aX n + b.

Here is a derivation.~t3 - By subtraction we obtain 2 log 1 (l+t) t 1_ = 13 15 t + 3 t +:5 t +. We make use of the power series expansions for 10g(1 It I < . If 0: =1= (3 then we can solve the equations xo=A+B.58 1.6 rested heavily on the use of the asymptotic relation n! rv Ayri(nje)n as n ~ 00 for some A E [1.12 Appendix: asymptotics for n! Our analysis of recurrence and transience for random walks in Section 1. 1 + t) = t - ~t2 + ~t3 - 10g(1 . Hence the general solution is given by Ao:n + B{3n if 0: # {3 n { (A + nB)an if 0: = {3. so that Yo = Xo and Yl xl=Ao:+B{3 = Xl. Then Yn = Ao: n + B{3n is a solution. by the same argument.t) = -t . Yn = Xn for all n. ..~t2 . then. 00 ). so by induction Yn = Xn for all n. then a-X 2 + b-X + c = O.. . but for all n. If 0: = {3 # 0. Denote by 0: and {3 the roots of this quadratic.. X = 1. The case 0: = (3 = 0 does not arise. then Yn = (A + nB)o:n is a solution and we can solve so that Yo = Xo and Yl = Xl. Discrete-time Markov chains where a and c were both non-zero. Let us try a solution of the form X n = -X n.

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

There is an irreducible level of difficulty at this point. To emphasise this we have put the setting-up in this chapter and the rest in the next.4 on the Poisson process and Section 2. Sections 2. but once up and running it follows a very similar pattern to the discrete-time case. If you wish.2 Continuous-time Markov chains I The material on continuous-time Markov chains is divided between this chapter and the next.7 and 2. deal with the heart of the continuous-time theory. Let I be a countable set.8 are read selectively at first. The theory takes some time to set up. Some examples of more general processes are given in Section 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. A Q-matrix on I is a matrix Q satisfying the following conditions: = (qij : i.8. As in Chapter 1 the exercises form an important part of the text. you can begin with Chapter 3. provided you take certain basic properties on trust.j E I) .6-2. 2. especially 2.8. The first three sections of Chapter 2 fill in some necessary background information and are independent of each other.1.5 on birth processes provide a gentle warm-up for general continuoustime Markov chains. so we advise that Sections 2. which are reviewed in Section 3. These processes are simple and particularly important examples of continuous-time chains. Section 2.9.

2. for example: 1 3 1 2 Each diagram then corresponds to a unique Q-matrix. The numbers qi are not shown on the diagram. ) is by the function (e tq : t ~ 0). (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. subject only to the constraint that the off-diagonal row sum is finite: qi = Lqij j#i < 00. . A convenient way to present the data for a continuous-time Markov chain is by means of a diagram. but you can work them out from the other information given. where q = logp. We shall later interpret qi as the rate of leaving i..00) a natural way to interpolate the discrete sequence (pn : n = 0.2. Consider now a finite set I and a matrix . j) arrow on the diagram.. For P E (0. .1 Q-matrices and their exponentials (i) 0 ~ (ii) -qii 61 < 00 for all i. making the total row sum zero. We may think of the discrete parameter space {O.. } as embedded in the continuous parameter space [0.00). in this case Q= (~2 2 !1 1 -3 ~) Thus each off-diagonal entry qij gives the value we attach to the (i. 1.2.. for all i qij ~ 0 =I j. i.1. which we shall interpret later as the rate of going from i to j. The diagonal entry qii is then -qi.

Continuous-time Markov chains I P = (Pij : i. (iv) for k = 0. The matrix-valued power series P(t) = f: (t~)k k=O . (ii) (P(t) : t ~ 0) is the unique solution to the forward equation ~ P(t) = P(t)Q. Moreover. sQ and tQ commute. then The proofs of these assertions follow the scalar case closely and are given in Section 2. Then (P(t) : t ~ 0) has the following properties: (i) P(s + t) = P(s)P(t) for all s.2. t (semigroup property). Theorem 2. Set P(t) = e tQ . Then e nQ = (eQ)n = p n so (e tQ : t ~ 0) fills in the gaps in the discrete sequence.1.62 2.2. j E I). .. we have Proof..1. t E lR.j E I). For any s.10. )? For any matrix Q = (qij : i. (iii) (P(t) : t ~ P(O) = I. . if two matrices Q1 and Q2 commute. so e sQ e tQ = e(s+t)Q proving the semigroup property.1.1.. 0) is the unique solution to the backward equation P(O) = I. Is there a natural way to fill in the gaps in the discrete sequence (p n : n = 0. Let Q be matrix on a finite set I. the series converges componentwise and we denote its limit by eQ . . Suppose then that we can find a matrix Q with eQ = P..

2.tQ + M(t)( -Q)e. Hence P(t) satisfies the forward and backward equations.-(M(t)e-tQ ) = (. D The last result was about matrix exponentials in general.tQ + M(t) (.1 Q-matrices and their exponentials 63 has infinite radius of convergence (see Section 2.tQ is constant. (ii) LPij = 1 for all i.tQ ) dt dt dt = M(t)Qe. Proof. A similar argument proves uniqueness for the backward equation.tQ = 0 so M(t)e. P (t) = L (k _ k=1 00 t k. LJ (n) LJ LJ (n LJ ( n LJ kEI kEI jEI jEI kEI . Recall that a matrix P = (Pij : i. It remains to show that P(t) is the only solution of the forward and backward equations. So each component is differentiable with derivative given by term-by-term differentiation: . 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. Since P(t) = P(t/n)n for all n. j E I) is stochastic if it satisfies (i) 0 ~ Pij < 00 for all i. and so M(t) = P(t).1 Qk 1)! = P(t)Q = QP(t). Now let us see what happens to Q-matrices. Later we shall also use the convention that f(t) = o(t) means f(t)/t ~ 0 as t ~ o. for some C < 00. Moreover by repeated term-by-term differentiation we obtain (iv). 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. As t ! 0 we have so qij ~ 0 for i =1= j if and only if Pij (t) ~ 0 for all i. But if M(t) satisfies the forward equation. If Q has zero row sums then so does Qn for every n: """ qik = """ """ qij -1) qjk = """ qij -1) """ qjk = 0 .j. then .-M(t)) e.j and all t ~ o.1.10).!!. it follows that qij ~ 0 for i =1= j if and only if Pij(t) ~ 0 for all i.2.!!.-e. j and t ~ 0 sufficiently small. Theorem 2.!!.

) You should compare this with the defining property of a discrete-time Markov chain given in Section 1. . .2.i n + 1 . P) when sampled at integer times. ..x.2. In particular. On the other hand. where Pij(t) is the (i. .2.2) and Thus we can find discrete-time Markov chains with arbitrarily fine grids {n/m : n = 0.64 So 2. a continuous-time process (Xt)t. To anticipate a little. as we shall see in Section 2.1. D t=O Now.1. We define a process indexed by {n/m : n = 0.8 that a continuous-time Markov chain (Xt)t~O with Q-matrix Q satisfies ~ to ~ .8. if LjE! Pij(t) = 1 for all t = ~ 0. we can do some sort of filling-in of gaps at the level of processes.~o which also has this property. . (eQ/m)m) (see Exercise 1.. We shall now give some examples where the transition probabilities Pij(t) may be calculated explicitly...x.2.. we shall see in Section 2.x.1. the transition probability from i to j in time t is given by ° (Recall that := means 'defined to equal'. . if P is a stochastic matrix of the form eQ for some Q-matrix.. It should not then be too surprising that there is.1.. .. Fix some large integer m and let (X~)n~O be discrete-time Markov(. . eQ / m ). all times io. ) is discrete-time Markov(..1. Continuous-time Markov chains I tn LPij(t) jEI = 1 + L I" Lqij n.. then L qij jEI ~I LPij(t) jEI = O. } as time-parameter sets which give rise to Markov(. ~ t n +l and all states for all n = 0.j) entry in etQ . } by Then (Xn : n = 0..1. n=l jEI 00 (n) = 1..

1. -2 = qII = P~I (0) = -2b . (This is because we could diagonalize Q by an invertible matrix U: Then 0 (-2t)k 0 ) U.) To determine the constants we use 1 = PII (0) = a + b + c. -2. 4t so PII(t) must have the form claimed.4t for some constants a. band c. We begin by writing down the characteristic equation for Q: o = det (x - Q) = x (x + 2) (x + 4). Then PII(t) has the form PII(t) = a + be.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 1.1 Q-matrices and their exponentials Example 2.6. 7= so qii) = P~I (0) = 4b + 16c.2t + ce.I 0 o (-4t)k ~ e- ) U- I . -4. This shows that Q has distinct eigenvalues 0. .1.2.4c.

Pii (0) == 1.~~. The exponential of an upper-triangular matrix is upper-triangular. 1 -----------..j-l (t). Continuous-time Markov chains I A . Pij (0) == 0. P~N(t) = APiN-l(t). So.A. for Pij(t) = e->..1. the distribution of the Markov chain at time t is the same as the distribution of min{yt... pii(t) i <j < N so. where Q= (~2 2 !4 1 -3 ~). Then. N}. In components the forward equation P'(t) = P(t)Q reads P~i(t) = -APii(t). these are the Poisson probabilities of parameter At. The Q-matrix is -A A -A A A -A Q= o A where entries off the diagonal and super-diagonal are all zero. by induction = e. for i < N. starting from 0. so Pij(t) = 0 for i > j. Exercises 2... PiN(O) = 0..4 We calculate Pij(t) for the continuous-time Markov chain with diagram given above.At for i < N.1 Compute Pll(t) for P(t) = etQ . P~j(t) = -APij(t) + APi. where yt is a Poisson random variable of parameter At.. ..o.66 2. 2 N-l N Example 2.. First. We can solve these equations. for i < j < N. for i < N..t (At)j-i (j _ i)!' If i = 0.1.. ---41. A ~.

..2.Xtn = in) for n ~ 0. For example '""" L.. X t1 = il.J P(Xq1 P(Xt = i for some t E [0. that is. ~ t n and i o. which is proved in Section 6. There are subtleties in this problem not present in the discrete-time case. What consequences do your answers have for the discrete-time Markov chains with these transition matrices? 2. . By a standard result of measure theory. This means in this context that for all wEn and t ~ 0 there exists € > 0 such that for t ~ s ~t + €.. . for a countable disjoint union whereas for an uncountable union Ut>o At there is no such rule. is an enumeration of the rationals.. at least in principle. such as lP(Xt = i) or lP(Xto = io.2 Continuous-time random processes 2. the probability of any event depending on a right-continuous process can be determined from its finite-dimensional distributions. .00)) = 1-n--+-oo lim = ji.Xqn = jn) jl ... from the probabilities lP(Xto = io. A continuous-time random process with values in I is a family of random variables X t : n ~ I. or P(Xt = i for some t).. To avoid these subtleties as far as possible we shall restrict our attention to processes (Xt)t~O which are right-continuous. .1.2 Which of the following matrices is the exponential of a Q-matrix? 67 (a) (~ ~) (b) (~ ~) (c) (~ ~). ...2 Continuous-time random processes Let I be a countable set. .. any probability connected with the process. q2. 0 ~ to ~ tl ~ . They arise because. .in =l=i where ql.6. We are going to consider ways in which we might specify the probabilistic behaviour (or law) of (Xt)t~o. .in E I. . These should enable us to find.Xtn = in).

or it may not. after the explosion time ( the process starts up again. .1 t The second case is where the path makes finitely many jumps and then becomes stuck in some state forever: • Jo = 0 J. maybe infinitely often.68 2. so there are three possibilities for the sorts of path we get. In the first case the path makes infinitely many jumps. t]: • o • • o ~- Jo = 0 1. it may explode again.2 t In the third case the process makes infinitely many jumps in a finite interval. In this case. 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. but only finitely many in any interval [0. this is illustrated below.

.-- .------e. • .. where inf 0 = 00. .. We shall not consider what happens to a process after explosion. 00 say.... ... ..- • . Any process satisfying this requirement is called minimal. or the jump chain if it is a discrete-time Markov chain.-.2. ~~~~~ . for n = 1... Jo = 0 t 14----.. The (first) explosion time ( is defined by (= supJn = n I:Sn. the holding times. J 1 ._----. if I n -1 < 00 otherwise. .... They are obtained from (Xt)t~O by for n = 0.82 . If I n + 1 = 00 for some n... . - We call Jo.2. 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. the final value. So it is convenient to adjoin to I a new state..... otherwise X oo is undefined.2 Continuous-time random processes 69 :... ...... the jump times of (Xt)t~O and 8 1 . This is simply the sequence of values taken by (Xt)t~O up to explosion. and require that X t = 00 if t ~ (..... • " ... . . we define X oo = XJn .. Note that right-continuity forces 8 n > 0 for all n. The terminology 'minimal' does not refer to the state of the process but to the . and..1..

then lP(T > t) for all s. 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 :::.00] has an exponential distribution if and only if it has the following memoryless property: lP(T> s Proof. Theorem 2. then T has density function The mean of T is given by E(T) = 1 00 IP(T > t)dt = A-I. rv IP(T> s + tiT> s) = P(T> s + t) IP(T> s) = e-A(s+t) e->'s = -At e = IP(T > t). A random variable T: n ~ (0.70 2.3 Some properties of the exponential distribution A random variable T : n ~ [0.At for all t ~ O. Thus by specifying the joint distribution of 8 1 . For example..82.3. If -X > 0. . We write T rv E(-X) for short. Suppose T + tiT> s) = E(-X). Continuous-time Markov chains I interval of time over which the process is active.00] has exponential distribution of parameter -X (0 ~ -X < 00) if lP(T > t) = e. and (Yn)n~O we have another 'countable' specification of the probabilistic behaviour of (Xt)t~o. .1 (Memoryless property).00)) = lP(Yn = i for some n ~ 0). t < I n +1) = i for some t E [0.. 2. t ~ O. Note that a minimal process may be reconstructed from its holding times and jump process. The exponential distribution plays a fundamental role in continuous-time Markov chains because of the following results.

q ~ 1 g(p/q) = g(l/q)P = g(l)pjq so g(r) = e.AT = g(r) ~ g(t) ~ g(s) = e. s. by induction so g(l) = e.. . (i) Suppose E~1 1/ An < Then. Proof. This will be used to determine whether or not certain continuous-time Markov chains can take infinitely many jumps in a finite time.AS = e. then then JP> (00) = ~ Sn < 00 l.2. for integers p.AT for all rationals r > O. We assumed T > 0 so that g(l/n) > 0 for some n. JP> (00) = ~ Sn = 00 00. l. and.3. By the same argument. by monotone convergence so . 8 2 . Let 8 1 . this forces g(t) so T rv E(A). Then g(t) = JP>(T > t) satisfies g(s + t) = g(s)g(t) for all s. Since 9 is decreasing. Theorem 2.3 Some properties of the exponential distribution 71 On the other hand. (ii) If ~ An 00 1 = 00. .A for some 0 ::. For real t r. and gives a criterion for deciding which is true. A < 00. s > 0 with r ::. t ~ O.2.At . t ::. Then. since we can choose rand s arbitrarily close to t. choose rationals e. 1 (i) If~ An < 00 00. 0 The next result shows that a sum of independent exponential random variables is either certain to be finite or certain to be infinite. > 0. be a sequence of independent random variables with 8 n rv E(A n ) and 0 < An < 00 for all n. suppose T has the memoryless property whenever JP>(T> s) > O.

Set K Then = k if T k < T j for all j =I k. Set T = inf k T k .4. (ii) Suppose instead that E~11/An = 00. Proof.qkB 00 IT e-qjBds j# = 1 qke - q 8 qk ds = -e .3. T and K are independent. D = 1 and T and K have the claimed joint The following identity is the simplest case of an identity used in Section 2. Moreover. For independent random variables S E(jj) and for t ~ 0.3. 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.3. otherwise let K be undefined. Then rr~o(1 + 1/ An) = By monotone convergence and independence so JP> (f n==l Sn = 00) = 1.8 in proving the forward equations for a continuous-time Markov chain. Let I be a countable set and let Tk' k E I. Theorem 2. be independent random variables with Tk rv E(qk) and 0 < q := EkE! qk < 00.72 2. 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 . Then this infimum is attained at a unique random value K of k. . Theorem 2. q Hence lP(K = k for some k) distribution. with probability 1.q t . D The following result is fundamental to continuous-time Markov chains. Continuous-time Markov chains I 00.

both as a gentle warm-up for the general theory and because they are useful in themselves.4.. T} ~ t} are independent. . We have 73 from which the identity follows by symmetry. T? Show that the two events {S < T} and {min{S.. be independent exponential random variables with parameters AI. n = 1. . which provides three different descriptions of a Poisson process.... 2.2 Let Tl. and then subject only to the condition sUPn An < 00. respectively. Moreover. A2.3 Let 81.2. .3. that JP> (f Sn = n=l 00) = 1. 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.4 Poisson processes Proof. So we shall study Poisson processes first.4 Poisson processes Poisson processes are some of the simplest examples of continuous-time Markov chains.3. What is the distribution of min{S.2. T} ? What is the probability that S :::. . An Use the strong law of large numbers to show. We shall also see that they may serve as building blocks for the most general continuous-time Markov chain.3. Show that AlSl is exponential of parameter 1. = 2::1 Ti has exponential distribution of parameter A(3. a Poisson process is the natural probabilistic model for any uncoordinated stream of discrete events in continuous time. Exercises D 2. The reader might well begin with the statement of this result and then see how it is used in the .3. Is the condition sUPn An < 00 absolutely necessary? 2.. 8 2 . 2.1 Suppose Sand T are independent exponential random variables of parameters Q and (3 respectively. . T 2 . . . The key result is Theorem 2. first in the special case = 1 for all n.

..... ... : : 0.... to set Jo = 0. ..2.> . 1 .. 8 2 .... :.4 t .3..-- 4 3 : -: :... -A A -A A Q= By Theorem 2..••-------ec.... Here is the diagram: A A A A 234 The associated Q-matrix is given by 1 o ... A simple way to construct a Poisson process of rate A is to take a sequence 8 1 . ~ .. : : . . ... of independent exponential random variables of parameter A. . I n = 81 + . 8 2. .. A right-continuous process (Xt)t..... } is a Poisson process of rate A (0 < A < 00) if its holding times 8 1. • . : . .. : O. . ..: ...2). + 8 n and then set 5 ....o4l~---""'-----'-.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. : . : . are independent exponential random variables of parameter A and its jump chain is given by Yn = n.'-----------_""""_--------" Jo = (} J. We shall begin with a definition in terms of jump chain and holding times (see Section 2.... . : ~ . . : . .······ . . 1.~o with values in {O.. .. .74 2. Continuous-time Markov chains I theorems and examples that follow..-... •---00········ ' .~o is uniquely determined. . .. 2 . .. .. .

conditional on {X s = i}.. we shall see in Section 6. s 81 . (s .8i and {X s = i}.5. . independent of(Xr : r:::.... Proof..Xs)t~O is also a Poisson process of rate -X. Theorem 2. ..8i . are independent E(-X). 8 n = 8 i +n for n ~ o ill( s Recall that the holding times 8 1 . are themselves independent E(-X).3. s). Hence. . .82 .82 . 81 . (Xt)t~O is a Poisson process of rate A and independent of (X r : r ~ s). .2. We now show how the memoryless property of the exponential holding times. . . 81. for On this event Xr = and the holding times L j==1 i l{srSt} for r ::. conditional on {Xs = i}.J i ). Theorem 2. for any s ~ 0. It suffice~to prove the claim conditional on the event X s each i ~ O. . then by the memoryless property of 8 i +1 and independence. Let (Xt)t~O be a Poisson process of rate -X. D In fact. Hence.4 Poisson processes 75 The diagram illustrates a typical path.. Set X t = X s +t .82 ...4..1. are independent E(A).. (X s+t .1 (Markov property). and independent of 8 1 .X s . . leads to a memoryless property of the Poisson process..82 . 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. We have = i. of (Xt)t~O are given by 81 = 8 i +1 as shown in the diagram. Condition on 8 1 .

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

. j = 0.2.1. But condition (c) determines the finite-dimensional distributions of (Xt)t~O and hence the distribution of jump chain and holding times.At _.4. consider the . for any s. D The differential equations which appeared in the proof are really the forward equations for the Poisson process. .. uniformly in t. for j = 1._. (c) ::::} (a) There is a process satisfying (a) and we have shown that it must then satisfy (c). for i = 2. So if one process satisfying (c) also satisfies (a).1. we have P(Xt + h . then..?-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). . then certainly (Xt)(~O has independent increments. J.4 Poisson processes 77 (b) ::::} (c) If (b) holds.. ..2.Ah + o(h) )Pj(t) + (Ah + o(h))Pj-l (t) + o(h) so Pj(t + h~ .X s rv P(At).h to obtain for all s.i) (1 . . . Pj(t + h) = P(XHh = j) = = L P(X i==O j Hh - X t = i) P(Xt = j ..... Since this estimate is uniform in t we can put t = s .Xs)t~O satisfies (b).2. this system of equations has a unique solution given by (At)j Pj(t) = e. If (Xt)(~O satisfies (b). As we saw in Example 2.. Hence X t rv P(At). which implies (c). so must every process satisfying (c).2. .Pj(t) = ->'Pj(t) + >'Pj-l(t) + O(h). Set Pj(t) = P(Xt = j).3. Since X o = 0 we have initial conditions PO(O) = 1.. but also (X s+t . To make this clear. Pj(O) = 0 for j = 1. so the above argument shows X s +t .X t = i) = o(h) as h ! 0. Ther:.

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

the jump times J 1 . the time at which that jump occurs is uniformly distributed on [s. 1) = 1) D Theorem 2. .Xt as required.X(t-u) /(Ate-'xt) = u/t. The results say in effect that the jumps of a Poisson process are as randomly distributed as possible.+Sn+l) 1 {Sl .. . .. it suffices to consider the case s = O.. Let (Xt)t~O be a Poisson process...In have joint density function f(t1.. .. Notice that the conclusions are independent of the rate of the process considered.In have the same distribution as an ordered sample of size n from the uniform distribution on [O. ~tn~t}. Then. dtn and since IF(Xt = n) = e-. .Xt An 1 = n) = IF((J1..In+1 have joint density function So for A ~ jRn we have IF((J1. .4 Poisson processes 79 Next we establish some relations between Poisson processes and the uniform distribution.6. Let (Xt)(~O be a Poisson process.Xu = O)/lF(Xt = 1) = Aue-'xue-.. Then.t]... .. . s + t].. 0 . .. Then. . s + t].. The holding times S1. .. Proof.Sn+1 have joint density function An+1 e-'x(Sl +. IF(J1 ~ u I X t = IF(J1 ~ u and X t = l)/lF(Xt = = IF(Xu = 1 and X t ..tn)EA 1{O~tl~ ... . Thus.Sn+l ~O} so the jump times J1. for o ~ u ~ t... . By stationarity of increments.. conditional on (Xt)t~O having exactly one jump in the interval [s. . We shall use the finite-dimensional distribution definition. Theorem 2.In ) E A and I n ~ t < I n+1) (tl .. . Proof.In ) E A and X t = e-. the jump times J 1 .2.4. . conditional on the event {Xt = n}. .4.. ~tn~t}dt1 An In! we obtain . conditional on {Xt = n}.5..tn ) = n! l{o~tl~ . ..

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

..4 A radioactive source emits particles in a Poisson process of rate A. } U {oo} is a birth process of rates (qj : j ~ 0) if.4.5 A pedestrian wishes to cross a single lane of fast-moving traffic..4. respectively.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. What.. The particles are each emitted in an independent random direction. We begin with a definition in terms of jump chain and holding times. The data for a birth process consist of birth rates 0 ~ qj < 00. 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. . (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. its holding times 8 1 . where j == 0.2. is the probability that I wait for 30 minutes without seeing a single bus? 2.82 . .3 Arrivals of the Number 1 bus form a Poisson process of rate one bus per hour. are independent exponential random variables of parameters qi.] 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. . 1.4. What is the distribution of the number of particles recorded in time t? 2. qi+1. and its jump chain is given by Y n == i + n.1.4. and arrivals of the Number 7 bus form an independent Poisson process of rate seven buses per hour.2.2. then. conditional on X o == i.. at any time whilst crossing.. A Geiger counter placed near the source records a fraction p of the particles emitted. (b) when an island in the middle of the road makes it safe to stop half-way? 2.5 Birth processes 81 2. and suppose it takes time a to walk across the lane. how long on average does it take to cross over safely? [Consider the time at which the first car passes. a car would pass in either direction). A minimal right-continuous process (Xt)(~O with values in {O.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.

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, ...

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

.q(Yn-1) respectively.x and generator matrix Q if its jump chain (Yn)n~O is discrete-time Markov(.Sn are independent exponential random variables of parameters q(Yo).2. IT) and if for each n ~ 1.x. We say (Xt)t~O is Markov(. its holding n times Sl..see Section 2.88 has diagram: 2.x. 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. ••• be independent exponential random .Y . A minimal rightcontinuous process (Xt)t~O on I is a Markov chain with initial distribution .1 . . conditional on yo. We can construct such a process as follows: let (Yn)n~O be discretetime Markov(. . Recall that a minimal process is one which is set equal to 00 after any explosion .. T 2 . IT) and let T 1 . .x. Q) for short.

. 8 n+1 is exponential of parameter qi = Ej:j=i qij. 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. (N.x. .... and independent of yo. and Njnj n+l =I Njnj n 'l If I n + 1 = . for j =I i. by Theorem 2. Sn+l = y: J-r-'I. This construction n shows why we call qi the rate of leaving i and qij the rate of going from i to j. 00 ~~ S~+l' n+1 - _ {j 'l . Then.3. conditional on Y n = i. ... . conditional on Yn = i.. Set 8 n I n = 8 1 + . 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. .8n . Then set J o = and define inductively for n = 0.1.i =I j}. 89 = T n /q(Yn. .x. independent of (Yn)n~O. and 8 n + 1 and Y n + 1 are independent. as required. . + 8 n and Yn if I n ~ t < I n+1 for some n X t = { 00 otherwise. Y n+1 has distribution (7rij : j E I). if Y n = i we set 8~+1 = T~+l/qij.1 ). We begin with an initial state X o = Yo with distribution .2.j)t~o : i.1.2.. each passage shut off by a single door which opens briefly from time to time to allow you through in one direction only. n 1 00 00. and with an array (T~ : n ~ 1. So. Imagine the state-space I as a labyrinth of chambers and passages. we begin with an initial state X o = Yo with distribution . Both constructions make direct use of the entries in the Q-matrix. Our third and final construction of a Markov chain with generator matrix Q and initial distribution .2.. 1 if 8~+1 = 8 n + 1 < ·f S n+1 = 00. j E I) of independent exponential random variables of parameter 1. .6 Jump chain and holding times variables of parameter 1. Here is the second construction.3. and with a family of independent Poisson processes {(N.j E I. In more mathematical terms.x is based on the Poisson process. inductively for n = 0..j)t~o having rate qij. . then you will perform a Markov chain with Q-matrix Q. Then (Xt)t~O has the required properties. We shall now describe two further constructions. You will need to understand these constructions in order to identify processes in applications which can be modelled as Markov chains.Y and 8 1 . Then. rather than proceeding first via the jump matrix.

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

7. Then qi( ~ with probability 1.7. Moreover. N 2 . for the associated Markov chain Pi (( < 00) > 0 for some i E I.+! = 00 We say that a Q-matrix Q is explosive if. Then Z = (Zi : i E I) satisfies: - (i) IZil ~ 1 for all i.Q) and independent of J 1 • So and . Let (Xt)t~O be a continuous-time Markov chain with generator matrix Q and write ( for the explosion time of (Xt)t>o. As a corollary to the next result we shall obtain necessary and sufficient conditions for Q to be explosive. ifz also satisfies (i) and (ii). Otherwise Q is non-explosive. It is a simple consequence of the Markov property for (Yn)n>O that under Pi the process (Xt)t>o is Markov(8i . Theorem 2. • •• . In case (iii). Proof. The result just proved gives simple conditions for nonexplosion and covers many cases of interest. say. conditional on XJ 1 = k. (XJl+t)t~O is Markov(8k. but these are not as easy to apply as Theorem 2. Here as in Chapter 1 we denote by Pi the conditional probability Pi(A) = P(AIXo = i).2.2.1. Q). Fix () > 0 and set Zi = Ei(e-(}(). Condition on X o = i. then for all i. we know that often. D (Yn)n~O 91 visits i infinitely L m==l 00 TN". Zi ~ Zi (ii) Qz = Oz. by the Markov property of the jump chain at time n = 1. The time and place of the first jump are independent. at times N 1 . 7 Explosion with probability 1. J 1 is E(qi) and Moreover.

-< E·(e. so JP>i(( = 00) = 1 and (a) holds. then. D Corollary 2. if (b) holds.3. so Zi ~ Zi for all i.9 (). since z satisfies (ii) Hence Zi ~ E i (e. by symmetry z ~ 0. For each (J > 0 the following are equivalent: (a) Q is non-explosive. D . Then qikZk (0 . then by the theorem E i (e. Qz = (Jz and Izl ~ 1 imply Zi ~ E i (e. On the other hand. Continuous-time Markov chains I qi Recall that = -qii and q(Jrik = qik.92 2.9 () = o. hence z ~ 0.qii)Zi =L k#i so OZi = Lqikzk kEI and so z satisfies (i) and (ii).9Jn ) for all n. in particular for all i. If (a) holds then JP>i(( = 00) = 1 so E i (e. and hence (b) holds. By monotone convergence as n ~ 00.7.9Jn ) ~ ~ then. Suppose inductively that z. (b) Qz = (Jz and IZil ~ 1 for all i imply z = o. By the theorem. Proof. Note that the same argument also shows that Suppose that z also satisfies (i) and (ii).9() = 0 for all i.

8 Forward and backward equations Exercise 93 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. However. Let (Xt)t~O be Markov(A. As for Poisson processes and birth processes. In fact.~o to be explosive.5. where A + J-l = 1 and qi > for all i.1 Let (Xt )t.4. Q) and independent of (Xs : s ~ T).1 on the Poisson process gives the main idea in a simpler context. We shall present first a version for the case of finite state-space.1 (Strong Markov property). Why is this condition necessary for (Xt)t~O to be explosive for all J-l E [0. that X t hits i. Then.00) the event {T ~ t} depends only on (X s : s ~ t).i-l = J-lqi ° (i) (ii) (iii) A = J-l. (Xt)t~O is non-explosive if and only if one of the following conditions holds: ° qi. Theorem 2. Find for all integers i: (a) the probability. In the case where J-l = 0. We come to the key result for continuous-time Markov chains. Recall that a random variable T with values in [0. we shall give the strong Markov property as this is a fundamental result and the proof is not much harder. In this section we shall obtain two more ways of characterizing a continuous-time Markov chain.2. starting from 0.i+l = Aqi. we might wish to calculate IPi(Xt = j).00] is a stopping time of (Xt)t~O if for each t E [0. in general. Theorem 2. write down a necessary and sufficient condition for (Xt)t. starting from 0. where there is a . If you want to understand what happens. the proof of both results really requires the precision of measure theory. A > J-l and A < J-l and E~l 1/ qi = 00. E~ll/q-i = 00. which will in particular give us a means to find IPi(Xt = j). (b) the expected total time spent in state i. it does not answer some basic questions. qi. so we have deferred it to Section 6.8.il ~ 2. conditional on T < 00 and XT = i. For example.~o be a Markov chain on the integers with transition rates and qij = if Ij . Q) and let T be a stopping time of (Xt)t~o.1/2)? Show that. (XT+t)t~O is Markov(8i . the first step is to deduce the Markov property from the jump chain/holding time definition. 2.7.

.. conditional on yo. In this case there are three alternative definitions. . Proof.8n n are independent exponential random variables of parameters q(Yo).1 . IT) and for each n ~ 1...94 2. .. (b) (infinitesimal definition) for all t.Y . the holding times 8 1 . 8 2 > h) = (1 . 1.8. Theorem 2... where (Pij (t) : i. Y1 = j. h ~ 0. . Thus for every state j there is an inequality . conditional on X t = i. (a) =* (b) Suppose (a) holds. Xt+h is independent of (X s : s ~ t) and. and for j =I i we have JP>i(Xh = j) ~ JP>(J1 ~ h.in +1 °::. Let Q be a Q-matrix on I with jump matrix II.. .. t ~ 0) is the solution of the forward equation P'(t) = P(t)Q. .2.~o satisfies any of these conditions then it is called a Markov chain with generator matrix Q. then. Let (Xt)t.q(Yn . 2. P(o) = I.. all times to ~ t 1 ~ .. . uniformly in t.. just as for the Poisson process. Then the following three conditions are equivalent: (a) (jump chain/holding time definition) conditional on X o = i. . as h ! 0. . as h ! 0. for all j (c) (transition probability definition) for all n = 0. Continuous-time Markov chains I simpler proof. . If (Xt)t. is the distribution of X o.1 ) respectively..e-qih)7rije-qjh = qijh + o(h). where>. j E I... ~ t n +1 and all states io. We say that (Xt)(~O is Markov(>. the jump chain (Yn)n~O of (Xt)t~O is discrete-time Markov(8 i . Q) for short.~o be a right-continuous process with values in a finite set I. .

by the above argument. if (b) holds. X t + h is independent of (X s : s ~ t) and. ! 0.1. hence differentiable. there is a slight variation of the argument from (b) to (c) which leads directly to the backward equation.1. kEI Pij(O) = 8ij . h ~ 0. letting h ! 0. So in condition (c) of the result just proved we could replace the forward equation with the backward equation.3. Indeed. (c) :::} (a) See the proof of Theorem 2. h ~ 0. (b) holds for (Xtn+t)(~O so.2. we see that Pij(t) is differentiable on the right. then differentiable on the left.4. kEI Since I is finite we have Pij(t + h~ . D We know from Theorem 2.8 Forward and backward equations 95 and by taking the finite sum over j we see that these must in fact be equalities. Also. Pij(t) is then the unique solution by Theorem 2. uniformly in t (b) :::} (c) Set Pij(t) for all t. and satisfies the forward equations ° p~/t) = LPik(t)qkj. Since I is finite. proving (c). uniformly in t kEI If (b) holds. then and.1. Then by the Markov property. Then by uniformity we can replace t by t . . as h ! 0. then Pij(t + h) = LlPi(Xt = k)IP(XHh = j = I X t = k) LPik(t)(8kj + qkjh + o(h)).1 that for I finite the forward and backward equations have the same solution. moreover.Pij(t) = LPik(t)qkj + O(h) kEI so. as h = lFi(Xt = j) = IF(Xt = j I X o = i). for any t.h in the above and let h ! to see first that Pij(t) is continuous on the left. conditional on X t = i.

1. P(O) =I only now we have an infinite system of differential equations P~j(t) = L qikPkj(t). t ~ O..8. On the other hand. There are just two alternative definitions now as the infinitesimal characterization become problematic for infinite state-space. t + h) = I + Qh + o(h) = P(O.j E I) of differentiable functions satisfying this system of differential equations.4. This solution forms a matrix semigroup P(s)P(t) = P(s + t) for all s. are not a priori identical. or simply the semigroup of Q.t)=p(o.8..t) (I+t~ +o(~))n. Let Q be a Q-matrix. We turn now to the case of infinite state-space.j E I) satisfies P(t. in (c) we see that P(O. We shall prove this result by a probabilistic method in combination with Theorem 2. though uniform in t. The backward equation may still be written in the form P'(t) = QP(t). = (Pij(t. P(O) =I has a minimal non-negative solution (P(t) : t 2: 0). + h) + h) = P(Xt +h = j I X t = i). t and Pij(t. t) = etQ . t + h) : i. since the o(h) terms.1 no longer apply. . 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. Note that if I is finite we must have P(t) = etQ by Theorem 2. Some care is needed in making this precise. kEI Pij(O) = 15ij and the results on matrix exponentials given in Section 2. Here is the key result for Markov chains with infinite state-space. p((n~l)t.1. t n -4 eq as n -4 00. Theorem 2.3. A solution to the backward equation is any matrix (pij(t) : i.~). We call (P(t) : t ~ 0) the minimal non-negative semigroup associated to Q. Then the backward equation P'(t) = QP(t). the qualifications minimal and nonnegative being understood.~)p(~.96 2.

.s in each of the integrals.. the holding times 8 1 .8. X t = j) (2.. .. ~ t n+l and all states io. Proof of Theorems 2. So let us define P(t) by Pij(t) =JP>i(Xt =j). . X t = j) = Therefore Pij(t) = I t qie-QiS7rikPkj(t . ..8. Conditional on X o = i we have J 1 rv E(ql) and X J1 rv (7rik : k E I).. t < J1) + LJP>i(J1 ::. the jump chain (Yn)n~O of (Xt)t~O is discrete-time Markov(8i. Let (Xt)(~O be a minimal right-continuous process with values in I. Q).s)ds.8. . Let Q be a Q-matrix on I with jump matrix IT and semigroup (P(t) : t ~ 0).. t. interchange sum and integral by monotone convergence and multiply by eqit to obtain eQitpij(t) = 8ij + Jo tL k#i qieQiU7rikPkj(u)du.. . XJl k#i = k. So and JP>i(J1 ::.1 ) respectively. Then the following conditions are equivalent: (a) (jump chain/holding time definition) conditional on X o = i.8 Forward and backward equations 97 Theorem 2. .8n n are independent exponential random variables of parameters q(Yo). (b) (transition probability definition) for all n = 0.Y .s)ds.4... . We show that P(t) satisfies the backward equation. .1 . Step 1.1.i n+l If (Xt)t~O satisfies any of these conditions then it is called a Markov chain with generator matrix Q. (2.. We say that (Xt)t~O is Markov (A. all times 0 ~ to ~ tl ~ . . We know that there exists a process (Xt)t~O satisfying (a).3 and 2.2. Then conditional on J 1 = sand X J1 = k we have (X8+t)t~O rv Markov(8k. Q) for short. conditional on yo.2) . . . JP>i(Xt = j.q(Yn. Make a change of variable u = t .2. t. where A is the distribution of X o.4. il. II) and for each n ~ 1.1) = e-Qit8ij + 2: k#i Jo t qie-QiS7rikPkj(t . XJI = k.

(2. Step 2. it also satisfies the integral form: If P(t) 2 0. The integral equation (2. Then.4) and (2.5) we have for all i. hence P(t) is the minimal non-negative solution. then P(t) ~ P(t). if P(t) satisfies the backward equation.1) is called the integral form of the backward equation. L k#i Recall that obtain qi = -qii and qik = qi'lrik for k =I i. We show that if P(t) is another non-negative solution of the backward equation. j and t. hence continuous. j and t. by reversing the steps from (2.3). j and t. .4) On the other hand.98 2. then. j. on rearranging. then for all i. that Pij (t) is continuous in t for all i. firstly. the integrand is then a uniformly converging sum of continuous functions. Continuous-time Markov chains I This equation shows. t - s < In)ds.1) also shows that JP>i(Xt =j. Let us suppose inductively that for all i. The argument used to prove (2.1) to (2. Secondly. and hence Pij (t) is differentiable in t and satisfies eqit(qiPij(t) + P~j(t)) = qieqit7rikPkj(t).3) P~j(t) = L qikPkj(t) kEI so P(t) satisfies the backward equation. we (2. then by comparing (2.t < I n +l) = e-qit15ij +L k=li Jo rt qie-QiS7rikJP>k(Xt-s = j.

2. Hence for all i.. D So far we have said nothing about the forward equation in the case of infinite state-space. A solution is then any matrix (pij(t) : i.4. Then. The argument is a little longer because there is no reverse-time Markov property to give the conditional distribution. .8 Forward and backward equations and the induction proceeds. a simple version of which was given in Theorem 2. P(Xtn +1 = i n+1 IXto = io.j E I) of differentiable functions satisfying this system of equations.4. that by the Markov property (Xt)t~O satisfies (a). Remember that the finite state-space results of Section 2.8.3. 99 Step 3. We shall show that the semigro~p (P( t) : t ~ 0) of Q does satisfy the forward equations. by a probabilistic argument resembling Step 1 of the proof of Theorems 2. .4. (c) :::} (a)).. now understood as an infinite system of differential equations p~/t) = LPik(t)qkj. .8. This completes the proof of Theorem 2. This time. We need the following time-reversal identity. P(O) = I.3.3.3 and 2.tn) so (Xt)t~O satisfies (b). Suppose. The forward equation may still be written P'(t) = P(t)Q. j and t. kEI Pij(O) = 8ij . instead of conditioning on the first event. we condition on the last event before time t.8.1 are no longer valid. Step 4. 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.8. We complete the proof of Theorem 2.Xtn = in) = Pin (Xtn+l-tn = in+1) = Pi nin+l (tn+l . Hence (P(t) : t ~ 0) is a matrix semigroup.4 by the usual argument that (b) must now imply (a) (see the proof of Theorem 2. as we have throughout.

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.

with 1 in the jth place. We hope these three examples will serve to suggest some of the possibilities for more general continuous-time Markov chains. For further reading. at j say. Chichester. The Lebesgue measure of the set of times t when X t = 00 is zero. We shall show that the two norms are equivalent and that IQI is well adapted to sums and products of matrices. 1967).1 for an exponential time of parameter 1. Markov Processes and Martingales. which IIQlloo is not. 1994). (a) For any vector v we have IQvl ~ IQllvl. or Diffusions. The supremum defining IIQlloo is achieved. The details may be found in Markov Chains by D.2. for the vector Cj = (0. Williams (Wiley. . .. v#O IIQlloo = sup Iqijl· i. 2nd edition. San Francisco. ~ tn+l In particular. .10. so IIQII~ ~ L(qij)2 = IQcjl2 i ~ IQI 2..10 Appendix: matrix exponentials Define two norms on the space of real-valued N x N -matrices IQI = sup IQvl/lvl. for 0 ~ to ~ . Lemma 2.. Rogers and D. We have (a) (b) IIQlloo ~ IQI ~ NIIQlloo. In particular. we have IQcjl ~ IQI.0). IIQlloo is finite for all Q and controls the size of the entries in Q.. There is a semigroup of stochastic matrices (P(t) : t ~ 0) on I such that.. see Freedman's book. 1971). C.1.1. P(Xt = 00) = 0 for all t ~ O. Freedman (Holden-Day. Berlin. 2.. IQl + Q21 ~ IQll + IQ21 and IQIQ21 ~ IQIIIQ21· Proof.10 Appendix: matrix exponentials 105 This process runs through all the dyadic rationals i E I in the usual order. . Between any two distinct states i and j it makes infinitely many visits to 00. Chung (Springer. .-L. or else Markov Chains with Stationary Transition Probabilities by K. It remains in i E D n \Dn . Vol 1: Foundations by L. 2nd edition. G.j Obviously.

n k=m+l ' " . 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.. so Qk < Since '" . .k!· LJ k=m+l IQI ~ NllQlloo < 00.E(m))iil ~ IIE(n) . ..1.106 On the other hand 2. and m ~ = L k=O n Qk kf' n.k! LJ IQl k ~O as m.E(m)1 n k=m+l n Lkf IQl k E~o IQl k /k! converges by the ratio test. consider the finite sum E(n) For each i and j. IQIQ2 V ~ IQI11Q2 V l ~ IQIIIQ21Ivl· l D Now for n = 0.n ~ 00. .2. Continuous-time Markov chains I IQvI 2 = ~ (~qijVj) 2 ~ ~ ( ~ IIQllooIVjl) = 2 NIIQII~ ( ~ IVjl) 2 and.E(m)lloo ~ IE(n) . we have I(E(n) .

_ '1.2.-J k! k=O has infinite radius of convergence for all i. indeed. that the power series (e t Q ) . Finally. for two commuting matrices Q1 and Q2 we have .10 Appendix: matrix exponentials 107 Hence each component of E(n) forms a Cauchy sequence. proving that Qk e Q = L kf k=O CX) is well defined and.) - ~ (tQ)fj L..j. which therefore converges.

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

.. Briefly. jump times.8 that there are two different. Put more simply. . 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. (b) conditional on Yo = i o. The discrete-time process (Yn)n~O is the jump chain.. the distribution of X o.· . . respectively and jumping to the next state at times J1. .. a right-continuous process (Xt)t~O runs through a sequence of states Yo. J 3 . states that (a) (Yn)n~O is Markov(-X. . The first. t 2 o. .3. jump chain and explosion. .2: minimal right-continuous random process.j E I). . The Q-matrix is known as the generator matrix of (Xt)t~O and determines how the process evolves from its initial state. lim L.. but equivalent. .82 . in terms of jump chain and holding times.1 = in-I. . + 8 n .. Thus I n = 8 1 + . forgetting what has gone before.Y .qin -1 . An important point is that a minimal right-continuous process is determined by its jump chain and holding times. ways to describe how the process evolves. J 2 . being held in these states for times 8 1 . . . You will need to be familiar with the following terms introduced in Section 2. choosing state j with probability 1rij. We established in Section 2. holding times. Y1 . it waits there for an exponential time of parameter qi and then jumps to a new state. j i. The explosion time ( is given by 00 ( = '""" 8 n = n--+-oo I n . It then starts afresh. E I) with non- LPij ::. IT). The distribution -X gives the initial distribution. (8n )n>1 are the holding times and (In )n>1 are the jump times..83 .. the holding times 8 1 .....Sn n are independent exponential random variables of parameters qi o ' . Y2 . As the name implies we have P(s)P(t) = P(s + t) for all s.J n=l For a minimal process we take a new state 00 and insist that X t = 00 for all t 2 (. given that the chain starts at i.1 Basic properties A sub-stochastic matrix on I is a matrix P negative entries and such that 109 = (Pij : i. The data for a continuous-time Markov chain (Xt)t~O are a distribution -X and a Q-matrix Q.

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

. which implies (iii).3 Hitting times and absorption probabilities Let (Xt)t>o be a Markov chain with generator matrix Q. (ii) i ~ j for the jump chain. The notions of communicating class. i I . If (ii) holds. 3. Pin-lin (tin) > 0 for all t > 0. Then the class structure is simply the discrete-time class structure of the jump chain (Yn)n~O. then by Theorem 1. there are states io. Implications (iv) => (v) => (i) => (ii) are clear. The hitting time of a subset A of I is the random variable D A defined by . where it may be possible to reach a state. . We emphasise that we deal only with minimal chains. but only after a certain length of time. Proof..1.in with i o i in = j. (iv) Pij(t) > 0 for all t > 0. closed class. Theorem 3.. . For distinct states i and j the following are equivalent: (i) i ~j.1 shows that the situation is simpler than in discrete-time..2. absorbing state and irreducibility are inherited from the jump chain. = i. '1ri n -li n > 0. and then only periodically. We say i communicates with j and write i ~ j if both i ~ j and j ~ i.iI.1. . If qij > 0.. (iii) Q oilqili2 .2 Class structure 3.. then Pij (t) ~ Pioil (tin) .2. . Qin-li n > 0 for some states io.2.2.in with io = i... in = j and '1rioi l '1rili2 .. then for all t > 0.2 Class structure 111 A first step in the analysis of a continuous-time Markov chain (Xt)t~O is to identify its class structure.. We say that i leads to j and write i ~ j if lPi(Xt =j for some t ~ 0) > o. those that die after explosion. so if (iii) holds. (v) Pij(t) > 0 for some t > o. as discussed in Section 1. and (iv) holds. D Condition (iv) of Theorem 3.3.

3) in terms ofQ. D The average time taken.3. We emphasise that (Xt)t>o is minimal. then - {H A < oo} and on this set we have = {D A < oo} D A = JHA.3. 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.3. that (Xt)t~O ever hits A is then When A is a closed class. Continuous-time Markov chains II with the usual convention that inf 0 = 00. starting from i. So if H A is the hitting time of A for the jump chain.112 3.2 to the jump chain and rewrite (1. Theorem 3. Apply Theorem 1. Since the hitting probabilities are those of the jump chain we can calculate them as in Section 1.1. starting from i. 1 2 2 (Xt)t~O to reach A is given 1 1 2 3 3 3 4 . The probability. hf is called the absorption probability.

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. Theorem 3. Assume that qi > 0 for all i fj.l+L j#i j#i 'lrij k 1 and so . Then kf = Yi = 0 for i E A. If X o = i E A. then D A = 0. If X o = 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 1 for i E A .Lqijk1 JEI = 1.1). j~A k~A . (3. Here is the general result. k3 = + ~k1 + ~k2. A. then D A ~ J 1 . First we show that k A satisfies (3. Suppose now that Y = (Yi : i E I) is another solution to (3. 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.5. Suppose i fj.3.LjEI qijkf = for i fj. Thus 1 k1 = ~ + ~ k 2 + ~ k3 ~ and similarly k2 = ~ + ~k 1 + ~k3. then jump with equal probability to 2 or 3.1). On starting in 1 we spend an average time ql = 1/2 in 1.3.3 Hitting times and absorption probabilities 113 Example 3. The proof follows the same lines as Theorem 1. How long on average does it take to get from 1 to 4? Set ki = E i (time to get to 4). A.3.3.2 Consider the Markov chain (Xt)t~O with the diagram given on the preceding page.1) Proof.3. On solving these linear equations we find k 1 = 17/12. so kt = o. A.

. 2. Yi ~ E i (D A) = Exercise kf. 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 that i is transient if JP>i( {t ~ 0 : Xt = i} is unbounded) = O. 3. · 1rin-dnYin· So. 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 jl~A jn~A 1riil ..4 Recurrence and transience Let (Xt)t~O (Xt)t~O be Markov chain with generator matrix Q. ..1 Consider the Markov chain on {I. The next result shows that. Calculate (a) the probability of hitting 3 starting from 1. 3. recurrence and transience are determined by the jump chain. by monotone convergence.. D 3.114 3. like class structure.. Note that if (Xt)t~O can explode starting from i then i is certainly not recurrent. (b) the expected time to hit 4 starting from 1. Recall that we insist be minimal.3. Now so. if y is non-negative where we use the notation HA /\ n for the minimum of H A and n. We say a state i is recurrent if JP>i({t ~ 0: X t = i} is unbounded) = 1. as required.

Suppose then that qi > o. Then Jo IPi(Ni < 00) = IPi(Ti < 00) so i is recurrent if and only if IPi(Ti < 00) = 1. Let N i denote for all t.5.4. We shall show that 1 o 00 1 pii(t)dt .3.2.4. with probability 1. D The next result gives continuous-time analogues of the conditions for recurrence and transience found in Theorem 1.5.4. defined by Ti(w) = inf{t ~ J 1 (w) : Xt(w) = i}. (ii) Suppose i is transient for (Yn)n~O. (iii) every state is either recurrent or transient. then (Xt)t~O cannot leave i. Proof. If qi = 0. then i is transient for (Xt)t~O. (i) Suppose i is recurrent for (Yn)n~O. (iv) recurrence and transience are class properties. . (Yn)n~O. (iii) Apply Theorem 1. Theorem 3.--:_ L q1. N = sup{ n ~ 0 : Yn = i} < so {t ~ 0: X t = i} is bounded by J(N +1).2) by Theorem 3. Pii(t)dt < 00. so {t ~ 0 : X t = i} is unbounded. then i is recurrent and (ii) ifqi > 0 and IPi(Ti < 00) < 1.4 to the jump chain. Jo oo 00.4.1 and so that i is recurrent if and only if Pii(t)dt = the corresponding result for the jump chain.j) entry in rrn. We denote by T i the first passage time of (Xt)t~O to state i. If X o = i then 00. with probability 1. 115 then i is recurrent for (ii) if i is transient for the jump chain. so i is recurrent.4 Recurrence and transience Theorem 3.1 and the corresponding result for the jump chain.7.3 to the jump chain. If X o = i then (Xt)t~O does not explode and I n ~ 00 by Theorem 2. We have: (i) if i is recurrent for the jump chain (Xt)t~O.3.1. Write 1r}j) for the (i. n=O 00 (n) 1rii (3. which is finite. Also X(Jn ) = Y n = i infinitely often. then i is transient and Jo Jo oo oo Pii(t)dt = 00. (iv) Apply Theorem 1.5. The following dichotomy holds: (i) if qi = 0 or IPi(Ti < 00) = 1. and the first passage time of the jump chain (Yn)n~O to state i. by Theorem 3. because (Yn : n ~ N) cannot include an absorbing state. Pii(t) = 1 oo Pii(t)dt = 00. Proof.1.

4. (Zn)n~O.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.1 Customers arrive at a certain queue in a Poisson process of rate A. D Exercise 3.5. he fluctuates between these states as a Markov chain Y on {A.4. we show that recurrence and transience are determined by any discrete-time sampling of (Xt)(~o.3. Theorem 3.116 3. Independently of how many customers are in the queue.2. . Then.3 and 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. by monotone convergence and the result follows by Theorems 1. Continuous-time Markov chains II To establish (3.2) we use Fubini's theorem (see Section 6. state A signifying that he is 'in attendance' and state B that he is having a tea-break. Let h > 0 be given and set Zn = X nh . 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.4. The single 'server' has two states A and B. Claim (ii) is obvious. To prove (i) we use for nh estimate ~ t < (n + l)h the which follows from the Markov property. Proof.

Show that (fJ . We say that A is invariant if AQ=O.5.7 to obtain the following result. 3. and explain why this is intuitively obvious. for some fJ in (0.. Theorem 3.I))j = :EJli(1rij .8ij ) = :E.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) f (fJ) = 0. where By considering f(l) or otherwise. so (Jl(II .1. Let Q be a Q-matrix with jump matrix IT and let A be a measure. . (ii) Il IT = Il where Ili = Aiqi.1.5 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.xiqij iEI iEI = (.. . and k = 0.2. prove that X is transient if 1l(3 < A(a+(3).5 Invariant distributions Just as in the discrete-time theory.bij) = qij for all i. the notions of invariant distribution and measure play an important role in the study of continuous-time Markov chains.3. Proof· We have qi ('lrij . . Explain why. The following are equivalent: (i) A is invariant. j.1].

So. Otherwise a recurrent state i is called null recurrent. by Theorem 3.n<Ni } . L jEI f.L~ = Ei 10 where T i /\ ( fTil\( 1 {xs=j}ds. D Recall that a state i is recurrent if qi = 0 or lPi (Ti < 00) = 1. Proof. Denote by N i the first passage time of the jump chain to state i.5. It is obvious that (i) implies (ii). (ii) some state i is positive recurrent. By Theorems 3. II has an invariant measure jj.L.1. ~ L. : j E I) by f. Define J-li = (J-l. then irreducibility forces qi > 0 for all i. Let us exclude the trivial case I = {i}. If qi = 0 or the expected return time mi = Ei(Ti) is finite then we say i is positive recurrent. we can take Ai = jji/qi to obtain an invariant measure unique up to scalar multiples.1.4. by Theorems 1. Then. Theorem 3. Proof.n<Ni } ) n=O 00 = qJ ~lE· '""" 1{Yn=J.118 3.3.6.2. then irreducibility forces qi > 0 for all i. Continuous-time Markov chains II Theorem 3.5.J n=O Ni-l = q.n<Nd = LEi(Sn+l I Y n =j)Ei (l{Yn=j. Then the following are equivalent: (i) every state is positive recurrent. = Ei(Ti 1\ ().7. As in the discrete-time case positive recurrence is tied up with the existence of an invariant distribution. Let Q be an irreducible Q-matrix. which is unique up to scalar multiples.j/qj . (iii) Q is non-explosive and has an invariant distribution A.2. Suppose that Q is irreducible and recurrent.1 and 3.5. Then Q has an invariant measure A which is unique up to scalar multiples. By Fubini's theorem 00 f. Let us exclude the trivial case I = {i}.l Ei L n=O l{Yn=j} = . By monotone convergence. = Ei L n=O 00 Sn+l 1{Yn=j.L.7. when (iii) holds we have mi = l/(Aiqi) for all i. denotes the minimum of T i and (. Moreover. II is irreducible and recurrent.5 and 1.

7. We know that "ill = by Theorem 1.5. and mi = l/(Aiqi) for all i.7.1.. and Q is non-explosive.1. so the jump chain is recurrent.. in the notation of Section 1. hence 11 is recurrent. To compute an invariant measure v it is convenient to use the detailed balance equations for all i.. Suppose (ii) holds.1 i-I i i+1 The jump chain behaves as a simple random walk away from 0.3..7.. = L ./qj ~ L Vj/Qj jEI jEI jEI = 2: Aj/(Aiqi) = l/(Aiqi) < 00 jEI showing that i is positive recurrent..1.. so (Xt)(~O is recurrent if A ~ J-l and transient if A > J-l.. where qi > 0 for all i and where 0 < A = 1 . so J-liQ = 0 by Theorem 3. .6. To complete the proof we return to the preceding calculation armed with the knowledge that Q is recurrent. suppose (iii) holds..5 Invariant distributions 119 "i where. so Vj ~ .5.../mi. Example 3. then i is certainly recurrent. j. So mi = LJl.. Fix i E I and set Vj = Ajqj/(Aiqi). On the other hand.4 Consider the Markov chain (Xt)(~O on Z+ with the following diagram.5. by Theorem 2.J-l < 1: AqO o ... or even recurrence.7. = Ei(Ti) = jEI mi so we obtain an invariant distribution A by setting Aj = J-l. is the expected time in j between visits to i for the jump chain. But J-li has finite total mass L Jl.5... then Vi = 1 and vll = v by Theorem 3. Vj = . . 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.....---~-- . for all j by Theorem 1.

The next result justifies calling measures A with AQ = 0 invariant.7.2 to see that any solution is invariant. By the strong Markov property at T i (which is a simple consequence of the strong Markov property of the jump chain) .l(A/Il)i. In this case the non-zero equations read for all i. Since Q is recurrent. Continuous-time Markov chains II Look ahead to Lemma 3. on the other hand. P(s) is also recurrent. but (Xt)t~O is also transient.5.4. the only possibility is that (Xt)t~O is explosive.5.QP(s) so AQ Il P (s) d = 0 implies AP(S) = AP(O) = A for all s. Thus it suffices to show IlP( s) = Il. the interchange of differentiation with the summation involved in multiplication by A is not justified and an entirely different proof is needed.3. Then v has finite total mass so (Xt)t~O has an invariant distribution. Consider.3. Hence any A satisfying (i) or (ii) is unique up to scalar multiples. So a solution is given by Vi = q:. and P(s) is recurrent by Theorem 3.5. Let Q be irreducible and recurrent. The following are equivalent: (i) AQ = 0. so IlQ = O. and let A be a measure. so = Il implies that Il is proportional to A. Proof. if we fix i and set then IlQ = o.1.120 3. For infinite state-space. Theorem 3. it is non-explosive by Theorem 2.5. If the jump rates qi are constant then v can be normalized to produce an invariant distribution precisely when A < Il. Let s > 0 be given. and from the proof of Theorem 3.3.P'(s) = >. Given Theorem 3. the case where qi = 2i for all i and 1 < AI Il < 2. (ii) AP(S) = A. There is a very simple proof in the case of finite state-space: by the backward equation ds>'P(s) = >.7.

s +Ti /-£j = = 121 1 Jo kEI lEi l 00 s l{X t=j}dt = j.5. Lemma 3. You will see that the situation is analogous to the case of discrete-time. h) = 1 . D 3.»i(X kEI i = k. Let Q be an irreducible non-explosive Q-matrix having an invariant distribution A. We shall need the following estimate of uniform continuity for the transition probabilities. Then. h 2: 0 Proof. Let Q be a Q-matrix with semigroup P(t). only there is no longer any possibility of periodicity. We have Ipij(t + h)-Pij(t)1 = I:EPik(h)Pkj(t) . for all i.pii(h) :s. conditional on X s Markov(8i . t t JP\(Xs +t < Ti)dt < Ti)Pkj(s)dt = = = roo '2:)J. using Fubini's theorem. 1 .6. Proof.e. By Theorem 3. lF i (J1 :s.6 Convergence to equilibrium We now investigate the limiting behaviour of Pij (t) as t ~ 00 and its relation to invariant distributions. If (Xt)(~O is Markov(A. by the Markov property.qih . Q). Q) then so is (Xs+t)(~O for any S 2: o.(1 . t L(lE kEI Jo (Ti l{Xt=k}dt)Pk j (s) :E /-£kPkj(S) as required.Pij(t)1 kEI = !:EPik(h)Pkj(t) .5. D .3.1. D Theorem 3.6 Convergence to equilibrium Hence. for all t.6. IF(Xs = i) = (AP(S))i = Ai so.5.pii(h))pij(t) I k#i :s.

Then for all states i. So. we fill in the gaps using uniform continuity.5 by the same argument we used in the preceding result. For t 2: Nh we have nh ~ ~ s ~ h t < (n + l)h for some n 2: Nand by Lemma 3.2 (Convergence to equilibrium). Given € > 0 we can find h > 0 so that for 0 and then find N.122 3.2. j Thus we have a lattice of points along which the desired limit holds. By Theorem 3.8. Continuous-time Markov chains II Theorem 3.4 so (Zn)n~O is discrete-time Markov(8i .1 irreducibility implies pij(h) > 0 for all i. Hence Pij(t)~Aj as n~oo. Fix h > 0 and consider the h-skeleton Zn = Xnh. By Theorem 2. .5. j we have Proof Let (Xt)(~O be Markov(8i .5.8. A is invariant for P(h). We do not give the details.6. Q). Fix a state i. By Theorem 3. Let Q be an irreducible non-explosive Q-matrix with semigroup P(t). for all i. D The complete description of limiting behaviour for irreducible chains in continuous time is provided by the following result.6. so that for n 2: N. and having an invariant distribution A. by discrete-time convergence to equilibrium.j so P(h) is irreducible and aperiodic. P(h)). It follows from Theorem 1.1.

and deduce that the chain is positive recurrent if and only if AI Il < 1/2.2 In each of the following cases. Reversibility provides a powerful tool in the analysis of Markov chains. Service requirements are independent of one another and of the arrival process. Q).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 2.4}: (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 1 2 1 1 -1 0 0 -2 1 0 2 -1 0 ~) ~) 3. 3.3. Note in the following . Calculate the essentially unique invariant measure for Q. 3.6.2. compute limt~oo P(Xt = 21Xo = 1) for the Markov chain (Xt)t~O with the given Q-matrix on {1.1.7 Time reversal Time reversal of continuous-time chains has the same features found in the discrete-time case.3. Suppose that (Xt)(~O is Markov(v.6.3 Customers arrive at a single-server queue in a Poisson stream of rate A. 7 Time reversal 123 Theorem 3. Exercises 3.2.3. explaining what the states of the chain represent. as we shall see in Section 5. Each customer has a service requirement distributed as the sum of two independent exponential random variables of parameter J-l.6. Let Q be an irreducible Q-matrix and let v be any distribution.1. Then as t ~ 00 for all j E I where mj is the expected return time to state j. Write down the generator matrix Q of a continuous-time Markov chain which models this.6.

. which rested on the time reversal identity of Lemma 2. Q). < t n = T and Sk = tk .. Finally. . P(O) = I.8. this is unimportant.- P(Xto = io. P(t) is an irreducible stochastic matrix with invariant distribution A.. for all t > 0. Hence Q is irreducible and non-explosive and has invariant distribution A. Q). Set Xt = X T .1. Mo.. the semigroup (P(t) : t 2: 0) of Q is the minimal non-negative solution of the forward equation P'(t) = P(t)Q.6. Let T E (0. This echoes our proof of the forward equation. .4 we have . . Continuous-time Markov chains II result how time reversal interchanges the roles of backward and forward equations. Also.. . j. by Theorem 2.tn = in) = AinPinin-l (sn) . Q).4 again. Q is also irreducible and non-explosive with invariant distribution A.t . and P(t) is then its minimal non-negative solution. which is itself a Q-matrix.8. By Theorem 2..8. (Xt)O~t~T is Markov(A. thus obtaining again a rightcontinuous process.j E 1) is given by Aj~i = Aiqijo over. For the processes we consider.8. Let Q be irreducible and non-explosive and suppose that Q has an invariant distribution A. Pin-lin (Sn) SO. then P(t) is an irreducible stochastic matrix with invariant distribution A. But this is the backward equation for Q. and forget about the problem. D The chain (Xt)O~t~T is called the time-reversal of (Xt)O~t~T.124 3. We could if we wished redefine the time-reversed process to equal its right limit at the jump times.. and we can rewrite the forward equation transposed as P'(t) = QP(t) .tk-1. by Theorem 2.k~v(A. for 0 = to < ..00) be given and let (Xt)O<t<T be Markov(A.5. Pi l io (Sl) = AioPioi l (Sl) .7. A Q-matrix Q and a measure A are said to be in detailed balance if for all i..Xtn = in) = P(XT-to = io.e- Proof.XT . A small technical point arises in time reversal: right-continuous processes become left-continuous processes. . Define P(t) by AjPJi(t) = AiPij(t). where Q = (~j : i. Theorem 3.. Then the process (Xt)O<t<T is Ma. We shall suppose implicitly that this is done.

set up a Markov chain model for this process. .7.1 Consider a fleet of N buses. given that n are in use at time 0.7. in equilibrium. Show that the expected number of lines in use at time t. t] has Poisson distribution of mean At.e-J-Lt)1 J-l.8 Ergodic theorem 125 Lemma 3. 3.8 Ergodic theorem Long-run averages for continuous-time chains display the same sort of behaviour as in the discrete-time case. is ne-J-Lt + A(l . when it is sent to the depot for repair. Is (Nt)t~o a Poisson process? 3. D Exercise 3. 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 mean length of the busy periods during which at least one line is in use.7.2 Calls arrive at a telephone exchange as a Poisson process of rate A. We say that (Xt)(~O is reversible if. Assuming that infinitely many telephone lines are available. Then the following are equivalent: (a) (Xt)(~O is reversible. non-explosive.7.1. Here is the result. Suppose that (Xt)(~O is Markov(A. Q). and the lengths of calls are independent exponential random variables of parameter J-l.2. Q). Theorem 3.3. Proof· We have (AQ)i = EjEI Ajqji = EjEI Aiqij = 0. Q). Then both (a) and (b) are equivalent to the statement that Q = Q in Theorem 3. Let Q be an irreducible and non-explosive Q-matrix and let A be a distribution. (XT-t)OstsT is also Markov(A. (b) Q and A are in detailed balance. IfQ and A are in detailed balance then A is invariant for Q. Show that. Both (a) and (b) imply that A is invariant for Q. the number Nt of calls finishing in the time interval [0. Each bus breaks down independently at rate J-l.7. for all T > 0. Proof. with Q irreducible and. Find the equilibrium distribution of the number of buses in service. 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.3. and for similar reasons. D Let (Xt)(~O be Markov(A.

Let Q be irreducible and let v be any distribution. for any bounded function f : I ~ lR we have where and where (Ai: i E I) is the unique invariant distribution. +M!L 1 ~~qi asn~oo . so t 1 Jo l{x s =i}ds::.2.1) L~ ~ + .. 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. L~ . .1 (Ergodic theorem). t t 1 {~ Jo l{x s =i}ds ~ 0 = 1 mi · Suppose then that Q is recurrent and fix a state i. are independent and identically distributed with mean mi. Moreover. by the strong law of large numbers (see Theorem 1. in the positive recurrent case.. . If Q is transient then the total time spent in any state i is finite.+l = inf{t > Tin: X t =1= i} . by the strong Markov property (of the jump chain). are independent and identically distributed with mean l/qi. So. by Tin the time of the nth return to i and by Li the length of the nth excursion to i. ..T!" . Q). 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.126 3.10.. . Proof. setting Tp = 0.. If (Xt)(~O is Markov(v. ~ ~ ~ By the strong Markov property (of the jump chain) at the stopping times Tin for n ~ 0 we find that L}. Thus for n = 0.+l : X t = i} L ~+l = T?1'+l ... + Lr:t ~ n n ~ mi asn~oo M~ ~ + . it suffices to consider the case v = bi.. and that Ml.8. Continuous-time Markov chains II Theorem 3..1. we have M. . Hence. M?. Denote by Mi the length of the nth visit to i.Tin T in + 1 = inf{t > Tin + M.

.3.:+l ~ so on letting t ~ 00 we have. D . we note that Tin /Tin+ 1 ~ 1 as n ~ with probability 1. for Tin ~ t < T in+ 1 we have T!L M~ ~ T!"+l L~ ~ ~ -~- + ···+ M!L <1 ~ + ···+ Lr:t . with probability 1 In the positive recurrent case we can write where Ai = 1/(miqi). Now... In particular.t ~ it 0 1 {Xs=~} ·ds<-~- T!"+l M~ ~ T!L L~ ~ ~ + ···+ M!"+l ~ + ..10.8 Ergodic theorem and hence M~ ~ 127 + .2. by the same argument as was used in the proof of Theorem 1.. + M!L ~ L} + ···+ Li ~-- 1 asn~oo miqi 00 with probability 1. + L. We conclude that 1 t it 0 f(Xs)ds ~ 1 ast~oo with probability 1.

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

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

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

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

some care is needed as it is not always true. . given a function f : I ~ JR and a Markov chain (Xn)n~O with transition matrix P. we have (pn J)(i) = Lp~j) Ii = lEi (J(Xn )). this is not true in general. Then the following are equivalent: is a Markov chain with transition matrix P. to every Markov chain is associated a whole collection of martingales. Nevertheless. 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. Let f be a bounded function.1. Obviously. m=O Proof.132 4. We recall that.Xn = in}.2. jEI Theorem 4. Let (Xn)n~O be a random process with values in I and let P be a stochastic matrix. The example just discussed was rather special in that the chain (Xn)n~O itself was a martingale. and these martingales characterize the chain. Further theory where a is the gambler's initial fortune.. Write (Fn)n~o for the filtration of (Xn)n~O. while intuition might suggest that EXT = EXo is rather obvious. This is the basis of a deep connection between martingales and Markov chains. Thus. Suppose (i) holds. . indeed a martingale is necessarily real-valued and we do not in general insist that the state-space I is contained in JR. the following process is a martingale: n-l (i) (Xn)n~O M~ = f(Xn ) - f(Xo) - L (P .. (ii) for all bounded functions f : I ~ JR. By the Markov property . Then I(PJ)(i)1 = so ILPij1i1 ::.I)f(X m ). Let A = {X o = i o. s~p llil jEI J IM~I ~ 2(n+1)suplfjl < j 00 showing that M~ is integrable for all n.

1)2/2 .j) JEI = f(n. for all n ~ 0.(n + 1) = i2 . in) . we have Also (P f)(i) = (i . by the Markov property E(Mn +1 - M n I X o = i o.1 so Martingales 133 (Pf)(Xn ) E(M~+1 . Hence both X n = f(X n ) and Yn = g(n. Let (Xn)n~O be a Markov chain with transition matrix P.Xn D = in) = = E in [f(n + 1. i) = (i .3.i). i). We have assumed that M n is integrable for all n. Then. We consider f (i) = i and g( n. Suppose that a function f : N x I ~ lR satisfies.1. Let us see how this theorem works in the case where (Xn)n~O is a simple random walk on Z. On taking f = l{i n +l} we obtain so (Xn)n~O is Markov with transition matrix P. Notice that we drop the requirement that f be bounded. Xl) .4.i) Then M n = LPijf(n+ 1. So (Mn)n~o is a martingale. then for all bounded functions f. in) = O.1)/2 + (i + 1)/2 = i = f(i).f(n. .. X o)] (Pf)(n + 1. Theorem 4. X n ) is a martingale. = f(n. i) = i 2 . (Pg)(n + 1. . Since IXnl ~ n for all n.M! I A) = E[f(Xn + l ) - I A] = 0 and so (Ml)n~o is a martingale. Proof. D Some more martingales associated to a Markov chain are described in the next result.f(n. if (ii) holds. both and (Pf)(n+ 1. X n ) are martingales. starting from O.1)2/2 + (i . On the other hand.· .n = g(n.n.

but potential theory is also relevant to electrostatics. where ~ = 8 2 /8x 2 + 8 2 /8 y 2 through its gradient + 82 / 8z 2 . Further theory In order to put this to some use. The potential ¢ is felt physically '\l¢ = (8¢ 8¢ 8¢) 8x' 8y' 8z . So we obtain We have given only the simplest examples of the use of martingales in studying Markov chains. Show that M n = h(Xn ) is a martingale. Set T = inf{n ~ 0: X n E A} and hi = IPi(Xn E A for some n ~ 0) = IPi(T < 00). gives rise to a gravitational potential ¢. One example is Newton's theory of gravity. a distribution of mass. fluid flow and the diffusion of heat. By the optional stopping theorem Hence On letting n ---+ 00.2 Potential theory Several physical theories share a common mathematical framework.134 4.1 Let (Xn)n~O be a Markov chain on I and let A be an absorbing set in I. For an excellent introduction to martingales and their applications we recommend Probability with Martingales by David Williams (Cambridge University Press. which in suitable units satisfies the equation -Da¢ = p. In gravity. Exercise 4. by monotone convergence. and the right side to E(Xf) by bounded convergence. the left side converges to E(T). Some more will appear in later sections. consider again the stopping time T = inf{n ~ 0 : Xn = -a or Xn = b} where a.1. which is known as potential theory. 1991). of density p say. bEN. 4.

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

4. as before ¢l = 1 + ¢2. 4. Thus the total cost is now 00 1 c(Xs)ds. Where there is no arrow. ¢3 = + ~¢l ¢4 = 4. where Ii = i. 1 4 2 5 In the second variation we consider the discrete-time random walk (Xn)n~O on the modified graph shown above. Further theory by considering the effect of a single step we see that ¢l = 1 + ¢2. states 1 and 5 are absorbing. We impose a cost Ci = i on each visit to i for i = 2. Thus the total cost is now T-l n=O L c(X n ) + f(X T ) .2. instead. 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. and a final cost Ii on arrival at i = 1 or 5. 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. So we see. q3 = 3. Hence ¢3 = 8 and the fair price to move from 3 to 4 is 4. ¢3 = 3 + ~¢l + ~¢4' ¢4 = 4. Obviously.136 4. We shall now consider two variations on this problem. q2 = 1. ¢2 = 2 + ¢3. transitions are allowed in both directions. 3. the continuous-time random walk (Xt)t~O on the same directed graph which makes each allowable transition at rate 1.3. First suppose our process is. ¢2 = 2 + ¢3.

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

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

1) ¢ = P¢+ C in D { ¢=I in aD.2) and 'l/Ji ~ 0 for all i.3. then (4.2 Potential theory 139 Theorem 4. 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.1) has at most one bounded Proof. (ii) if'l/J = ('l/Ji : i E I) satisfies 'l/J { 'l/J ~ ~ P'l/J+c in D in aD I (4. then 'l/Ji ~ ¢i for all i.4. (ii) Consider the expected cost up to time n: . = 1 for all i. (iii) if IPi(T < 00) solution. Set where T denotes the hitting time of aD. (i) Obviously. Then (i) the potential ¢ = (¢i : i E I) satisfies (4. Suppose that (Ci : i E D) and (Ii: i E aD) are nonnegative. ¢ = f on aD.2.

. if l1/Ji I ~ M and Pi (T < 00) = 1 for all i. with equality when equality holds in (4. (iii) We shall show that if 1/J satisfies (4. in the case of equality. we find 00.2). 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..140 4. by repeated substitution for 'ljJi 1/J on the right ~ Ci + L jEaD Pijli + LPijCj JED + ···+ 2: jlED .2) then with equality if equality holds in (4. then asn~oo so 1/J = limn~oo ¢(n) = ¢. Similarly and by induction. Also. This is another proof of (ii). 1/J ~ ¢(n) for all n.. ¢i(n) used in part (i). But also. { ¢(n + 1) = f Suppose that 1/J satisfies (4. and hence 1/J ~ ¢. . by the argument ¢(n + 1) = c + P¢(n) in D in aD. so 1/J ~ ¢(1). Then 1/J ~ P1/J + c ~ P¢(O) + c = ¢(1) in D and 1/J ~ f = ¢(1) in aD. Further theory i ¢i as n ~ By monotone convergence. 2: jn-IED Piil'" Pjn-2jn-l Cjn_l PijI'" Pjn-lin !jn + L jlED '" L L jn-IEDjnEaD + = 2: .2). proving (iii).. For i E D we have 'ljJi ~ Ci + L jEaD Pij!j + LPij'ljJj JED and.2) and 1/J ~ 0 = ¢(O).

We note that M n is not necessarily integrable. we can still use the result to determine cPi in all cases. Although the conclusion then appears to depend on the finiteness of cP. and therefore not make sense. To do this we restrict our attention to the set of states J accessible from i. then (cPj : j E J) is the minimal such solution. if finite. (4.3) . Nevertheless. which is a priori unknown.2).3. Consider n-l Mn = L c(Xk)lk<T + f(XT )IT<n + 'ljJ(Xn )ln::. Then minimal non-negative solution to cP = (cPi : i E I).2.4. since i leads to j. which forces cPi = 00.4. it still follows that with equality if equality holds in (4. Assume that (Xt)t~O is minimal. Set where T is the hitting time of aD.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 :::. For continuous-time chains there is a result analogous to Theorem 4. If the linear equations have a finite non-negative solution on J.3) may involve subtraction of infinities. If not. Theorem 4.2. We have to state it slightly differently because when cP takes infinite values the equations (4. is the { -QcP = C cP=1 in D in aD. then cPj = 00 for some j E J.2 Potential theory 141 It is illuminating to think of the calculation we have just done in terms of martingales. and that (Ci : i E D) and (Ii: i E aD) are non-negative.2).Mn with equality if equality holds in (4.

Suppose that (Ci : i E I) is bounded.3) has at most one bounded solution. n n<N By Theorem 4. We have lE ( ) Sn+l I Yn c(Yn so. D It is natural in some economic applications to apply to future costs a discount factor a E (0. Potentials with discounted costs may also be calculated by linear equations.3) has no finite non-negative solution. Further theory If ¢i = 00 for some i. (4. and by IT the jump matrix. and since N is finite whenever T is finite.4) which equations have at most one bounded solution if IPi(N < 00) = 1 for all i.5. . if IPi(T < 00) == 1 for all i.3). Proof. ¢i = lEi(L c(Y ) + !(YN)lN<oo). 00 ). by Fubini's theorem = J") = __ = Cj { 0 Cj / qj if Cj >0 if Cj = 0.. then (4. Theorem 4.4) are exactly the finite solutions of (4. .82 . corresponding to an interest rate. Denote by (Yn)n>O and 8 1 . this proves the result. Since the finite solutions of (4. Set ¢i = lEi then ¢ n==O L anc(Xn ) 00 = (¢i :i E I) is the unique bounded solution to ¢ = aP¢+c.2. 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. the jump chain and holding times of (Xt)t~O.3. indeed the discounting actually makes the analysis easier. ¢ is therefore the minimal non-negative solution to ¢ { ¢ = IT¢ + c == f in D in aD.2. 1) or rate A E (0. then (4. Moreover.

Theorem 4. We have a similar looking result for continuous time.¢ so = c + aP1/J.2 Potential theory Proof. then 00 143 I<Pi I :::.tc(Xt)dt. aM.6. Assume that (Ci : i E I) is bounded. suppose that 1/J is bounded and also that 1/J Set M = sUPi l1/Ji . = aP(1/J - ¢) I'l/Ji - <Pi I :::. C for all i.2. On the other hand. then M < 00.5) .¢il.. But 1/J . CLan = n==O C/(l. which forces M = 0 and 1/J = ¢. ¢ = so c+aP¢.a) so ¢ is bounded. which however lies a little deeper. D Hence M ::. a LPijl'l/Jj jEI <pjl :::. Set (Xt)t~O is non-explosive. because it really corresponds to a version of the discrete-time result where the discount factor may depend on the current state. aM. = (¢i : i E I) is the unique bounded solution to (A . Suppose that <Pi = lEi then ¢ 1 00 e->.Q)¢ = c. (4. Suppose that ICil ::.4. 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.

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

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. Indeed. with G= 1 00 P(t)dt.3). j E I) is the Green matrix 00 Similarly. once we know the Green matrix. 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. Thus. The Green matrix is also called the fundamental solution of the linear equations (4. we have explicit expressions for all potentials of the Markov chain.4. and without boundary. These quantities have already appeared in our discussions of transience and recurrence in Sections 1. The jth column (9ij : i E I) is itself a potential.1) and (4. in continuous time ¢ = Gc. in discrete time . We have 9ij = lEi L n==O 00 lXn=j in discrete time.5 and 2. and in continuous time Thus 9ij is the expected total time in j starting from i.2 Potential theory 145 Let us consider potentials with non-negative costs c.

We call (R Q: E (0. = 1 00 e->. Further theory where is the probability of hitting j from i. Here are two examples.146 4.\ E (0. 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>.1)) and (R>. harmonic in D.00)) the resolvent of the Markov chain.. Any bounded function (¢i : i E I) for which ¢ = P¢ in D is called harmonic in D.. Indeed. and the boundary aD.t P(t)dt. : . and bility for j. 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.. Unlike the Green matrix the resolvent is always finite. with boundary aD. .

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

(q/p)-i) for i = 0. . To obtain a general harmonic function we must match the values cPo and satisfy cPo = (cPl + cP-l)/2. . . -2. . . . for i = -1.. f+ ~ 0 and where hi = h~i and +_ { ~ hi 1 + ~ (1 . non-negative provided A' + B' ~ O. . but the generators of C still correspond to the two possibilities for the long-time behaviour of the chain. It follows that all non-negative harmonic functions have the form where f-. is that the set of non-negative harmonic functions may be used to identify a .. 2 . 2.1.. . .2 1 . ...q.148 Example 4. which is fully developed i~ other works. For we have The suggestion of this example. .2.2.2. .(q/p)i) 1( ") for i = 0. we can show that (Xn)n~O is equally likely to end up drifting to the left or to the right. .. the third equation cPi = A' + B' (1 .q.the possible places for the chain to end up. 2.2. . except that at o it jumps to -lor 1 with probability 1/2. . at speed p . We choose p > q so that the walk is transient. In this example there is no boundary. 1. starting from 0... -1. In fact. . . This forces A = A' and B + B' = O. Let us consider the problem of determining for (Xn)n~O the set C of all non-negative harmonic functions cP. In the preceding example the generators of C were in one-to-one correspondence with the points of the boundary . cPi = qcPi+l + PcPi-l The first equation has general solution for i = 1. Similarly. cPi = A + B(l .(q/p)-t for i = -1.(q/p)i) which is non-negative provided A has general solution for i = 0. We must have cPi = PcPi+l + qcPi-l cPo = ~cPl + ~cP-l. 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 .8 4. ~ +B O..

but more generally corresponds to the varieties of possible limiting behaviour for X n as n ~ 00.6) { h8 = 1 in aD.8. with boundary values ¢i = Ii for i E aD.2. Hence every bounded harmonic function is determined by its boundary values and.3 when the situation is more like Example 4. 1984). L jE8D where . indeed <P = !i hi .2. Conversely. See.3 we have h8 = Ph 8 in D (4.3.2. Then by the methods of Section 1. we showed more generally that this condition implies that ¢ = P¢ + c in D { ¢= f in aD has at most one bounded solution.2.2 Potential theory 149 generalized notion of boundary for Markov chains. Hence if (4. Note that hf = 1 for all i always gives a possible solution. by monotone convergence <Pi = lEi (J(XT )) = L jE8D hJI»i(XT=j). Indeed. (4. Markov Chains by D. which sometimes just consists of points in the state-space.7) is the minimal solution. for example. Amsterdam. Let ¢ be a bounded non-negative function.6) has a unique bounded solution. any bounded solution is given by (4. and since (4.7. if Pi (T < 00) = 1 for all i. We cannot begin to give the general theory corresponding to Example 4. but we can draw some general conclusions from Theorem 4. as we showed in Theorem 4. then. Set h? = JP>i(T < 00) where T is the hitting time of aD. Suppose we have a Markov chain (Xn)n~O with absorbing boundary aD.4. Suppose from now on that JP>i(T < 00) = 1 for all i.7). harmonic in D. Revuz (North-Holland. Then.6) has a unique bounded solution then hf = JP>i(T < 00) = 1 for all i.

=0 in aD also have a unique bounded solution.h.8 that 4.2.2. Consider now a new partition linear equations (Xn)n~O D u aD. indeed. Show that (Xn)n~o is a Markov chain and determine its transition matrix. Show that the Markov chain with transition matrix P is certain to hit aD. for all i E I.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). where T is the hitting time of aD and a is a new state. Show that the 'l/J = P'l/J + c in 15_ { 1f. This shows that a general potential may always be considered as a potential with boundary value zero or. Further theory Just as in Example 4.2.3 Let (Ci : i E I) be a non-negative function. Set ifn if n ~ T > T.7. the hitting probabilities for boundary states form a set of extremal generators for the set of all bounded non-negative harmonic functions.150 4.2. Exercises 4. where D~ D.2. Partition I as D U aD and suppose that the linear equations ¢ = P¢ +c in D { ¢=0 in aD have a unique bounded solution. and that 11/" 0/'1.2 Prove the fact claimed in Example 4. without boundary at all. . Can you find a similar reduction for continuous-time chains? 4. . - < 0/'1. 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.

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

that the network is connected. The new problem is equivalent to the old.4. and that aD is non-empty.152 4.10) where T is the hitting time of aD. and the symmetry of aij corresponds to the detailed balance equations.9) where Ci = 9i/7ri. and replace the condition ~k = 9k by ¢i = O. This is enough to ensure uniqueness of potentials. we shall assume that I is finite. We know that these equations may fail to have a unique solution. Further theory We shall assume that the total conductivity at each node is finite: ai = Laij < 00. j#i Then ai = 7riqi = -7riqii. by Theorem 4. pick one node k. However. In fact. (4. Then. indicating the interesting possibility that there may be more than one equilibrium potential. because ct and f have the same physical dimensions. but now aD is non-empty. the case where aD is empty may be dealt with as follows: we must have or there is no possibility of equilibrium. the equilibrium potential is given by ¢i = Ei (iT c(Xt)dt + f(XT )) L9i=O iEI (4. set aD = {k}. It is natural that c appears here and not 9. to keep matters simple here.2. The capacities 7ri are the components of an invariant measure. A 1 2 2 1 B 2 2 1 c D E F . 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.

cPe) 2(cPe . In fact.3. Consider a finite network with external connections at two nodes A and B. (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.2. F}. but the same jump chain and hence the same hitting probabilities. The conductivities are shown on the diagram. (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. cPB = 0. Let us set cPA = 1 and cPF = O. flows and charges in terms of the associated Markov chain. is given by .4. and the associated Markov chain (Xt)t~o. Here is a general result expressing equilibrium potentials.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. This will result in some flow from A to F. Theorem 4.cPe. ~BE = O. ~Be = 1/2.no scaling was necessary. (c) The charge X associated with ~. according to (4. we were lucky . cPE = 1.3 Electrical networks Example 4.3. Let us arbitrarily assign to each node a capacity 1. Note that the node capacities do not affect the problem we considered.cPB and cPD = 1. by Ohm's law.cPF) + 2(cPe .cPE) + 2(cPB . = 1/2 and cPe = 1/4.cPB) Hence. since the total current leaving Band C must vanish (cPB . and the associated flow is given by ~AB = 1/2. Then there is an associated Markov chain and. Then.10). subject to XB = 0. Different node capacities result in different Markov chains. ~eF = 1/2. the equilibrium potential is given by cPi = Ei (lxT=A) = JP>i(XT = A) where T is the hitting time of {A. = O. which we can scale to get a unit flow.cPA) + (cPB .

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

Theorem 4. i.j EI iEI so E(¢ + c) = E(¢) + E(c) ~ E(¢) with equality only if c = o. by the network. = (¢i : i E I) and any flow ~ = (~ij : i.j EI (Ei .3.¢j)rij = 2 L iEI ¢i'Yi. Then L i. We have ~i = 0 for i E D. We can write any potential in the minimization problem in the form ¢ + c.j E I) the equilibrium potential and flow. The equilibrium potential and flow may be determined as follows.jEI (a) Denote by ¢ = (¢i : i E I) and by ~ = (~ij : i. (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. as heat. When ¢ and by Ohm's law we have E(¢) = ~ 155 are related l L (¢i i.Ej)rij = 2 LEi'Yi = 0 i. Moreover.3.4. where c = (ci : i E I) with Ci = 0 for i E aD.3 Electrical networks The 1/2 means that each wire is counted once. For any potential ¢ we have I (~ ) ~i = 9i for i E D.¢j)aij = L (Ei . j E I) with current sources ri for i E D and boundary potential zero is the unique solution to minimize subject to Proof.jEI ¢j)rij = I(r) and E( ¢) is found physically to give the rate of dissipation of energy.Ej)(¢i . = 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.j E I) L (¢i . . This characteristic of energy minimization can indeed replace Ohm's law as the fundamental physical principle.

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

o off J Proof. for i E J E (¢ ) ¢i = Ii for i E J.J { Moreover.3. (4. Z:=aij<Pj = z:=aijfj + z:=z:=aik<p{fj = z:=aijfjo JEI jEJ k~JjEJ jEJ In particular. There is a unique effective conductivity a given by 157 aij where for each j E J.4. Given I = (Ii: i E J).3 Electrical networks Theorem 4. and also by the Thompson variational principle inf Oi==gi on J1(8) = "Yi== inf {J gi on I(~). by Corollary 4. ¢~ = 8ij for i E J. and. taking I == 1 we obtain Laij JEI = Laijo jEJ . 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. q) = aij + L aik<P{ k~J = (¢~ : i E I) is the potential defined by = 0 ~kEI(<p1 .3.11) a is characterized by the Dirichlet variational principle <Pi==fi on J E(/) = inf E(¢). ¢ solves minimize subject to We have.<p{)ai~ for i tf.4. J for i E J.5.

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

for example in tying up the nonequilibrium behaviour of Markov chains and electrical networks.4.4 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. Mathematical Association of America. and is also called the Wiener process. 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. For an entertaining and illuminating account of the subject. A discrete approximation to Euclidean space ]Rd is provided by where c is a large positive number.4 Brownian motion where 159 ¢{ = JP>k(XT = j) and T denotes the hitting time of J. 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. Snell (earus Mathematical Monographs 22. Doyle and J. The mathematical object now called Brownian motion was actually discovered by Wiener. Also. There is much more that one can say. 1984). this shows that so (Xt)t~O is the Markov chain on J associated with the effective conductivitya. you should see Random Walks and Electrical Networks by P.11). it makes it reasonable to . It is named after a botanist who observed such a motion when looking at pollen grains under a microscope. This provides an elementary way of thinking about Brownian motion. methods coming from one theory one provide insights into the other. G.4. L.4. The simple symmetric random walk (Xn)n~O on Zd is a Markov chain which is by now quite familiar. Moreover. See Example 1.

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

N so that s. which is a measure on the set of continuous paths.Br = ~ (B s = ~(Bs - + Zt. Next we shall show that (Bt : tED) extends continuously to t E [0.Bt .1 set r = t . 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 < . the law of Brownian motion.4.4 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.1 • For t E DN\D N .. However. We need the following result. a Brownian motion indexed by D N .4. and finally check that the extension is a Brownian motion. Then (B t : tED) is a Brownian motion indexed by D.00). it is not obvious that there is any such process. For N = 0. is uniquely determined.Zt.B r ) . Theorem 4. B t = ~(Br We obtain two new increments: + B s) + Zt· Br ) Bt .2 (Wiener's theorem). Proof. and denote by D the union of these sets. t E D N . To put it properly. 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 (Bt : tEDN ) indexed by D N .N in [0. for each tED.2.N S = t + 2.. . . Brownian motion exists..1 and define Zt = 2-(N+l)/2yt. B s . Suppose we have constructed (Bt : t E D N . < t n in D N the increments are independent Gaussian random variables of mean 0 and variance We suppose given.2..1. an independent Gaussian random variable yt of mean 0 and variance 1.1 ). denote by D N the set of integer multiples of 2.00).

I ) n [0.1 IP(2(N+l)/2 M N > 'x)d'x ~ 2N . we obtain a Brownian motion (B t : tED). as required.1E(IY1IP) .I .Xp.N .B r and yt. 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.1 1 00 p. For each N denote by (BiN))t~O the continuous process obtained by linear interpolation from (Bt : t E D N ). they are certainly independent of increments over intervals disjoint from (r. set zi N ) = BiN) . Hence. Set MN = sup IziN)I.B t )] = = + 2-(N+I) = 2. N For t E D N . tE[O.B r )2] 4.I] Then. ~2-(N-I) . are therefore independent and of the required variance. For t E DN\DN . being constructed from B s .Xp-1IP(IY11 > 'x)d'x = 2N .I we have zi ) = O.l] There are 2 N - I points in (DN\D N . by our construction we have with yt Gaussian of mean 0 and variance 1. s). Also. we obtain MN = sup 2-(N+I)/2Iytl. by induction. tE(DN \DN -l)n[o. being Gaussian.BiN-I). since (ZiN))t~O interpolates linearly between its values on D N . Further theory = E[(B s - - B t )2] E[(Bt Br)(B s . Moreover.1]. ~2-(N-I) The two new increments.2-(N+I) = o. Hence (Bt : tEDN) is a Brownian motion indexed by D N.162 We compute E[(Bt .

1]. using continuity of (Bt)t. we now want to show how it appears as a universal scaling limit of random walks..?:o have the required joint distribution. < t m . (B t : tED) has a continuous extension (Bt)t.Xi~)] -tE[f(aBh as c ~ 00. .4 Brownian motion and hence. for all m...4. and by a similar argument uniformly for t in any bounded interval. E(IY1IP)1/p ~ 00 L 00 (2(p-2)/2 p )-N < 00.3. for any p > 2 00 00 163 ELMn= LE(MN ) N=O N=O : :..?:o is a Brownian motion. Set to = to = o. .t.t~ - t~-l· ~ 00 Hence.t(f. Theorem 4.aBtm )] where (Bt). Now BiN) eventually equals B t for any tED and the uniform limit of continuous functions is continuous. L 00 E(MKr)l/P :::. But given 0 < t 1 < . Then. Therefore. for all bounded continuous functions f : jRm ~ jR and all 0 ~ tl < .· . N=O It follows that.. .··· . < t n we can find sequences (t''k)mEN in D such that 0 < t 1 < .. Let (Xn)n.c -1/2Xct where the value of X ct when ct is not an integer is found by linear interpolation..?:o. very/much as the Gaussian distribution does for sums of independent random variables.?:O be a discrete-time real-valued random walk with steps of mean 0 and variance 0'2 E (0. For c > 0 consider the rescaled process X t(c) .?:o we can let m distribution for the increments to obtain the desired D Having shown that Brownian motion exists.00)..4. as N N=O BiN) = Bi O + zi 1 ) ) + . + zi N) converges uniformly in t E [0. as claimed.. It remains to show that the increments of (Bt)t. We know that the increments are Gaussian of mean 0 and variance tr . we have - E[f(Xi~). · · · . < t~ for all m and tf: ~ tk for all k. with probability 1.

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

and one can with effort prove stronger forms of convergence. Here are two examples. then for all bounded continuous functions as c ~ 00 we have f : (]Rd)m ~ ]R. (Bic)k. The sense in which we have shown that (Xie))t~o converges to Brownian motion is very weak. it is useful to know that on large scales all one needs to calculate is the variance (or covariance matrix). then V = ~I. once the difference in variance is taken out. given a random walk with a complicated step distribution. with no essential change in the proof. what we have proved is strong enough to ensure that (Xie))t~o does not converge. in which case V = I. which is also easy to check from the definition. 165 There is a multidimensional version of the central limit theorem which leads to a multidimensional version of Theorem 4. By analogy with continuous-time Markov chains we look for a transition semigroup (Pt)t~O . in the same sense.4. Thus Brownian motion appears as a fixed point of the scaling transformation. All other aspects of the step distribution become irrelevant as c ~ 00. which attracts all other finite variance symmetric random walks as c ~ 00.3. but rather about processes with independent increments. the result shows that in the scaling limit they behave asymptotically the same.4. 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 .~o defined by B t(e) - C -1/2Bet is a Brownian motion. The scaling used in Theorem 4.4. Although these are different random walks. we might take the components of (Xn)n~O to be three independent simple symmetric random walks in Z. For any c > 0 the proces.4 Brownian motion motion in ]Rd. However. The discussion to this point has not really been about the Markov property. to anything else. Thus if (Xn)n~O is a random walk in ]Rd with steps of mean 0 and covariance matrix and if V is finite. Alternatively.3 suggests the following scaling invariance property of Brownian motion (Bt)t>o. More generally. As a limit of Markov chains it is natural to look in Brownian motion for the structure of a Markov process.BO)t~o is a Brownian motion (starting from 0). We might take (Xn)n~O to be the simple symmetric random walk in Z3.

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

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

that in Z and Z2 the simple symmetric random walk is recurrent. f(x) for all z E Zd. moreover 1= [ J[O.10. 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 1.4.168 4. then JP>({t ~ 0: B t (ii) If d = O} is unbounded) = 1. then JP>(Bt = 0 for some t but. Theorem 4.5. The invariant measure remains Lebesgue measure but this now has total mass 1. Let (Bt)t~o be a Brownian motion in (i) If d = 1. This has infinite total mass so in dimensions one and two Brownian motion is only null recurrent. If we accept this latter notion of recurrence the correspondence extends to dimension two.6. as t ~ (iii) If d = 3.2. ! .l]d f(z)dz JI»x (~ it f(Bs)ds -t 1 ast -t 00) = 1. The generator ~ of Brownian motion in jRd reappears as it should in the following martingale characterization of Brownian motion. so that jRd and let f(x Then for all x E jRd. + z) = 00.3 and 1. then for any N < 00 00 00) JP>(I B t I~ = 1. = 2. So the projected process is positive recurrent and we can expect convergence to equilibrium and ergodic results corresponding to Theorems 1. 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. whereas in Z3 it is transient.4. Further theory jRd. So that we can state some results for the positive recurrent case.8. The results correspond exactly in dimensions one and three. The invariant measure for Brownian motion is Lebesgue measure dx. Theorem 4. Let (Bt)t>o be a Brownian motion in f : jRd ~ jR be a continuous periodic function. for any € > 0) = 0 >0 JP>( {t ~ 0 : IBt I < €} is unbounded) = 1. It is natural to compare this result with the facts proved in Section 1.4. as t ~ we have -t lEx[f(Bt )] and.

Set <jJ(x) = JEx [I T c(Bt)dt + f(XT )IT<oo] where T is the hitting time of aD. then (4. (ii) for all bounded functions f which are twice differentiable with bounded second derivative.1. as we remarked in Section 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 ~ 0.4 Brownian motion 169 Theorem 4. Let (Xt)t~O be a continuous ]Rd-valued random process. then (4.4.2. Write (Ft )t2::o for the filtration of (Xt)t~o. Let c : D ~ [0.4.6. corresponding very closely to Theorem 4.00) be continuous. .12) has no finite solution.7.4. Then (i) ¢ if finite belongs to C 2 (D) n C(D) and satisfies in D in aD. t and A E F 8 • We end with a result on the potentials associated with Brownian motion. In case you are unsure.3 for Markov chains. Then the following are equivalent: (i) (Xt )t2::o is a Brownian motion. 00) be measurable and let f : aD ~ [0.2. a continuous time process (Mt )t2::o is a martingale if it is adapted to the given filtration (Ft )t2::o. (iii) if ¢(x) = 00 for some x. (4. These potentials are identical to those appearing in Newton's theory of gravity. (iv) if JPx(T < 00) = 1 for all x. Theorem 4. Let D be an open set in ]Rd with smooth boundary aD. 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).2. if JEIMtl < 00 for all t. and whenever s :::. then 'l/J ~ ¢.

4 (birthand-death chain) and Exercise 2.1. In a real-world problem involving random processes you should always look for Markov chains. References to books for further reading are given in each section.for hitting probabilities and expected rewards. Some have already appeared to illustrate the theory. See Example 1. and for long-run behaviour via invariant distributions. Once a Markov chain is identified. queueing models.5 Applications Applications of Markov chains arise in many different areas. from games of chance to the evolution of populations.1. We are now going to give .5 (virus).6 (octopus). Markov decision processes and Markov chain Monte Carlo.3. They are often easy to spot. there is a qualitative theory which limits the sorts of behaviour that can occur .we know. 5. We have already illustrated some aspects of the theory by simple models with a biological interpretation. There are also good computational methods .5. that every state is either recurrent or transient. In each case our aim is to provide an introduction rather than a systematic account or survey of the field. In this chapter we shall look at five areas of application in detail: biological models. for example. resource management models. such as are often found in biology. Example 1.1 (bacteria).1 Markov chains in biology Randomness is often an appropriate model for systems of high complexity. Exercise 1. from calculating the fair price for a random reward to calculating the probability that an absent-minded professor is caught without an umbrella.

. by a random number of further offspring. who dies and is replaced at time n = 1 by a random number of offspring N. . and every state i 2: 1 is transient. so for i 2: 1. that these offspring also die and are themselves replaced at time n = 2.5. hence i is transient in any case. . The basic branching process model has many applications to problems of population growth.:)kEN. having the same distribution as N. and so on. next. by setting X o = 1 and defining inductively.. Suppose at time n = 0 there is one individual. even in a growing population. The solution to this problem is explained below. and also to the study of chain reactions in chemistry and nuclear fission.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. Under the assumption that each male in a given family had a probability Pk of having k sons. It should be recognised from the start that these models are simplified and somewhat stylized in order to make them mathematically tractable. We can construct the process by taking for each n E N a sequence of independent random variables (N. Nevertheless. + N Xn _ • 1 Then X n gives the size of the population in the nth generation. The case where P(N = 1) = 1 is trivial so we exclude it.1. by providing quantitative understanding of various phenomena they can provide a useful contribution to science.. We deduce that with probability 1 either X n = 0 for some n or X n ~ 00 as n ~ 00. Example 5. } with absorbing state o.. The process (Xn)n~O is a Markov chain on I = {O. each independently. 1. each with the same distribution as N. they wished to determine the probability that after n generations an individual had no male descendents. in the study of population growth.1 Markov chains in biology 171 some more examples where Markov chains have been used to model biological processes. and j does not lead to i. Suppose. i leads to j for some j > i. 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). If P(N = 0) = 0 then P(N 2: 2) > 0.2. 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. epidemics and genetic inheritance. for n 2: 1 X n = Nf + .

Since ¢ is increasing and 0 ~ r. On the other hand q = lim ¢(n+l) (0) n --+. In principle. also so. til t til t til where J-l = E(N).1 = k) = lE(</>(t)xn .1 ) . by induction. we have q = P(Xn = 0 for some n) = lim ¢(n)(o). we find that E(t Xn ) = ¢(n)(t).00 = ¢( q) so also q 2:: r.00 = lim ¢( ¢(n) (0)) n --+. . then ¢(r) = r by continuity. Suppose that in each generation we replace individuals by their offspring one at a time. Hence q = r.1] : ¢(t) = t}. Some quantities are easily deduced: we have E(Xn ) = lim dd lE(t Xn ) = lim dd </>(n)(t) = (lim </>'(t)r = p. so if X n = k then it takes k steps to obtain X n + l . Hence. There is a nice connection between branching processes and random walks. and if ¢'(1) ~ 1 then since either ¢" = 0 or ¢" > 0 everywhere in [0. n--+-oo Now ¢(t) is a convex function with ¢(1) = 1. Let us set r = inf{t E [0. hence q ~ r. 0 ¢. ¢(n)(o) ~ r for all n. 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. we have ¢(O) ~ r and.n. . If ¢'(1) > 1 then we must have q < 1. though ¢(n) may be a rather complicated function. 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 . since 0 is absorbing.172 defined for 0 ~ 5. this gives the entire distribution of X n . by induction. Applications t ~ 1.1) we must have q = 1. where ¢(n) is the n-fold composition ¢ 0 . .

The decline of an epidemic can also be explained by the eventual decline in the number of individuals susceptible to infection. whether infected or not. in agreement with the generating function approach. after which they either die or recover. 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. 1989). individuals themselves become infective and remain so for an exponential random time. Example 5. This idealized model is obviously unrealistic. For an idealized disease we might suppose th~t on contact with an infective. In an idealized population we might suppose that all pairs of individuals make contact randomly and independently at a common rate. these naive explanations leave unanswered many quantitative questions that are important in predicting the behaviour of epidemics. and since (Ym)m~O jumps down by at most 1 each time. However.4.2 (Epidemics) Many infectious diseases persist at a low intensity in a population for long periods.1. The classic work in this area is The Theory of Branching Processes by T. New York. E. Moreover we can use the strong Markov property and a variation of the argument of Example 1.3 to see that. Occasionally a large number of cases arise together and form an epidemic. for n 2: 0 Observe that X n = YTn for all n. Define stopping times To = 0 and. as infectives either die or recover and are then resistant to further infection. .1 Markov chains in biology 173 The population size then performs a random walk (Ym)m~O with step distribution N .1. so we deduce that ql is the smallest non-negative root of the equation q = ¢(q). Harris (Dover. but it is the simplest mathematical model to incorporate the basic features of an epidemic.5. 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. (Xn)n>O hits 0 if and only if (Ym)m>O hits O.

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

) This sort of study was motivated in the first place by a desire to find mathematical models of natural selection. More recently. get aa aA Aa AA AA. They represent an attempt to understand quantitatively the consequences of randomness in genetic inheritance. many more questions of a statistical nature have arisen.. Example 5. AA aA AA AA aa. 1. We suppose that each individual has two genes. some of type A and some of type a. Ewens (Springer. then each gene in generation n + 1 is A with probability 7/10 and a with probability 3/10. for example. for which we refer the interested reader to Mathematical Population Genetics by W. 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.m} with transition probabilities In each generation there are m alleles. We might.3 (Wright-Fisher model) This is the discrete-time Markov chain on {O. then (Xn)n~O is a Markov chain with the above transition probabilities. The randomness here might derive from the choice of reproducing individual. We emphasise that we present only the very simplest examples in a rich theory. Then if the generation n is. or the choice of parents' alleles retained by their offspring.. This can be viewed as a model of inheritance for a particular gene with two alleles A and a. 1979). Let us take m to be even with m = 2k. the varieties of genetic material that can be present at such a locus are known as alleles. We have to allow that both parents may be the same. Aa and aa.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 types of alleles in generation n+ 1 are found by choosing randomly (with replacement) from the types in generation n. . The final two examples come from population genetics. (The word gene refers to a particular chromosomal locus. in sexual reproduction the choice of partner. all independent. for example. . . J. the proportion of 'infectives' changes very slowly. and thereby to discriminate between various competing accounts of the process of evolution. so the possibilities are AA. If X n denotes the number of alleles of type A in generation n. and in particular make no requirement that parents be of opposite sexes.5. Berlin.1. as scientists have gained access to the genetic material itself.

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

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

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

so that the offspring has genotype AA. then n-l k==O lE(t X n) = ¢(n) ( t) II 1/J (¢ (k) ( t) ) . This is defined.2 A species of plant comes in three genotypes AA. Suppose we begin with just one type A.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 should you do? How many crosses would your procedure require. Aa and aa.1. The basic mathematical model for. and where P(N = 0) = 1 . What is the probability that eventually the whole population is of type A? 5.i)). 1/2 and 1/4. The main . in the notation of Example 5.1. on arrival each customer must wait until a server is free.2 Queues and queueing networks 179 with one individual at a time.2 Queues and queueing networks Queues form in many circumstances and it is important to be able to predict their behaviour. whereas the Wright-Fisher model changes all m at once. find the long-run proportion of time during which the population is zero. the probability that some type A is chosen to die is now i/(i + 2(m . as compared to a type A individual. it is assumed that the times between arrivals are independent random variables of the same distribution. A single plant of genotype Aa is crossed with itself. that is. AA or aa? Suppose it is desired to breed an AA plant.1. 5. if X o = 1.queues runs as follows: there is a succession of customers wanting service. and the times taken to serve customers are also independent random variables. Exercises 5.5..P and P(N = 1) = p. 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 ).1. How long on average does it take to achieve a pure strain. on average? 5. Thus in a population of size m containing i type A individuals. Show that.1. by n X n = N 1 + . Aa or aa with probabilities 1/4. of some other distribution. In the case where the number of immigrants in each generation is Poisson of parameter A.. giving priority to earlier arrivals.1 Consider a branching process with immigration.

by exploiting the memorylessness of the Poisson process of arrivals. T . suppose at time 0 there are i customers in the queue. We shall also look at the random times that customers spend waiting and the length of time that servers are continuously busy. This is always taken to include both those being served and those waiting to be served. and XJl = i .1 and 3. If the inter-arrival times only are exponential. Some further variations on queues of this type have already appeared in Exercises 3. conditional on J 1 = A.2. XJl = i + 1 if T > A. conditional on XJl = j.6. Similarly. Applications quantity of interest is the random process (Xt)t~O recording the number of customers in the queue at time t. then A-J1 is exponential of parameter A and independent of J1: the time already spent waiting for an arrival is forgotten.7.180 5. We shall find conditions for the stability of the queue.1. and the service times are exponential of parameter J-l.1 (M/M/I queue) This is the simplest queue of all. (Xt)t~O turns out to be a continuous-time Markov chain. This is the context of our first six examples. The code means: memoryless inter-arrival times/memoryless service times/one server. an analysis is still possible. which events are independent of J 1 .2.J 1 is exponential of parameter JL and independent of J 1 .4. The case where i = 0 is simpler as there is no serving going on.3. In cases where inter-arrival times and service times have exponential distributions. 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.I if T < A. and a certain discrete-time Markov chain embedded in the queue. where > O.7. Hence. so we can answer many questions about the queue. Then the first jump time J 1 is A 1\ T. which is exponential of parameter A + JL. and in the stable case find means to compute the equilibrium distribution of queue length. 3. (Xt)t~O . 3. Let us suppose that the interarrival times are exponential of parameter A. This is explained in the final two examples. Example 5. with probabilities J-l/(A+J-l) and A/(A+J-l) respectively. If we condition on J 1 = 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. Denote by T the time taken to serve the first customer and by A the time of the next arrival.

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

3 for any T > 0.. The detailed balance equations hold and (Xt)t~O is non-explosive. and each departure to a decrease. the queue size (Xt)t. Let us assume that the arrival rate is A and the service rate by each server is J-l. .~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. (Xt)O~t~T . We emphasise that the queue size includes those customers who are currently being served. The number of arrivals by time t is a Poisson process of rate A. Each arrival corresponds to an increase in X t .S = s + 1. the first service is completed at the minimum of i independent exponential times of parameter J-l.7. It is transient in the case A > SJ-l and otherwise recurrent.2..1. By an argument similar to the preceding example. There are two cases when the invariant distribution has a particularly nice form: when S = 1 we are back to Example 5.2. Then if i servers are occupied.2 (M/M/s queue) This is a variation on the last example where there is one queue but there are S servers. Applications Example 5. The first service time is therefore exponential of parameter iJ-l. ... Let us suppose that A < SJ-l. so by Theorem 3..182 5./J-L so that and the invariant distribution is Poisson of parameter AI J-l. S + 2. so there is an invariant distribution.1 and the invariant distribution is geometric of parameter AI J-l: When S = 00 we normalize 1r by taking 1ro = e-). To find an invariant measure we look at the detailed balance equations Hence for i for i = 0. and consider the queue in equilibrium. The queue is therefore positive recurrent when A < SJ-l. The total service rate increases to a maximum SJ-l when all servers are working. ..

3 (Telephone exchange) A variation on the M/M/s queue is to turn away customers who cannot be served immediately. Compare this example with the bus maintenance problem in Exercise 3.1. 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.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. Instead.5. additional calls are lost. This is slightly counter-intuitive.2. is just as regular as the process of arrivals. and hence the long-run proportion of calls that are lost. as in the last example. it turns out that the process of departures.7. and then by server . This might serve as a simple model for a telephone exchange. in equilibrium. the long-run proportion of time that the exchange is full. in equilibrium. as one might imagine that the departure process runs in fits and starts depending on the number of servers working. It follows that. Example 5. the number of departures by time t is also a Poisson process of rate A. is given by This is known as Erlang's formula.2. This time we get a truncated Poisson distribution By the ergodic theorem.2 Queues and queueing networks 183 and (XT-t)O~t~T have the same law. Example 5. where the maximum number of calls that can be connected at once is s: when the exchange is full.

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

z).z) + A(z) .z) 1. rno = 1/(1 .z) -(l-p)A(z) { (A' (z) -1) (1.2.2(1-p)2 · Hence E(Xn ) = G'(l-) = p + A"(l. then substitute for G(z) to obtain G' (z) = (l-p )A'(z) (1.z) .z)A(z)/(A(z) .1. G(z) we must therefore have 1t"o = 1 . (A(z) .A(z)}.p) = (1 - p)(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 .p) = p + A2£"(0+ )/2(1 .A).A'(l-) = 1. as z i 1 --+ (A(z) .z)G(z) (5.)/2(1 .p. Since A is given explicitly in terms of the service-time distribution. so (A(z) . as we found in Example 5.2 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).p.2).p) = p + A2E(T 2)/2(1 - p). the full equilibrium distribution.p) = A/(J-l .3) By I'Hopital's rule.z)/(l. .3) (A(z) .5.z} . in principle. To obtain the mean queue length we differentiate (5. Since G(l) and = 1 = A(l). In the case of the M/M/1 queue p = AIJ-l.l)G(z) = (1 - p){ A'(z)(l . The fact that generating functions work well here is due to the additive structure of (5. we can now obtain.z)G'(z) = (A'(z) .

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

The analysis here is simpler than in the last example because customers do not interact./(n .2 Queues and queueing networks 191 Although this is an implicit relation for B(w). AI. so all customers in fact receive service at once. . then. Example 5.6.. say.pt)k /k! L('\(1 . . Then P(Xt = k) = L P(Xt = k I Nt = n)P(Nt = n) n==O 00 = = k e->. There are infinitely many servers. service is incomplete at time t with probability 1 1 p=JP>(T>s)ds=tot it it 0 (l-F(s))ds. with a common distribution function F(t) = lP(T ~ t). conditional on Nt = n.\ it (1 . What.AB'(O+)) = Jl(l + AE(S)) so the mean length of the busy period is given by E(S) = Jl/(l .An. .F(s))ds.p). we can obtain moments by differentiation: E(S) = -B'(O+) = -£'(0+)(1 ..8 (M/G/oo queue) Arrivals at this queue form a Poisson process.An are independent and uniformly distributed on the interval [0. t]. We condition on Nt = n and label the times of the n arrivals randomly by AI. Suppose there are no customers at time O.p)tt. Service times are independent. . For each of these customers. by Theorem 2. of rate A. .4.5.k)! n==k 00 e-APt(Apt)k /k! So we have shown that X t is Poisson of parameter .. X t is binomial of parameters nand p. Hence.t(>. 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.2..

then the determination of the best action will rest on the calculation of probabilities. Hence (Xn)n~O has a unique invariant distribution 7r which determines the long-run proportion of time in each state. for some threshold m. excepting some peculiar demand structures. ••• are independent and identically distributed. The statistical problem of estimating transition rates for Markov chains has already been discussed in Section 1. Here we present some examples involving the management of a resource: either the stock in a warehouse. c. For further reading see Reversibility and Stochastic Networks by F. 1978). Applications Hence if E(T) < 00. 1.10. 5. is irreducible on {O. . P. or the reserves of an insurance company. then (Xn)n~O is a Markov chain.xE(T).7.3 Markov chains in resource management Management decisions are always subject to risk because of the uncertainty of future events. perhaps on the basis of past experience. the queue size has a limiting distribution.1 on the maintenance of unreliable equipment. See also Exercise 3.. We denote the residual stock at the end of period n by X n . there is a demand for D n units of stock. Example 5. and. Given that X n = i.. often involving a Markov chain.192 Recall that 5. Thus (Xn)n~O satisfies if X n ~ m ifm < X n ~ c. In each time period n.c}. the expected unmet demand in period n + 1 is given by if i ~ m if m < i :s. Kelly (Wiley.1 (Restocking a warehouse) A warehouse has a capacity of c units of stock. The warehouse manager restocks to capacity for the beginning of period n + 1 whenever X n ~ m. If one can quantify that risk. or the water in a reservoir. which is Poisson of parameter .3. D 2 . Let us assume that D 1 . . which is met if possible. . Chichester.

i)+) = LIP((D . Hence (1/6. 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 = 1.2 are given.i)+ 2: k) = LIP(D 2: i + k) = 2.1/4. 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 (1/4.1/4..1.. k=l k=l The transition matrices for m = 0. Suppose that the capacity c = 3.1/4).i Then 00 for i = 0.5.1/4.1. .i .2. u(m) decreases and r(m) increases.1. but once the distribution of the demand is known.1/3).2. We shall discuss in detail a special case where the calculations work out nicely. respectively.1/8. (1/8.1/3.1/6.3 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. so possible threshold values are m = 0.1/2).. Suppose that the profit per unit b = 1. u(2) = 1/8 . u(O) = 1/4. 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. i==O m Now as m increases. 00 lE((D . u(l) = 1/6. and that the demand satisfies P(D ~ i) = 2.

z)A(z)j(A(z) . ••• are independent and identically distributed. If we assume that An. surplus water is lost. 00 In fact.1)+ + A n+l . Hence we know that the longrun behaviour of (Xn)n~O is controlled by its unique invariant distribution 7r. In each time period n. then (Xn)n~O is a Markov chain on {O. When the reservoir is full.7. then is positive recurrent and the invariant distribution 7r satisfies (Xn)n~O L where A(z) 00 7riZi = (1 . For example. if a ~ 1/4 r(2) = 1/2.z)A(z)j(A(z) . 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. ••• .z) i=O = E(zA n ). the equation lIiZi L i=O = (1 . for example a reservoir. Then the infinite capacity model satisfies a recursion similar to the M/G/l queue: X n+1 = (Xn . the long-run proportion of time that the reservoir is empty is simply 7ro. Example 5. An units of resource are available to enter the facility and B n units are drawn off. assuming irreducibility. whose transition probabilities may be deduced from the distributions of An and B n . r(l) = 1/3. When the reservoir is empty.. if E(A n ) < 1. .2 (Reservoir model .. Hence.EA n )(1 .194 and 5.2. no water can be supplied.3. and that our units are chosen to make this constant 1.c}. likewise B I . Applications r(O) = 1/4. . 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. Therefore. 1. We assume that newly available resources cannot be used in the current time period. of finite capacity c. B n and c are integer-valued and that AI. whether or not E(A n ) < 1. by the argument used in Example 5. 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. A 2 .z) . B 2 .discrete time) We are concerned here with a storage facility.

it is to be hoped that. .c} is simply the finite-capacity model. in part. In reality.. 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. In the case where IE(A n) < 1. so II must have infinite total mass. 1. As in the preceding example we can obtain the finite capacity model by observing (Wt)t~O whilst in [0. Note that (Wt)t~O can enter [0. but we shall not pursue this here. The quantities of water 8 1 . Hence in the positive recurrent case where AE(8n ) < 1. 1.. Hence. + lie) < c which is always possible in the transient case... multiply by A(z) . .. The periods when the reservoir is empty correspond to idle periods of the queue. The next example is included. Note that (Xn)n~O can only enter {O. arriving each time are assumed independent and identically distributed. in the long run.. ... the long-run proportion of time that the reservoir is empty is given by IE(Sn)/(l .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. c] only through c. (Xn)n~O observed whilst in {O. In fact.82 . For a reservoir of infinite capacity. because it illustrates a surprising and powerful connection between reflected random walks and the maxima .. 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 .c} through c. and the level c equation is redundant..continuous time) Consider a reservoir model where fresh water arrives at the times of a Poisson process of rate A. +ve ). supply will exceed demand..3 (Reservoir model . we can deduce for the finite-capacity model that the long-run proportion of time in state i is given by vi/(vo +..1. Hence c should be chosen large enough to make ° lIO/(lIo + . € > say. We assume that there is a continuous demand for water of rate 1. this is true in general as the equilibrium equations for the finite-capacity model coincide with those for v up to level c . To see this. for i ~ 1 where ai = P(A n = i). by the strong Markov property. c].5. which is true if E(A n ) > 1. Example 5..3 Markov chains in resource management 195 serves to define a positive invariant measure v for (Xn)n~O. . . Then (Xn)n~O is transient..xIE(Sn)).3.82 . .

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

we know the Laplace transform of the equilibrium queueing-time distribution. Hence ¢(p) so that = c(p) + 2p¢(p) for p < 1/2 for p ~ 1/2.10 and Section 4.2. 5. Also by Example 5. .4. . 2.2 how to calculate in these circumstances the long-run average cost or the expected total cost. Example 5.1] may be chosen.1 A random walker on {O. the expected total cost starting from 1. 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.2p) 00 Thus for c(p) = lip the choice p = 1/4 is optimal..2. this makes it reasonable to pick the same value of p throughout. We have seen in Section 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.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. } jumps one step to the right with probability p and one step to the left with probability q = 1 . where a denotes the initial value of the company's assets. The question arises as to how best to do this to minimize our expected costs. Given the lack of memory in the model. and seek to minimize ¢(p). then the choice p = 1 may be best. ¢(p) = { c(p)/(l . incurring no further costs. Hence The probability of eventual bankruptcy is P(M > a).7.. The expected total cost starting from 2 is 2¢(p) since we must first hit 1.5. If we are only concerned with minimizing costs over the first few time steps. but incurs a cost c(p) = l/p. The general discussion which follows will make rigorous what we claimed was reasonable. In principle. with expected cost 8.p. and so on. The walker on reaching 0 stays there. then i . Any value of p E (0. 1. Starting from i we must first hit i-I. However.4 Markov decision processes 197 queueing-time distribution.

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

5) is actually an equality.4) It is easy to see by induction that Vn (i) ~ Vn +l (i) for all i. for all a E A we have Pij (a) = 0. ci(a) = l/a and a ifj=i+1 1 Pij ( a) = 0 .1. j the functions Ci : A ~ [0. with A = (0.2. Voo(i) :::. so let us assume that Voo(i) ~ B < 00.5) It is a reasonable guess that Voo(i). u(i)) + LPij (u(i))VooU)· jEI (5. We have Vn+l(i) :::. This is not always true. a) + LPij(a)VOOU)}.a if j = i-I { otherwise. letting n ~ 00 and then minimizing over a. jEI (5. being the limit of minimal expected costs over finite time intervals. for all but finitely many j. We make three technical assumptions to ensure this. There is a stationary policy u such that Voo(i) = c(i. We assume that (i) for all i. Lemma 5. i~{ c(i.00) are continuous.6) Proof. with obvious exceptions at i = O. c(i. unless we can show that the inequality (5.a) + LPij(a)VnU) jEI for all a so.00) and Pij : A ~ [0. It is easy to check that the assumptions are valid in Example 5.4. jEI (5.5. A simple case where (i) and (ii) hold is when A is a finite set.1]. is in fact the value function V*(i). so Vn (i) increases to a limit Voo(i). a) + LPij(a)VnU)}. (ii) for all i and all B < 00 the set {a : ci(a) ~ B} is compact. Then Vn+l(i) = !~ {C(i. If Voo(i) = 00 there is nothing to prove. (iii) for each i.4 Define inductively Markov decision processes 199 Vn+l (i) = i~f{ c(i. possibly infinite.a) + LPij(a)Vn(j)} jEJ .4.

3.7) for some un(i) E K.un(i)) + :EPij(un(i))Vn(j) jEJ (5. Then by substitution in the right sides of (5. a) + LPij (a)V* (j) }. jEI (5. Hence Voo(i) ~ V*(i) for all i.Un (Xo. then u* is optimal. Let us suppose inductively that Vn(i) ~ V*(i) for all i. · " . a) + LPij (a)V* (j) } jEI and. For any policy u we have 00 V*(i) for all i. and. in the sense that v u * (i) = Proof. Applications where K is the compact set {a : c( i. a) ~ B} and where J is the finite set {j : Pij ¢. D Theorem 5. We have for all i. the infimum is attained and Vn+l(i) = c(i. Vo(i) = 0 ~ V*(i).a) + :EPij (a)V* (j) jEI for all i. VU(i) = = Ei L n=O c(Xn . by continuity.7).4.4) and (5.8) Certainly. say. on taking the infimum over u V*(i) ~ i~{ c(i.6). O}. (ii) if u * is any stationary policy such that a (i) Vn(i) i V*(i) as n ~ 00 = u * (i) minimizes c(i.200 5.8) we find Vn+ 1 (i) ~ V*(i) and the induction proceeds.Xn )) c(i. on passing to the limit nk ~ 00 in (5. By compactness there is a convergent subsequence u nk (i) ~ u(i). . Hence.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. we obtain (5.

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. Then by Theorem 4.4. for example Vn for n large. We may then hope that.5. (i) We have. even less that this policy would be stationary.Ou(i)) + :EPij(Ou(i))vu(j) jEI so VU(i) ~ VeU(i) for all i. . jEI Theorem 5. We have (i) VeU(i) ~ VU(i) for all i. In practice we may know only an approximation to V*.3 VU(i) = c(i. part (i) gives an explicit way of obtaining the value function V* and. a) + :EPij(a)Vn(j) jEI we get a nearly optimal policy. For it was not clear at the outset that there would be a single policy which was optimal for all i.u*(i)) + LPij(U*(i))Voo(j). Given one stationary policy u we may define another Ou by the requirement that a = (Ou)(i) minimizes c(i. part (ii) identifies an optimal stationary policy. But V*(i) ~ vu* (i) for all i.3 we have vu* (i) ~ Voo(i) for all i. (5.2.a) + :Epij(a)Vu(j).2.9) Proof.3. by Theorem 4. by Theorem 4.4.4 (Policy improvement). (ii) VenU(i) ! V*(i) as n ~ 00 for all i. provided that for all i. Moreover. by choosing a = u(i) to minimize c(i.2.4 Markov decision processes Let u* be any stationary policy for which 201 Voo(i) ~ c(i.u(i)) + LPij(u(i))VU(j) jEI ~ c(i. jEI We know such a policy exists by Lemma 5.2. so Voo(i) = V*(i) = and we are done. An alternative means of constructing nearly optimal policies is sometimes provided by the method of policy improvement. once this is known.

Un(Xo...10) Fix N ~ 0 and consider for n = 0. the only states j with positive cost c(j. u(j)) > 0. .1). .a) + LPii(a)Vu(j) jEI for all i and a. which is only relevant to the transient case.202 5.Xn )).u*(Xn))) D asN~oo. Applications (ii) We note from part (i) that VOU(i) :::. It follows that EU· (Mn +1) ~ EU· (Mn ) for all n.U*(Xk)) k=O ~Mn where we used (5.. (5. U .10) with u replaced by (IN-n-l u . Hence if we assume (5.N the process n-l M n = VON-nU(Xn) + LC(Xk. This is because we will have V* (i) = 00 unless for some stationary policy u.1. u*(Xn )) * jEI n-l + LC(Xk. . n=O Define the discounted value function V. then V 9N U(i) = IEy· (Mo) ~ IEY· (MN ) =Ef(VU(XN)) +Eu* ~V*(i) (~c(Xn. 1. i = X n and a = u*(Xn ).9). are transient. We have been discussing the minimization of expected total cost. We have EU (Mn+ 1 I :Fn ) = LPXni (U*(Xn))VoN-n-lu(j) + c(Xn . c(i.(i) = infV:(i). 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. 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. accessible from i. .

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

Then (}au = U so (iv) will show that u is optimal and V = VC:. We finish with a discussion of long-run average costs. although this is sometimes valid. u(j)).: LC(Xk. a)1 ~ B < 00 for all i and a. which is more general. JEI But. This suggests that one approach to minimizing long-run costs might be to minimize L 7rjcU.2.4.U(Xk)) ~ L k=O 7r j c U. (ii) and (iii) follow directly from Theorems 5. by Theorem 4.u(j)) JEI as n ~ 00.4. of We assume that Ic(i. So for any stationary policy u we have 00 V:(i) and so = Ei:E o:nc(xn .204 5.4. This forces IV: (i) I ~ B for all n. we use a martingale approach. So ~ (i) does converge in this case by bounded convergence. as n ~ 00. Applications so parts (i).11). . But given any bounded solution V to (5. but in general the sequence ~ (i) may fail to converge as n ~ 00. Here we are concerned with the limiting behaviour. for all i. In the case of a stationary strategy u for which (Xn)n>O has a unique invariant distribution 1ru . Instead. except for the uniqueness claim in (ii). a) ~ B for some B < 00. Pi -almost surely.a) ~ D 0 Hence (iv) also follows from Theorem 5.5.. we know by the ergodic theorem that 1 n-l . JEI Then V = V~.4. B/(l .4. we do not know in general that the optimal policy is positive recurrent. u(Xn )) :::.0:) n=O iEf* (VU(Xn )) as n ~ 00.3 and 5. with the same limit. there is a stationary policy u such that V(i) = c(i. We have c(i. = anEf* (V~(Xn)) ~ Ba n /(l.u(i)) +0: :Epij(u(i))V(j). or even stationary.

6. Therefore So we obtain v* ~ V~(i) + 2 sup IW(i)l/n. Fix a strategy u and set Un = un(Xo. 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.t 00 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. i This implies (ii) on letting n ~ 00.nV* Then +L k=O C(Xk' Uk).4. (5.5.12) Let u* be any stationary strategy such that a = u*(i) achieves the infimum in (5.. Suppose we can find a constant V* and a bounded function W(i) such that V* + W(i) = i~f{c(i.Xn )..a) + LPii(a)W(j)} jEI for all i. .12) for each i. (ii) liminfn~oo (i) ~ V* for all i. Then (i) (i) . Firstly. Un) + LPXni(Un)W(j)} jEI (V* + W(Xn )) with equality if u = u*.4 Markov decision processes 205 Theorem 5. .u(i)) iEI + L1I"jW(j) jEI .t V* as n . Two further aspects also deserve comment. for all u. EU(Mn+l I F n ) = M n + {C(Xn . if u is a stationary policy for which (Xn)n~O has an invariant distribution 1r u . When u 2 sup i = u* we also have v::* (i) ~ V* + and hence (i). v::* v:: Proof.

(i) = V* /(1 . San Francisco. Secondly. Stochastic Models . Applied Probability Models with Optimization Applications (Holden-Day.1]: . Ross.Ull U12 U 13 Ulm U2m U3m U2 = U3 O. there is a connection with the case of discounted costs. U21 U22 U 23 = 0.12) on letting a i 1. Tijms.an algorithmic approach (Wiley. Chichester. Assume that I is finite and that P( a) is irreducible for all a. 1970) and to H. 1994) for more examples. u(i)) iEI with equality if we can take u = u* .a) + W(i) + 0(1 .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. uniformly distributed on [0. Then we can show that as a i 1 we have V. The interested reader is referred to S. results and references.a).11) we find v* /(1 = so a) + W(i) + 0(1 jEI a) i~f {C(i' a) + a LPij(a)(V* /(1.206 so 5. 5. which for many purposes may be regarded as sample values of a sequence of independent random variables. Applications v* ~ L 1rfc(i.11.5 Markov chain Monte Carlo Most computers may be instructed to provide a sequence of numbers Ul = O.U31 U32 U 33 written as decimal expansions of a certain length. C. On substituting this into (5.

G : I x [0. uniformly distributed on [0.u)=j Suppose that Uo.. U3 (w). This simple procedure may be used to investigate empirically those aspects of the behaviour of a Markov chain where theoretical calculations become infeasible. are actually all integer multiples of 10. U2 .. Un+1 ) for n ~ 0.1] into disjoint subintervals (Ai: i E I) with lengths Similarly for each i E I. U2. .. they are usually derived sequentially by some entirely deterministic algorithm in the computer. more seriously. and set X o = Go(Uo). lP(Xn +1 = i n +1 I X o = io. U2 (w). . We shall now describe one procedure to simulate a Markov chain (Xn)n~O with initial distribution A and transition matrix P. X n+1 Then = G(Xn . 1] ~ I. .1] into disjoint subintervals (A ij : j E I) such that Now define functions Go : [0.5. Since EiEI Ai = 1 we can partition [0.5 Markov chain Monte Carlo 207 We are cautious in our language because.. Ul. This makes it worth while considering how one might construct Markov chains from a given sequence of independent uniform random variables... G(i. • •• is a sequence of independent random variables. we can partition [0.Xn = in) = JP>(Un +1 E Ainin+l) = Pi ni n+l so (Xn)n~O is Markov(A. P). 1] ~ I by Go(U) =i if u E Ai. if u E A ij . U3.1]. Nevertheless. . U1. and then might exploit the observed properties of such processes..m and. . of course. the generators of such pseudo-random numbers are in general as reliable an imitation as one could wish of U1(w). lP(Xo = i) = lP(Uo E Ai) = Ai.

An alternative approach would be to simulate a large number of independent random variables Xl.. the object of primary interest being the invariant distribution of the Markov chain and not the chain itself. moreover.208 5.13) state by state for a start. Markov chain Monte Carlo is sometimes the only way to simulate samples from 7r. However.Xn in I.. .. L!(Xk). When 7r does not have product form. X(m) takes values in 8 m . k=l The strong law of large numbers guarantees that this is a good approximation as n ~ 00 and. unless 7r has product form 1r(X) = II 1r mEA m {x(m)). A random variable X with values in I is then a family of component random variables (X (m) : mEA). one can obtain error estimates which indicate how large to make n in practice. making the state-space I very large indeed. After a general discussion we shall give two examples.13) for some given function I = (Ii : i E I). . statistical physics and computer science.13) by 1 n . We are given a distribution 7r = (7ri : i E I). especially in statistics. where. For the purposes of this discussion we shall also assume that each component 8 m is a finite set. for each site mEA. and it is desired to compute the number (5. The essential point to understand is that A is typically a large set. Monte Carlo is another name for computer simulation so this sounds no different from the procedure just discussed. perhaps up to an unknown constant multiple. . 1] random variables. Then certain operations are computationally infeasible . For recall that a computer just simulates sequences of independent U[O. each with distribution 7r. It is the application which finds greatest practical use. known as Markov chain Monte Carlo. and to approximate (5.. Applications The remainder of this section is devoted to one application of the simulation of Markov chains.performing the sum (5. The context for Markov chain Monte Carlo is a state-space in product form I = 8m II mEA where A is a finite set. But what is really meant is simulation by means of Markov chains. simulation from the distribution 7r is also difficult.

We would like Jr to be invariant for P( m). Thus at each step we have only to simulate a random variable in 8 m . for example. except possibly at site m.8.2:Pij(m) ~ O. Indeed. and then pii(m) = 1. Theorem 1. we simulate a new random variable X n + 1 (m) with values in 8 m according to a distribution determined by X n .5. assuming only irreducibility. which is constructed to have invariant distribution Jr. Let us write i ~ j if i and j agree.3. make all components independent. not one in the much larger space I. we know. Indeed. that as n ~ 00 the distribution of X n converges to Jr.5 Markov chain Monte Carlo 209 The basic idea is to simulate a Markov chain (Xn)n~O. When the chosen site is m. It does not matter crucially what distribution X o is given. Each component Xo(m) of the initial state X o is a random variable in 8 m . A sufficient condition is that the detailed balance equations hold: thus for all i. and for k =I m we set X n+ 1 ( k) = X n ( k) . j#i . j we want There are many possible choices for P(m) satisfying these equations.2 shows that with probability 1. where pij(m) = 0 unless i ~ j. by Theorem 1. 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. but we might. Then. The law for simulating a new value at site m is described by a transition matrix P( m). 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.10. assuming aperiodicity and irreducibility. The process (Xn)n~O is made to evolve by changing components one site at a time.

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

D. which is the conditional density given the observations. pp.1 .807}.(Yi - p)2 /2 } T ao -l+ n / 2 exp{ -{jOT}. Ripley (Wiley.t 7rdi n k=O iEI as n ~ 00 with probability 1. cPo.80. For further reading we recommend Stochastic Simulation by B. with a given prior distribution. 7). For example.5 Markov chain Monte Carlo for all m and all i. Higdon and K. We shall not pursue the matter here. is then given by Bayes' formula 7r(/-l. Hence.Y . which it is reasonable to assume are normally disn tributed.O )2/2}7 ao . Besag. by Theorem 1. cPo 1 ). j. The recent survey article Bayesian computation and stochastic systems by J. /-l is normal of mean 00 and variance cPo 1 . 7 I y) ex 7r(/-l. Gilks. The parameters 00 . 1995) contains many interesting references. we have f(Xk) . . 7) ex exp{ -cPO(/-l.1 (Bayesian statistics) In a statistical problem one may be presented with a set of independent observations Y1 . One then seeks to draw conclusions about /-l and 7 on the basis of the observations. Chichester. 7) f (y I /-l. so also 7riPij 211 = 7rjPji and so 7r is the unique invariant measure for P.( 0 )2 /2} exp { -T t. S. P. London. . but useful information of this type cannot be gained in the present general context. R.5. It should also be emphasised that there is an empirical side to simulation: with due caution informed by the theory. Example 5.1 exp{ -. J.80). Given more information on the structure of 8 m and the distribution 7r to be simulated. Spiegelhalter (Chapman and Hall. and Markov Chain Monte Carlo in practice by W. we might assume that /-l rv N( 00. 0:0 and . Thus the algorithm works eventually. 7) is given by 7r(/-l.80 are known.5. 7 rv r( 0:0. 7) ex exp{ -¢o(p. 1987). the computer output gives a good idea of how well we are doing. Mengersen (Statistical Science. and 7 has gamma distribution of parameters 0:0 and . that is to say. -L 1 n-1 L o The posterior density for (/-l. Richardson and D. Green. In practice one is concerned with how fast it works. The Bayesian approach to this problem is to assume that /-l and 7 are themselves random variables. We finish with two examples. D. . 10 (1). . much more can be said. but with unknown mean /-l and variance 7. 3-40. .10.2. 1996). Then the prior density for (/-l..

(Yi ex r CYo -l+ n / 2 exp { -r (.80 p)2 /2 } I'. with . We wish to simulate X = (J-l.(Yi - p)2 /2) } I'. We may wish to compute probabilities and expectations. First we simulate X o. then set Xk+1 = (J-lk+1.1). . Tk) and then Tk+1 from 7r(T I y. T I y). Our final belief about J-l and T is regarded as measured by the posterior density.8n = .J r(a n . This is not an immediate consequence of the ergodic theorem for discrete statespace. the full conditional distributions still have a simple form 1r(pl 1r(r Y. Of course.80 + 2)Yi i==l - p)2/2. for all bounded continuous functions f : I ---+ JR. Nevertheless. T) with density 7r(J-l.00). The model consists of m copies of the preceding one.( 0)2/2} exp { -r t.J-lk+1). we first simulate J-lk+1 from 7r(J-l I y.00). T I y). The fact that JR and [0. given X k = (J-lk.t f(x)1r(x I y)dx as k . but you may find it reasonable at an intuitive level. say from the product form density 7r(J-l.212 5.8n) where n an = ao + n/2. 00) are not finite sets does not affect the basic idea. Applications Note that the posterior density is no longer in product form: the conditioning has introduced a dependence between J-l and T. .. with a rate of convergence depending on the smoothness of 7r and f. At the kth stage.Tk+1). To make the connection with our general discussion we set 1=81 X 8 2 = JR x [0.J N(On. r) ex exp{ -¢o(p. numerical integration would also be feasible as the dimension is only two. Tk). p) + t. Here the Gibbs sampler provides a particularly simple approach. ¢. T). and one can show that k-1 ~ ~ f(X j ) .t 00 1 with probability 1. I Y. We now turn to an elaboration of this example where the Gibbs sampler is indispensible. In any case the computer will work with finite approximations to JR and [0. Then (Xk)k~O is a Markov chain in I with invariant measure 7r(J-l.

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

as (3 i 00 the mass concentrates on configurations x where H(x) is small. called the Ising model. Simulations may sometimes be used to guide further developments in the theory. uniformly in N.m'l = 1.N}2 and the configuration space = AN\A N. Here we consider the problem of simulating the Ising model.. whereas. then ° In particular. the Ising model is rather well understood theoretically. As (3 ! the weighting becomes uniform.5.. but there are many related models which are not. Note that H(x) is small when the values taken by x at neighbouring sites are predominantly the same. if sinh 2(3 ~ 1. In fact.))2 where the sum is taken over all pairs {m. . Consider the sets of even and odd sites A+ = {(ml' m2) A.1 . For x E A define H(x) = ! I:: (x(m) . is odd} . First we describe a Gibbs sampler.0. where simulation is still possible by simple modifications of the methods presented here. A famous and deep result of Onsager says that if X has distribution 1t". 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). Applications Example 5. .1. . m / } ~ A with 1m . or even to detect phenomena quite out of reach of the current theory.2 (Ising model and image analysis) Consider a large box A = AN in 71 2 A with boundary 8A = {-N...214 5. whereas if sinh 2{3 > 1 there is a residual effect of the boundary values on X(O). .x(m.= {(ml' m2) + m2 E A : ml + m2 E A : ml is even}. This is one of the fundamental models of statistical physics.-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.

independently for each m E A+\8A.+l with distribution 1r(.5. Choose now some simple initial configuration X o in 1+.. I x+). the distribution of X n is approximately 1r.x) = (1r(x)/1r(x)) 1\ 1 = e2 . Next we apply the corresponding transformation to Y n. to obtain X n+1 . we change the sign of Xt(m) with probability p(m. We may encode a digitized image on a twodimensional grid as a particular configuration (x(m) : mEA) E I. simulate firstly X~+l with distribution 1r(. We can again exploit the even/odd partition. Let us call the resulting configuration Y n . 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. for large n. where x(m) = 1 for a white pixel and x(m) = -1 for a black pixel.Bx(m)s(m) 1\ 1 where x ~ x with x(m) = -x(m). An alternative approach is to use a Metropolis algorithm. the Ising model is sometimes used as a prior. The process (Xn)n~O is then a Markov chain in 1+ with invariant distribution 1r.( m) for the odd sites m E A-\8A.8 in the Ising model. Given that X n = x.8 < 1. By varying the parameter . I x-) and then given X~+l = x+. for mEA+\8A s(m) = L Im'-ml=l x-(m'). we vary the tendency of black pixels . 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. = x-. Convergence is fast in the subcritical case sinh 2. In a Bayesian analysis of two-dimensional images. where 1r has an approximate product structure on large scales. given X.I x+). there is little to choose between them. Therefore. simulate X. Then inductively.5 Markov chain Monte Carlo and for x E I set 215 x± = (x(m) : m E A±). Then according to our general discussion. Both methods we have described serve to simulate samples from 1r. it is easy to simulate from 1r(x+ I x-) and likewise from 1r(x.

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

except an elementary understanding of Riemann integration or Lebesgue measure. .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. which are often more convenient than a-algebras. When interpreted in terms of measure theory. in Section 6. In either case we can enumerate all the elements of I .n} ~ I for some n E N.or a bijection f : N ~ I. the monotone convergence theorem and Fubini's theorem. are needed a number of times: these are discussed in Section 6. Finally.3. One crucial result which we found impossible to discuss convincingly without measure theory is the strong Markov property for continuous-time chains..1 Countable sets and countable sums A set I is countable if there is a bijection f : {I. Two important results of measure theory. The basic framework of measure and probability is reviewed in Sections 6. .6.5.6 Appendix: probability and measure Section 6. The proofs we have given may be read on two levels. the proofs are intended to be rigorous. . we discuss a general technique for determining probability measures and independence in terms of 1r-systems.2 and 6. 6.4. This is because the state-space is at worst countable. This is proved in Section 6. with or without a measure-theoretic background.

-J 't n=l n=l 00. Appendix: probability and measure where in one case the sequence terminates and in the other it does not. for example tl n for any n. Let I be a countably infinite set and let Ai Then. ~3. for any two enumerations of I ~1. Any finite cartesian product of countable sets is countable.-J In L.n} for some n E N: this just corresponds to a particular choice of the bijection f. ••• .. if we allow Ai to take negative values. The set of all subsets of N is uncountable and so is the set of real numbers JR. ~2. . We need the following basic fact.218 6. Given any N E N we can find M ~ Nand N' ~ M such that Then N M N' """ A· n -< """ A· -< """ A· n L.1. we have 00 00 LAin n=l = LAin' n=l Proof. 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. Lemma 6. then we can set where . ~ 0 for all i E I. Any subset of a countable set is countable.. 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.1.-J 't L.

discrete case).j2. D Lemma 6. Let I and J be countable sets and let Aij 2 0 for all i E I and j E J. Then as n ~ 00. we have L (LAi j) L (LAij). Suppose for each i E I we are given an increasing sequence (Ai(n))n~O with limit Ai.1. = iEI jEJ jEJ iEI The following two results on sums are simple versions of fundamental results for integrals.6. Lemma 6.1 Countable sets and countable sums 219 allowing that the sum over I is undefined when the sums over I+ and Iare both infinite. .3 (Monotone convergence . Hence and the result follows by symmetry... We take the opportunity to prove these simple versions in order to convey some intuition relevant to the general case. iEI jEJ jEJ iEI Proof. and that Ai ( n) 2 0 for all i and n. Then LAi(n) i LAi as n iEI iEI -t 00. = iEI iEI Aij iEI By induction. .discrete case).1. Let jl. for any finite set J and for 2 0. be an enumeration of J.2 (Fubini's theorem . There is no difficulty in showing for Ai. . Then L (LAi j) = L (LAij).j3. jji 2 0 that I)Ai + Pi) L Ai + LPi.

Example 6. Set 8i (1) = Ai(l) and for n ~ 2 set Then 8i (n) ~ 0 for all i and n.00) for all i.I). £.220 6.1 if Ai E [0. n E N with Un En = E and J-l(En ) < 00 for all n. Thus £ is closed under countable set operations. A a-algebra £ on E is a set of subsets of E satisfying (i) 0 E £.I) by setting In fact.2 Basic facts of measure theory We state here for easy reference the basic definitions and results of measure theory.1 Let I be a countable set and denote by I the set of all subsets of I. (ii) A E £ =* AC E £. Appendix: probability and measure Proof.8i(k)) = t.2. The pair (E. For such A we obtain a measure on the measurable space (I.n E N) =* Un An E £. we obtain in this way all a-finite measures J-l on (I. . so as n ~ 00. A measure J-l on (E. £) is called a measurable space. (~8i(k)) i = L (f 8i (k)) LAi = iEI k=l iEI o D 6. £) is a function J-l : £ ~ [0.00] which has the following countable additivity property: The triple (E. by Fubini's theorem ~Ai(n) = ~ (t. J-l) is called a measure space. Recall that A = (Ai: i E I) is a measure in the sense of Section 1. then we say J-l is a-finite. If there exist sets En E £. (~8i(k)) t. Here AC denotes the complement E\A of A in E. Let E be a set. (iii) (An E £.

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

with Un An = A.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. (ii) P(AI n A 2 ) = P(A I ) + P(A 2 ) for AI. a random variable X : 0 models a random state. This is simply a measure space with total mass P(O) = 1. In (iii) we write An i A to mean Al ~ An ~ . We use random variables Y : 0 ~ lR to model random quantities. F. F) is called a random variable.3 Probability spaces and expectation The basic apparatus for modelling randomness is a probability space (0. Thus F is a a-algebra of subsets of 0 and P : F ~ [0. r jj. o. 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). with distribution I Ai = P(X = i) = p({w : X(w) = i}).. .E m£+. + (3Y) = oE(X) + (3E(Y) for X. f = f+ .{3 ~ 0. then f+. A 2 disjoint. given a countable state-space I. A measurable function X defined on (0. In the case of Lebesgue measure one usually writes simply lXEJR r f(x)dx.222 6.. 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}).f. set f± = (±f) V 0. To every non-negative or integrable real-valued random variable Y is associated an average value or expectation E(Y). Appendix: probability and measure For f E mE. (iii) P(A n ) i P(A) whenever An i A.1] satisfies (i) P(O) = 1. which is the integral of Y with respect to P. Y E mF+. P). ~ Similarly.f. Thus we have (i) E(IA) (ii) E(oX = P(A) for A E F. 6.

y)J-t1(dx) : E 2 ~ [0.4.6. J-l1) and (E2.00] is £2 measurable for all x E E 1.00] is £1 measurable for all Y E E 2. 00] satisfies (i) x ~ f(x. Theorem 6. £2. J-t) be a measure space and let (fn)n~l be a sequence of non-negative measurable functions. y) : E 2 ~ [0. £. then we shall discuss some places where they are used. (ii) Y ~ IXEE 1 f(x.4. Yn i Y) :::} IE(Yn ) i IE(Y). 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. Suppose that f : E 1 x E 2 ~ [0.4 Monotone convergence and Fubini's theorem (iii) (Yn E mF+.00] the LAdi iEI where A is the distribution of X. J-l2) be two a-finite measure spaces. (b) x ~ f yE E2 f(x.Y)J-tl(dx~J-t2(dY). ') J l l ') .y)J-t2(dy~J-tl(dx)=1yEE2 (rxEE f(X. Y)J-l2(dy) : E 1 ~ [0. Then. for example. n E N.1 (Monotone convergence). f : lR ~ [0. (c) r yEE2 JxEE (1 f(x. Let (E 1 . as n ~ 00 (fn(x) i f(x) for all x E E) :::} J-t(fn) i J-t(f)· Theorem 6.4 Monotone convergence and Fubini's theorem Here are the two theorems from measure theory that come into play in the main text. Williams (Cambridge University Press. Then (a) y ~ f(x.00] is £1 measurable.2 (Fubini's theorem).00] is £2 measurable.00] there is an explicit formula E(J(Y)) = L f(y)p(y)dy. £1. Proofs may be found. First we shall state the theorems. y) : E 1 ~ [0. 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. Let (E. 1991). in Probability with Martingales by D. 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.4. The problem lies with the . We used monotone convergence in Theorem 2. They are powerful results and very easy to use.224 6.L Sn}).3. J-t2) to be the probability space with the measure Pi.X. n~N In the last application convergence is not monotone increasing but monotone decreasing. But if 0 ~ X n ~ Y and X n ! X then Y . J-t1) to be [0.X) and if IE(Y) < 00 we can deduce IE(Xn ) ! IE(X). We used monotone convergence in Theorem 1..1 to see that for a nonnegative random variable Y we have IE(Y) = N--+oo lim IE(Y /\ N). Appendix: probability and measure The measurability conditions in the above theorems rarely need much consideration. Fubini's theorem is used in Theorem 3. £1..2 to see that Thus we have taken (E 1.10..X n i Y .LSn}) =E(J~= exp { . So IE(Y . provided that (E. This is also a special case of Fubini's theorem.. J-t) is a-finite: just take E 2 = {I. } and J-t2( {n}) = 1 for all n.L Sn}) n n~N =J~= E(exp { . 6. + 9n. .2 to see that for random variables Sn ~ 0 we have E(LSn) = LE(Sn) n n and E(exp { .00) with Lebesgue measure and (E2. £. £2. 2. 3.2 as a defining property of the integral.X n ) i IE(Y . 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 . This form of monotone convergence has already appeared in Section 6.fn = 91 +.

t-l/n}EFt n forall t~O. Without measure theory the statement that a set A depends only on (X s : s ~ t) does not have a precise meaning. by all sets {X s = i} for s ~ t and i E I.00] is a stopping time of (Xt)t~O if {T ~ t} E F t for all t ~ O. Proof. but then. Of course. (k . which in measure theory is made precise as measurability with respect to some a-algebra. in general.5 Stopping times and the strong Markov property 225 notion of 'depending only on'. 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}.6.1)2. and so {S ~ T} E Fr· . Hence so X T is FT-measurable.m ~ T < k2. Let Sand T be stopping times of (Xt)t~o. 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.1. if the dependence is reasonably explicit we can exhibit it. Since (Xt)t~O is right-continuous. for some k ~ 1. Then both X T and {S ~ T} are FT-measurable. Denote by F t the a-algebra generated by {X s : s ~ t}. on {T < t} there exists an n ~ 0 such that for all m ~ n. Lemma 6.m ~ t and X k2 -rn = X T .s~t ({T~s}n{S>s})EFt D > T} E Fr. Let (Xt)t~O be a right-continuous process with values in a countable set I. This turns out to be the correct way to make precise the notion of sets which 'depend only on {Xt : t ~ T}'. that is to say. We say that a random variable T with values in [0.5. We have {S>T}n{T~t}= so {S U sEQ.

Lemma 6. 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} .226 6.Y and 8 1 .5. Assume inductively that J m is a stopping time. 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. m that is. so is At. Appendix: probability and measure ~ Lemma 6. so J m + 1 is a stopping time and the induction proceeds.2. Then {Jm +! ~ t} for all t ~ = U sEQ. the jump time J m is a stopping time of Proof. For s ~ t we have {X s = = i} n {t < J m +1} (D\Y k=O k =i. 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}. Fix t ~ 0 and consider Since Qm is a a-algebra.3.Jm ~ s}) n{t< Jm+d so {X s = i} E At. Tn Proof..s~t {Jm ~ s} n {X s =1= X J71J E F t D 0.8m . 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. t} E F t and A(t) := An {T ~ t} E F t for all t ~ O. 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. Obviously.Jk ~ s < Jk+l}U{Ym =i. Jo = 0 is a stopping time. For all m (Xt)t~o. . So we can find Bm(t). ..··· . 0.5. both measurable with respect to Qm. n {T < Jm+ 1 }. We denote by Qm the a-algebra generated by yo. such that T = T m and lA = lA on {T < J m + 1 }.

.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. 8 1 > S1.. for all A EFT. X IF(A n {T < (} n {X T = i}).. Q) and let T be a stopping time of (Xt)(~o.5. By Lemmas 6. . . 81 :c: .5. .4 (Strong Markov property)..5.2. Q) and independent of FT. Y n = in..:c: : 82 . (XT+t)(~O is Markov(8i .in E I and all S1. 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. .. conditional on T < ( and X T = i.. .5.6. as shown in the diagram . . .. D Theorem 6.. where T m and Am are Qm-measurable.8n > sn} nAn {T < (} n {XT = i}) = lFi(YO = io.: o On {Jm ~ 8 m +1 : i T T < J m + 1 } we have. Yn = in.. Then.3 we can write T = T m and 1A = 1A on {T < J m + 1 }. .Sn ~ 0 IF( {Yo = io. . . Tn ...8n > sn) It suffices to prove this with {T < (} replaced by {Jm ~ T < Jm + 1 } for all m ~ 0 and then sum over m. . By Lemma 6. all io. . 81 > S1.1 and 6. We have to show that. {Jm ~ T} n {XT = i} E FT so we may assume without loss of generality that A ~ {Jm ~ T} n {XT = i}. Let (Xt)(~O be Markov(A.

· . 81 > 81. conditional on Ym = i. F) which agree on a 7r-system A generating :F. A 7r-system A on 0 is a collection of subsets of 0 which is closed under finite intersections. .Yn = in.6. D 6. The constructive approach we have taken should make this seem obvious. Then PI = P 2 · Proof. From these specified probabilities we have often deduced explicitly the values of other probabilities. In this section we shall show.. by the Markov property of the jump chain P( {Yo = io. n o 8 1 > 81. 8 m+ 1 is independent of gm and hence of T m . .J m and Am and.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 }) = Pi(Y = io. in measure-theoretic terms. Let PI and P 2 be probability measures on (0. by the memoryless property of the exponential Hence.Y = in. . Appendix: probability and measure Now. . . Ym+n = in. 8m+ 1 > 81 + (Tm .1. If a(A) we say that A generates :F.J m ). Consider . that our definitions determine the probabilities of all events depending on the process. but it is illuminating to see what has to be done.8m+ n > 8 n } n Am n {8m+ 1 > T m .8n > 8 n )P(A n {Jm ~ T < Jm + 1 } n {XT = i}) as required. for example hitting probabilities. Let (O. Let 0 be a set.228 6.8n > 8 n } nAn {Jm ~ T < Jm + 1 } n {XT = i}) = p( {Ym = io. . 8 m+ 2 > 82. thus We denote as usual by a(A) the a-algebra generated by A.:F) be a measurable space. = :F Theorem 6.

But this shows V is a 1r-system. V has the following properties: (i) 0 E V. You may easily check that VI is ad-system . D Lemma 6. Consider first VI = {A E V : A n B E V for all B E A}. Theorem 6. .6. Then a(A) ~ V. Suppose that (0. Since A is a 1r-system. Let Al be a 1r-system generating F 1 and let A2 be a 1r-system generating F2. You may easily check that any d-system which is also a 1r-system is necessarily a a-algebra. An i A) :::} A E V.6.2 (Dynkin's 1r-system lemma). Suppose A ~ V.1.6 Uniqueness of probabilities and independence of a-algebras 229 We have assumed that A ~ V. the result now follows from the following lemma. Since A generates F. D The notion of independence used in advanced probability is the independence of a-algebras.6. This we do in two stages. so we may without loss assume that V is the smallest d-system containing A.because V is a d-system.3. We say that Fl and F 2 are independent if The usual means of establishing such independence is the following corollary of Theorem 6. F. Let A be a 1r-system and let V be a d-system. Proof.6. Hence also V 2 = V. P) is a probability space and F 1 and F 2 are sub-a-algebras of F. E V. B E V and A ~ B) :::} B\A (iii) (An E V. Moreover. Next consider V2 = {A E V : A n B E V for all B E V}. since PI and P 2 are probability measures. A ~ V 2 . You can easily check that V 2 is also ad-system. A ~ VI. Since V is the smallest d-system containing A. Suppose that Then Fl and F 2 are independent. Since VI = V. (ii) (A. so it suffices to show V is a 1r-system. this shows VI = V. Any collection of subsets having these properties is called a d-system. Any intersection of d-systems is again a d-system.

We note now that the events {X o = io.6.. In our general discussion of continuous-time random processes in Section 2.1 we showed that our definition of a discrete-time Markov chain (Xn)n~O with initial distribution .1. 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. In Theorem 1.Xn = in} form a 1r-system which generates the a-algebra a(Xn : n ~ 0). by Theorem 6. Appendix: probability and measure Proof. Hence:F1 and :F2 are independent. Next fix Al E :F1 with P(A 1) We have assumed that P(A) = P(A) for all A E AI. Hence.6. First fix A 2 E A 2 with P(A 2 ) the probability measure > 0 and consider jp> = P on :Fl. D We now review some points in the main text where Theorems 6. by Theorem 6.1 justifies (a precise version) of this claim.such as the event that (Xn)n~O visits a set of states A. . . Now events of the form {Xto = io. P =P on :F2 .6.1. So Theorem 6. > 0 and consider the probability measure We showed in ~e first step that P(A) = P(A) for all A E A2. An argument given in .\ 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 . so. is not necessarily measurable with respect to a(Xt : t ~ 0).1. There are two steps.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. .6.3 are relevant...Xtn = in} form a 1r-system which generates the a-algebra a(Xt : t ~ 0).6.1.230 6.1 and 6. our definition determines (in principle) the probabilities of all events in this a-algebra. so.6.. by Theorem 6. .

. which is what we did in the proof of Theorem 6. 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~1.1.. On the other hand.6. By T~eore~ 6. for all i E I {Xt = i} = U {In ~ t < In+d n {Yn = i} E g.3 it suffices to prove the independence assertion for the case C = B. A useful1r-system generating 9 is given by sets of the form B = {Yo = i o. n~O so also F C g. We conclude that. Assume that (Xt)t~O is Markov(. this definition determines JP> on 9 and hence on F.Sn > sn}. Then Lemmas 6.5.x.Yn = i n .6. without some assumption like right-continuity. X T 9 = a((Yn)n~O' (Sn)n~O). Our jump chain/holding time definition of the continuous-time chain (Xt)t~O with initial distribution .S1 > S1.. ••• "'tn-l't n I'fr. and coincide by the same argument as = g. Then the conclusion of the strong Markov property states that = i) = lPi(B) IT < (.S1 > S1. 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. . Set B = {Yo = i o.6.2 shows that this event is measurable in the right-continuous case. Thus 9 ~ F where 9 = a((Yn)n~O' (Sn)n~1).·.Yn = i n .1 and 6. for such events l1J)(B) . and that JP>(C n A I T < (. Let us take F = a(Xt : t ~ 0).Sn > sn}.6 Uniqueness of probabilities and independence of a-algebras 231 Section 2. JP>(B I T < (. by Theorem 6.A'tO"'tO'tl \. . .5.· . C I'fr. · . Q) and that T is a stopping time of (Xt)t~o. general continuous-time processes are unreasonable.Xt = i)JP>(A for all C E F and A E FT.. .5. • e-qio81 ••• e-qin-18n • Then.. On the set = {T < (} define Xt = X T +t and let j = a(Xt : t ~ 0). · .5. Finally. .2 show that (Yn)n~O and (Sn)n~1 are F-measurable.x and generator matrix Q may be read as stating that.XT = i) = JP>(C I T < (.XT = i) with B as above.4. we consider the strong Markov property. Theorem 6.4.

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

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

111 absorption probability 12.Index absorbing state 11. 111 conditional expectation 129 conductivity 151 continuous-time Markov chains 87 construction 89 infinitesimal definition 94 jump chain/holding time definition 94. 16. 96 Bayesian statistics 211 biological models 6. 168 countable set 217 coupling method 41 current 151 . 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. 121. 97 transition probability definition 94. 82. 112 action 198 adapted 129 alleles 175 aperiodicity 40 average number of customers 181 backward equation 62. 111 closed migration process 184 communicating class 11. 9. 97 continuous-time random process 67 convergence to equilibrium 41.

97 to j 118 Markov(:A.Index detailed balance 48. expected return time 37. 115 flow 151 forward equation 62. expected time in i between visits F n . 111 Ising model 214 jump chain 69 jump matrix 87 jump times 69 last exit time 20 long-run proportion of time 53. 124 discounted value function 202 distribution 1 lE. filtration 129 fair price 135 filtration 129 finite-dimensional distributions 67 first passage decomposition 28 first passage time 19. 117 ergodic theorem 53. 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. expected time in i between visits to j 35 Galton-Watson process 171 gambling 131 Gaussian distribution 160 generator 166 generator matrix 94. 111 holding times 69 235 I. 100 for birth processes 84 for Poisson process 78 Fubini's theorem 223 discrete case 219 full conditional distributions 212 fundamental solution 145 1'1.97 Markov chain continuous-time 88 discrete-time 2 Markov chain Monte Carlo 206. 168 Erlang's formula 183 excursions 24 expectation 222 expected hitting time 12. 126 mi. exponential distribution of parameter :A 70 eQ . 118 J. 113 expected return time 37. 117 computation of 40 irreducibility 11. expectation 222 E(:A). exponential of Q 62 effective conductivity 156 electrical network 151 energy 154· epidemic model 173 equilibrium distribution 33. Q) 94. 204 . 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. 176.t{. 169 Green matrix 144. P) 2 Markov(:A. 222 integral form of the backward equation 98 integral form of the forward equation 101 inter-arrival times 180 invariant distribution 33. 145 harmonic function 146 Hastings algorithm 210 hitting probability 12 hitting time 12. 126. state-space 2 infective 173 integrable 129. 141.

176 non-minimal chains 103 null recurrence 37. 167 recurrence relations 57 reflected random walks 195 reservoir model 194. semigroup of reversed chain 124 p~j). 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. 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 . 114. transition matrix of reversed chain 47 P(t). order notation 63 Ohm's law 151 open migration process 185 optional stopping theorem 130 IP. 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. n-step transition probability 5 II.O(t).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. 118 Q. transition semigroup 96 P(t). rate of leaving i 61 qij. 195 resolvent 146 resource management 192 restocking a warehouse 192 return probability 25 reversibility 48. generator matrix of reversed chain 124 qi. transition matrix 2 [>. probability 222 P. 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).

policy 198 statistics 55. 123 transience 24. 167 transition matrix 2 irreducible 11 237 maximum likelihood estimate 56 transition semigroup 165 truncated Poisson distribution 183 unit mass 3 Vi(n). 211. 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. 227 success-run chain 38 susceptible 173 telephone exchange 183 texture parameter 216 time reversal 47.Index stationary distribution 33. 93. 114. 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 (.

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