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J. R. Norris
University of Cambridge
~ u ~ ~ u CAMBRIDGE
::: UNIVERSITY PRESS
PUBLISHED BY THE PRESS SYNDICATE OF THE UNIVERSITY OF CAMBRIDGE
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CAMBRIDGE UNIVERSITY PRESS
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© Cambridge University Press 1997
This book is in copyright. Subject to statutory exception
and to the provisions of relevant collective licensing agreements,
no reproduction of any part may take place without
the written permission of Cambridge University Press.
First published 1997
Reprinted 1998
First paperback edition 1998
Printed in the United States of America
TYPeset in Computer Modem
A catalogue recordfor this book is available from the British Library
Library of Congress CataloguinginPublication Data is available
ISBN 0521481813 hardback
ISBN 0521633966 paperback
For my parents
Contents
Preface
Introduction
1. Discretetime 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. Continuoustime Markov chains I
2.1 Qmatrices and their exponentials
2.2 Continuoustime 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 Nonminimal chains 103
2.10 Appendix: matrix exponentials 105
3. Continuoustime 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 aalgebras 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 discretetime 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
continuoustime 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 discretetime 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 longrun 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 rightcontinuous, mini
mal continuoustime 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 continuoustime 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 measuretheoretic 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 SheaSimonds 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 discretetime process and
( X t ) t ~ O for a continuoustime 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 longrun 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
Discretetime Markov chains
This chapter is the foundation for all that follows. Discretetime 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
statespace. 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. Discretetime 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 onetoone correspondence between
stochastic matrices P and the sort of diagrams described in the Introduc
tion. Here are two examples:
(Ia
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 realworld 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 discretetime 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
= iNI)
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+nlirn+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. Discretetime 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+nl 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 Nvector and P an N x Nmatrix. 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
statespace 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 = inI, X n = j)
ioEI inlEI
= L ... L AioPioil" · PinIi = (Apnk
ioEI inlEI
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 nstep transition probability from i
to j. The following examples give some methods for calculating
Example 1.1.4
The most general twostate chain has transition matrix of the form
(
Ia
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. Discretetime 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 Nstate 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 twostate 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 N1·
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 threestate 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. Discretetime 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 Mstate 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 statespace 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. Discretetime Markov chains
Someone suggests that the record of successive choices (a sequence of As
and Bs) might arise from a twostate 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 ... Pinli
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 .. ·Pind
il , ... ,inl
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. Discretetime Markov chains
1.2.2 Show that every transition matrix on a finite statespace 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 nonnegative 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. Discretetime 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 · · · Pjnlin Xjn'
Now if X is nonnegative, 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 nonnegative solutions.
In cases where the statespace 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,il = 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 nonnegative 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 nonnegative 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. Discretetime 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 (Birthanddeath 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 + qihiI, 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 nonnegative 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 nonnegative 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 .. 'PjndnYjn'
18 1. Discretetime Markov chains
So, if y is nonnegative,
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,il = 1, Pi,i+l = i Pi,il,
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. Discretetime 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 squareroot 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. Discretetime 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 statespace 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 nonnegative
solution to
h{ = Pij + LPik
h
1·
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. Discretetime 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(rI)
S ~ r ) = i i
~ 0
·f T(rI)
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(rI) < 00, sir) is inde
pendent of {X
m
: m Ti(rI)} and
Proof. Apply the strong Markov property at the stopping time T = Ti(rI).
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. Discretetime Markov chains
Recall that one can compute the expectation of a nonnegative integer
valued random variable as follows:
00 00 00
LP(V > r) = L L P(V = v)
r=O r=Ov=r+1
00 vI 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 nstep 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 statespace. Some
cases of infinite statespace 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. Discretetime 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,il·
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 nonnegative 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 statespace. 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
iI
q P
... ...
i i+l
30 1. Discretetime 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 nstep 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 iflijl==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. Discretetime 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 lefthand 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 (6m2) d (6m) > (1/6)4 (6m4) £
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 longtime 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 nonnegative 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 Pk Pkj == 1m Pk Pkj == 7rkPkj
kEI kEI kEI
34 1. Discretetime 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 nstep 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 twostate Markov chain with transition matrix
(
la
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 righthand 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 statespace 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. Discretetime 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 AinPininl · · · Pioj
i
o
,... ,in=j:k
+ (Pk
j
+ L PkioPioj + · · · + L Pkinl · · · PilioPioj )
io#k io, ... ,inl#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
Jl = 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
Jli = 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. Discretetime 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,il = 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 twoparameter family of invariant measures 
uniqueness up to scalar multiples does not hold.
Example 1.7.11
Consider a successrun 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 = Pil7ril, 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. Discretetime 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,il = q < P =
Pi,i+l. Find
(
TOl )
,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 nstep transition proba
bilities as n 00. As we saw in Theorem 1.7.2, if the statespace 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 twostate 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. Discretetime 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 twostate 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 Cd1
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, ... ,d1
C {
. I (nd+r) £ O}
r = E : Pki > 0 or some n .
Then Co U ... U Cd1 = 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. Discretetime 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
, ... ,Cdl
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=nK+l
n
L P(X
k
= j)Pj(Tj > n  k)
k=nK+l
Kl
= :E P(Xnk = 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. Discretetime 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 lefthand 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 Jl = 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/Jl.
1.9 Time reversal 47
(Think of Y
I
, Y
2
, • •• as lightbulb lifetimes. A bulb is replaced when it fails.
Thus the limiting probability that a bulb is replaced at time n is 1/Jl. 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 timesymmetry 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 = iNI,·.· ,XN = io)
= 1riNPiNiN1 ... P i 1io = 1rioPioi1 ... PiN1iN
48 1. Discretetime 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, ... ,in1,i
n
=j withpioil ... Pinli
n
> O. Then
Pininl ... Pil io = 7rioPioil ... Pinl in /
7r
i
n
> 0
so Pis also irreducible. D
The chain is called the timereversal 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
timereversal the clock would run backwards!
Example 1.9.5
Consider the Markov chain with diagram:
P
. ~
o 1
q P
I I ( . ~
iI i i+l
q
• II( •
Ml M
where 0 < P = 1  q < 1. The nonzero 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 timereversal 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. Discretetime 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 ) .
lq ,
(b)
(c) 1== {O,l, ... ,N} a n d p ~ J == 0 if Ij il2:: 2;
52 1. Discretetime Markov chains
(d) I = {a, 1,2, ... } and POI = 1, Pi,i+l = P, Pi,il = 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 longrun
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, nonnegative 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:
nl
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 longrun 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. Discretetime 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 nonnegative random variables S;l), 8;2), ... are indepen
dent and identically distributed with Ei(S;r)) = mi. Now
+ + <  1
't ••• 't _n,
the lefthand side being the time of the last visit to i before n. Also
the lefthand 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
nl 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 loglikelihood function is given by
I(P) = log(..\xoPxox
l
•• ,PXN1XN) = L Nij logpij
i,jEl
56 1. Discretetime 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
Nl Nl
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 longrun
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 +CXnl = 0
58 1. Discretetime Markov chains
where a and c were both nonzero. Let us try a solution of the form X
n
= Xn;
then aX
2
+ bX + 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/2en) 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}
anan+! = (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
Continuoustime Markov chains I
The material on continuoustime 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 discretetime case. To
emphasise this we have put the settingup 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 warmup for general continuous
time Markov chains. These processes are simple and particularly important
examples of continuoustime chains. Sections 2.62.8, especially 2.8, deal
with the heart of the continuoustime 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 Qmatrices and their exponentials
In this section we shall discuss some of the basic properties of Qmatrices
and explain their connection with continuoustime Markov chains.
Let I be a countable set. A Qmatrix on I is a matrix Q = (qij : i,j E I)
satisfying the following conditions:
2.1 Qmatrices 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 offdiagonal entries to be any non
negative real numbers, subject only to the constraint that the offdiagonal
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 continuoustime Markov chain
is by means of a diagram, for example:
1
3
1
2
Each diagram then corresponds to a unique Qmatrix, in this case
Q = ( ~ 2 !1 ~ )
2 1 3
Thus each offdiagonal 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. Continuoustime 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 matrixvalued power series
P(t) = f: ( t ~ ) k
k=O
2.1 Qmatrices and their exponentials 63
has infinite radius of convergence (see Section 2.10). So each component is
differentiable with derivative given by termbyterm 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 termbyterm 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 Qmatrices. 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 Qmatrix 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) """ """ (n1) """ (n1) """ 0
LJ qik = LJ LJ qij qjk = LJ qij LJ qjk = .
kEI kEI jEI jEI kEI
64
So
2. Continuoustime 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 Qmatrix, we
can do some sort of fillingin of gaps at the level of processes. Fix some
large integer m and let be discretetime 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 discretetime Markov(.x, (eQ/m)m) (see Exer
cise 1.1.2) and
Thus we can find discretetime Markov chains with arbitrarily fine
grids {n/m : n = 0,1,2, ... } as timeparameter 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 continuoustime
process which also has this property.
To anticipate a little, we shall see in Section 2.8 that a continuoustime
Markov chain with Qmatrix 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 discretetime 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 Qmatrices and their exponentials 65
Example 2.1.3
We calculate PII(t) for the continuoustime Markov chain with Qmatrix
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. Continuoustime Markov chains I
A A A
... ..... .. ... ..
o 1 2 Nl N
Q=
Example 2.1.4
We calculate Pij(t) for the continuoustime Markov chain with diagram
given above. The Qmatrix is
A A
A A
A
A A
o
where entries off the diagonal and superdiagonal are all zero. The expo
nential of an uppertriangular matrix is uppertriangular, so Pij(t) = 0 for
i > j. In components the forward equation P'(t) = P(t)Q reads
= APii(t),
= APij(t) + APi,jl (t),
= APiNl(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)ji
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 Continuoustime random processes
2.1.2 Which of the following matrices is the exponential of a Qmatrix?
67
(a) ( ~ ~ ) (b) ( ~ ~ ) (c) ( ~ ~ ) .
What consequences do your answers have for the discretetime Markov
chains with these transition matrices?
2.2 Continuoustime random processes
Let I be a countable set. A continuoustime 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 discretetime 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 rightcontinuous. 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 rightcontinuous process can
be determined from its finitedimensional 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. Continuoustime Markov chains I
Every path t ~ Xt(w) of a rightcontinuous 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 Continuoustime 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 rightcontinuity 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 discretetime process given by Y
n
= X
Jn
is called the jump
process of or the jump chain if it is a discretetime 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. Continuoustime 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 = AI.
The exponential distribution plays a fundamental role in continuoustime
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) eA(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 continuoustime 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. Continuoustime 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 continuoustime 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
qkeqkBP(Tj > s for all j 1= k)ds
= (OO qk
e

qkB
IT eqjBds
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 continuoustime 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)nl,
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 continuoustime
Markov chains. We shall also see that they may serve as building blocks
for the most general continuoustime 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 warmup 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. Continuoustime 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 rightcontinuous
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 Qmatrix 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. Continuoustime 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 realvalued 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, rightcontinuous 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))Pjl (t) +o(h)
so
Pj(t +  Pj(t) = >'Pj(t) + >'Pjl(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 finitedimensional 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. Continuoustime 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) = Pji(t), and we could rewrite the
differential equations as
= APiO(t),
= APi,jl(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 Jl, respectively, then (X
t
+ is a Poisson process of rate
A+ Jl.
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  Jlh + o(h), P(¥t+h  yt = 1) = Jlh + 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  Jlh + o(h)) = 1  (A + Jl)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  Jlh +o(h)) + (1  Ah +o(h) )(Jlh +o(h))
= (A + Jl)h + o(h).
Hence is a Poisson process of rate A+ Jl. 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 finitedimensional 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(tu) /(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. Continuoustime 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 fastmoving 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 halfway?
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 rightcontinuous 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. Continuoustime Markov chains I
ql q2 q3
~ . ~ . .. .
o 1 2 3 4
The flow diagram is shown above and the Qmatrix 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 = iX. 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 ,xeASlE(X
t
I T = s )ds + e
At
•
Put Jl(t) = E(X
t
), then E(X
t
IT = s) = 2Jl(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. Continuoustime 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, rightcontinuous 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,jl(t)(qjlh +o(h)) +o(h)
86
so
2. Continuoustime 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 continuoustime 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 continuoustime 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 continuoustime Markov
chain on I are given in the form of a Qmatrix. Recall that a Qmatrix 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 offdiagonal 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 offdiagonal 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 discretetime 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 Qmatrix
Q = ( ~ 2 ~ 1 ~ )
2 1 3
88
has diagram:
2. Continuoustime 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 continuoustime 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 discretetime 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(Yn1) 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 Qmatrix, 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 =
Jr'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
statespace 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 Qmatrix 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. Continuoustime 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
statespace 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 Qmatrix Q is explosive if, for the associated Markov chain
Pi (( < 00) > 0 for some i E I.
Otherwise Q is nonexplosive. 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 continuoustime 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. Continuoustime 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 nonexplosive;
(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,il = Jlqi
and qij = °if Ij  il 2, where A + Jl = 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 Jl = 0, write down a necessary and sufficient condition
for to be explosive. Why is this condition necessary for to
be explosive for all Jl E [0,1/2)?
Show that, in general, is nonexplosive if and only if one of the
following conditions holds:
(i) A = Jl;
(ii) A > Jl and 1/qi = 00;
(iii) A < Jl and = 00.
2.8 Forward and backward equations
Although the definition of a continuoustime 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 continuoustime 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 continuoustime Markov chains. We shall
present first a version for the case of finite statespace, where there is a
94 2. Continuoustime 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 rightcontinuous process with values in
a finite set I. Let Q be a Qmatrix 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 discretetime 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  eqih)7rijeqjh = 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. Continuoustime 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 statespace. 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 Qmatrix. Then the backward equation
P'(t) = QP(t), P(O) = I
has a minimal nonnegative 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 nonnegative 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 statespace. There
are just two alternative definitions now as the infinitesimal characterization
become problematic for infinite statespace.
2.8 Forward and backward equations 97
(2.2)
Theorem 2.8.4. Let be a minimal rightcontinuous process with
values in I. Let Q be a Qmatrix 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 discretetime 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
qieQiS7rikPkj(t  s)ds.
Therefore
Pij(t) = JP>i(X
t
= j, t < J1) + LJP>i(J1 ::; t, XJl = k, X
t
= j)
k#i
= eQit8ij + 2: t qieQiS7rikPkj(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. Continuoustime 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 nonnegative solution of the back
ward equation, then P(t) ~ P(t), hence P(t) is the minimal nonnegative
solution.
The argument used to prove (2.1) also shows that
JP>i(X
t
=j,t < I
n
+l)
= eqit15ij + L rt qieQiS7rikJP>k(Xts = 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+ltn = 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 statespace. Remember that the finite statespace 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
reversetime Markov property to give the conditional distribution. We need
the following timereversal identity, a simple version of which was given in
Theorem 2.3.4.
100 2. Continuoustime 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 lefthand side is given by
{ qi
n
exp{qi
n
(t  Sl  · · ·  sn)} IT qikl exp{qikl 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 qink+l exp{qink+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 nonnegative solution (P(t) : t 2: 0) of the
backward equation is also the minimal nonnegative 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 qjeQjBJP>k(Jn_1 ::; t  S < I
n
I Yn1 = i)ds
= qi I
t
e
QjB
(qk/qi)JP>i (In1 ::; 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) = 8ijeqit + f '2: it JP>i(Jnl ::; t  s < I
n
I Y
n

1
= k)
n=lki=i 0
X IPi(Y
n

1
= k, Y
n
= j)Qkeqj8ds
00 ft
=8ijeqit + L L io JP>i(Jnl ::; t  s< I
n
, Y
n

1
= k)qk'lrkjeqjSds
n=lki=i 0
= 8ijeqit + t '2:Pik(t  s)qkjeqjSds (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 lefthand 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. Continuoustime 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
)
= 8ijeqit + L (t IP\(X
t
= j, t < In)qkjeQjBds. (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 ninelegged 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 birthanddeath 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 Nonminimal chains
and deduce that if A =I Jl then
2.9 Nonminimal chains
103
This book concentrates entirely on processes which are rightcontinuous
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 Qmatrix 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 continuoustime 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 = L2i < 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. Continuoustime 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 rightcontinuous. Here is an altogether more exotic example,
due to P. Levy, which is not even rightcontinuous. 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\Dnl) 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 (HoldenDay, San Francisco, 1971).
We hope these three examples will serve to suggest some of the possibil
ities for more general continuoustime 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 realvalued 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. Continuoustime Markov chains I
IQvI
2
= 2
( IIQllooIVjl) 2
= ( IVjl) 2
and, by the CauchySchwarz 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
Continuoustime Markov chains II
This chapter brings together the discretetime and continuoustime theo
ries, allowing us to deduce analogues, for continuoustime 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 Qmatrix 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 Qmatrix 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 substochastic 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 Qmatrix is a semigroup (P(t) : t 2 0) of substochastic
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 rightcontinuous random process, jump times, holding
times, jump chain and explosion. Briefly, a rightcontinuous 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 discretetime 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 rightcontinuous process is
determined by its jump chain and holding times.
The data for a continuoustime Markov chain ( X t ) t ~ O are a distribution
X and a Qmatrix Q. The distribution X gives the initial distribution, the
distribution of X
o
. The Qmatrix 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
= inI, 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. Continuoustime 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 substochastic, 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 continuoustime chains done in this chapter. Note that
we have not yet said how the semigroup P(t) is associated to the Qmatrix
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 nonnegative 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 nonnegative 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 continuoustime 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 discretetime 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 ... Qinli
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) ... Pinlin (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 discretetime, 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. Continuoustime 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 nonnegative 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 discretetime 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 nonnegative 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(DAJ
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. Continuoustime 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
indnYin·
So, if y is nonnegative
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 continuoustime 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. Continuoustime 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
discretetime 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 teabreak. Independently of
how many customers are in the queue, he fluctuates between these states
as a Markov chain Y on {A, B} with Qmatrix
(
a a)
(3 (3 .
The total service time for any customer is exponentially distributed with
parameter Jl 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 statespace
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 discretetime theory, the notions of invariant distribution
and measure play an important role in the study of continuoustime Markov
chains. We say that A is invariant if
AQ=O.
Theorem 3.5.1. Let Q be a Qmatrix 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 tieup 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. Continuoustime 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
discretetime case positive recurrence is tied up with the existence of an
invariant distribution.
Theorem 3.5.3. Let Q be an irreducible Qmatrix. Then the following
are equivalent:
(i) every state is positive recurrent;
(ii) some state i is positive recurrent;
(iii) Q is nonexplosive 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 Jli = (Jl; : 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
Nil
= 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 nonexplosive, by Theorem 2.7.1. We know that "ill =
"i by Theorem 1.7.5, so JliQ = 0 by Theorem 3.5.1. But Jli has finite total
mass
L Jl; = Ei(Ti) = mi
jEI
so we obtain an invariant distribution A by setting Aj = Jl;/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 continuoustime 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  Jl < 1:
1
AqO
...   ~   .......     
o iI i i+1
The jump chain behaves as a simple random walk away from 0, so ( X t ) ( ~ O
is recurrent if A ~ Jl and transient if A > Jl. To compute an invariant
measure v it is convenient to use the detailed balance equations
for all i, j.
120 3. Continuoustime Markov chains II
Look ahead to Lemma 3.7.2 to see that any solution is invariant. In this
case the nonzero 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 statespace: 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 statespace, 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 nonexplosive 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 nonexplosive Qmatrix 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 discretetime, 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 Qmatrix 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. Continuoustime Markov chains II
Theorem 3.6.2 (Convergence to equilibrium). Let Q be an irre
ducible nonexplosive Qmatrix 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 hskeleton
Zn = Xnh. By Theorem 2.8.4
so is discretetime 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 discretetime 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 Qmatrix 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 Qmatrix
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 Qmatrix 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 singleserver 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 Jl. Service require
ments are independent of one another and of the arrival process. Write
down the generator matrix Q of a continuoustime 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 continuoustime chains has the same features found in the
discretetime 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. Continuoustime 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: rightcontinuous processes
become leftcontinuous processes. For the processes we consider, this is
unimportant. We could if we wished redefine the timereversed 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 nonexplosive 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 nonexplosive with invariant distribution A.
Proof. By Theorem 2.8.6, the semigroup (P(t) : t 2: 0) of Q is the minimal
nonnegative 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 Qmatrix, and
P(t) is then its minimal nonnegative solution. Hence Qis irreducible and
nonexplosive and has invariant distribution A.
Finally, for 0 = to < ... < t
n
= T and Sk = tk  tk1, by Theorem 2.8.4
we have
P(X
to
= io, ... ,X
tn
= in) = P(XTto = io, ... ,X
T

tn
= in)
= AinPininl (sn) ... Pi
l
io (Sl)
= AioPioi
l
(Sl) ... Pinlin (Sn)
SO, by Theorem 2.8.4 again, is Markov(A, Q). D
The chain is called the timereversal of
A Qmatrix 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. nonexplosive.
We say that ( X t ) ( ~ O is reversible if, for all T > 0, (XTt)OstsT is also
Markov(A, Q).
Theorem 3.7.3. Let Q be an irreducible and nonexplosive Qmatrix 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 Jl, 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 Jl. 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 AIJl.
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 neJLt + A(l  eJLt)1Jl.
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
Longrun averages for continuoustime chains display the same sort of be
haviour as in the discretetime case, and for similar reasons. Here is the
result.
126 3. Continuoustime 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 longrun 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 higherlevel 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
iI
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)
nl
= :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
nl
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 counterintuitive 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 realvalued and we do not in general insist that
the statespace 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:
nl
= 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 statespace, 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 discretetime 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 continuoustime 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 discretetime 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
Tl
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 discretetime random walk on Z with transition prob
abilities Pi,il = 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 + qcPl = 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 nonnegative 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
pq)
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
sidebyside. Throughout, we shall write ( X n ) n ~ O for a discretetime chain
with transition matrix P, and ( X t ) t ~ O for a continuoustime chain with
generator matrix Q. As usual, we insist that ( X t ) ( ~ O be minimal.
Let us partition the statespace 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 nonnegative, 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 nonempty.
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'" Pjn2jnl Cjn_l
jlED jnIED
+ L '" L L PijI'" Pjnlin !jn
jlED jnIEDjnEaD
+ 2: ... L Pijl · · · Pjnlin'ljJjn
jlED jnED
= E
i
(c(XO)lT>O + !(XdlT=l + C(Xdlr>l
+ ···+C(Xn1)lT>nl +!(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
nl
Mn = L c(Xk)lk<T + f(XT )IT<n +'ljJ(Xn)ln::;T'
k==O
Then
nl
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 continuoustime 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 nonnegative
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 nonnegative. Set
where T is the hitting time of aD. Then cP = (cPi : i E I), if finite, is the
minimal nonnegative 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 nonnegative 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 nonnegative 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 (fanIc(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 discretetime
result where the discount factor may depend on the current state.
Theorem 4.2.6. Assume that ( X t ) t ~ O is nonexplosive. 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 nonnegative. 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 (XQ)1jJ = c, then (XQ)(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 nonnegative 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 statespace 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
nonnegative 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 statespace. The linear equations for the vector h
a
read
{
ha = Ph
a
h ~ = 1, hg = o.
Thus we can find two nonnegative functions h
a
and h
b
, harmonic in D,
but with different boundary values. In fact, the most general nonnegative
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 nonnegative 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
nonnegative harmonic functions cP. We must have
cPi = PcPi+l + qcPil
cPo = +
cPi = qcPi+l + PcPil
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 nonnegative provided A + B O. Similarly, the third equation
has general solution
cPi = A' + B' (1  (q/p)i) for i = 0, 1, 2, ... ,
nonnegative provided A' + B' O. To obtain a general harmonic function
we must match the values cPo and satisfy cPo = (cPl + cPl)/2. This forces
A = A' and B + B' = O. It follows that all nonnegative 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 onetoone 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 longtime behaviour of
the chain. For we have
The suggestion of this example, which is fully developed other works, is
that the set of nonnegative 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 statespace, 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 (NorthHolland, 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 nonnegative
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 nonnegative harmonic
functions.
Exercises
4.2.1 Consider a discretetime 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 continuoustime chains?
4.2.2 Prove the fact claimed in Example 4.2.8 that
4.2.3 Let (Ci : i E I) be a nonnegative 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 continuoustime, 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 nonempty. 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 nonempty.
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,) LJ 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 timechanged 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 Qmatrix 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 scaleddown and speededup 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 squareroot of the timescaling? Well, if
we hope that xi
c
) converges in some sense as c ~ 00 to a nondegenerate
limit, we will at least want IE[lxi
c
) 1
2
] to converge to a nondegenerate limit.
For ct E Z+ we have
so the squareroot 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 realvalued 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 realvalued 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 realvalued process (Xt)t;:::o is said to be continuous if
lP({w : t..+ Xt(w) is continuous}) = 1.
A continuous realvalued 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)  BiNI).
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\DNl)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,Xp1IP(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(p2)/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 discretetime realvalued 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 tkl' k = a tk  tkl
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]  [etkI]. 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 integervalued 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 JRdvalued 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
continuoustime 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 continuoustime 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 statespace jRd. They did not appear for Markov chains because a dis
crete statespace 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 measuretheoretic 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 statespace
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 ]Rdvalued 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 absentminded professor is caught
without an umbrella. In a realworld 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 longrun
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
anddeath 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 nfold
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 Jl = 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 Jl > 1, where Jl 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 nonnegative solution of this equation provides a nonnegative
solution of the hitting probability equations, so we deduce that ql is the
smallest nonnegative 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)(si,i+l) = Asi, q(s,i)(s,il) = /li
for some .x, /l E (0, 00). Since St + It does not increase, we effectively
have a finite statespace. 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
Nl 1 Nl N Nl(l 1) Nl
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 (WrightFisher model)
This is the discretetime 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
JL = mv/(u +v).
Example 5.1.4 (Moran model)
The Moran model is the birthanddeath chain on {O, 1, ... ,m} with tran
sition probabilities
Pi,il = 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 makeup 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 WrightFisher 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 WrightFisher 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,i1
k
t1 +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 = ((mi)/(mj))k;
where k; is determined by
for i ~ j
for i ~ j
(
m
j
l jl). m
2
 2+ k ~ =
mj j j j(mj)
which gives k; = m. Hence
m1 { i ( . ) m1. }
ki=Lkf=m L m=z. + L ~ ·
j=1 j=1 m J j=i+1 J
As in the WrightFisher model, one is really interested in the case where
m is large, and i = pm for some P E (0,1). Then
mp 1 m1 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 WrightFisher 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 WrightFisher 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
nl
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
nl
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
longrun 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 interarrival times and service times have exponential
distributions, ( X t ) t ~ O turns out to be a continuoustime 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 interarrival times only are exponential, an analysis is still pos
sible, by exploiting the memorylessness of the Poisson process of arrivals,
and a certain discretetime 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 arrivaltime and servicetime 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 interarrival
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 Jl. Then the number of customers in the queue
( X t ) t ~ O evolves as a Markov chain with the following diagram:
Jl A Jl 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 = iI if T < A, XJl = i + 1 if
T > A, which events are independent of J
1
, with probabilities Jl/(A+Jl) and
A/(A+Jl) respectively. If we condition on J
1
= T, then AJ
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 ,\ > Jl then ( X t ) t ~ O is transient,
that is X
t
~ 00 as t ~ 00. Thus if A > Jl the queue grows without limit
in the long term. When A < Jl, ( X t ) t ~ O is positive recurrent with invariant
distribution
So when A < Jl 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/(Jl  A).
Another quantity of interest is the mean waiting time for a typical customer,
when A < Jl and the queue is in equilibrium. Conditional on finding a queue
of length i on arrival, this is (i + 1)I Jl, 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 AtlJl  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, longrun 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 Jl. Then if i servers are occupied, the first service is
completed at the minimum of i independent exponential times of parameter
Jl. The first service time is therefore exponential of parameter iJl. The total
service rate increases to a maximum SJl 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 Jl A 2Jl A
•• ••• •••
012
SJl A SJl A
• •• •••
s s+l
So this time we obtain a birthanddeath chain. It is transient in the
case A > SJl 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 < SJl. 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 AIJl:
When S = 00 we normalize 1r by taking 1ro = e)../JL so that
and the invariant distribution is Poisson of parameter AIJl.
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 < SJl, so there is an invariant distribution, and
consider the queue in equilibrium. The detailed balance equations hold and
is nonexplosive, 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 counterintuitive, 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 JL A 2JL A
• I( • I( •
012
sl 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 longrun proportion of time that the exchange
is full, and hence the longrun 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 statespace I which performs
a Markov chain with irreducible Qmatrix 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 statespace, 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 statespace 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 Qmatrix Q we define a function bi : I + I
by
Thus bi adds a particle at i. Then for i =I j the nonzero 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 Nparticle 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 nonzero 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 Qmatrix Q on
I U {8} with offdiagonal 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(l1ri), 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 servicetime distribution.
This is desirable because it makes the queue size into a continuoustime
Markov chain, but it is obviously inappropriate in many realworld 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
servicetime 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 LebesgueStieltjes integral: when T has
a density function f(t) we can replace dF(t) by f(t)dt.) Then the mean
service time Jl is given by
Jl = 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 discretetime 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
eAt(lZ)dF(t) = £('\(1  z)).
Set p = E(Y
n
) = AJl. 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 servicetime 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) = (lp)A' (z) (1 z) (lp)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)(lz) + A(z)z lim A"(z)(lz) _ __A_"_(l__)
zjl (A(Z)Z)2  zjl 2(A'(z)1) (A(z)z)  2(1p)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 = AIJl, E(T
2
) = 2/Jl2 and E(X
n
) =
p/(l  p) = A/(Jl  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)(lZ)) = 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
ewte>.t(lB(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= (lF(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
= eAPt(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 longrun 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 longrun proportion of demand that is unmet is
c
u(m) = L 7l"i
U
i·
i==O
The longrun 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
longrun 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 longrun 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 integervalued 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 longrun 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
ij+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 finitecapacity model. In the case where IE(A
n
) < 1, we can deduce for
the finitecapacity model that the longrun 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 finitecapacity 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 longrun 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 longrun 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 longterm 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 interarrival
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
interarrival times Tn and service times Y
n
. We know by Example 5.2.7 that
the queuelength distribution converges to equilibrium. Hence, so does the
5.4 Markov decision processes 197
queueingtime distribution. Also by Example 5.2.7, we know the Laplace
transform of the equilibrium queueingtime 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 longrun
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 iI, 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 = iI
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
nl
M
n
= VONnU(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))VoNnlu(j) + c(X
n
, u*(X
n
))
jEI
nl
+ LC(Xk,U*(Xk))
k=O
where we used (5.10) with u replaced by (INnl 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 longrun 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 nl
;;: LC(Xk,U(Xk)) ~ L
7r
j
c
U,u(j))
k=O JEI
as n ~ 00, Pialmost 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 longrun 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
nl
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 (HoldenDay, 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 pseudorandom 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 statespace 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 statespace 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 statespace 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 n1
 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. 340, 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 Jl 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 Jl 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 = (Jl, T) with density 7r(Jl, 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(Jl, T). At the kth stage,
given X
k
= (Jlk, Tk), we first simulate Jlk+1 from 7r(Jl I y, Tk) and then Tk+1
from 7r(T I y,Jlk+1), then set Xk+1 = (Jlk+1,Tk+1). Then ( X k ) k ~ O is a
Markov chain in I with invariant measure 7r(Jl, T I y), and one can show
that
k1
~ ~ 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(Jl, T I y) ex exp { ¢o ~ ( J  l j  ( 0 )2/2}
x exp { Tt.~ ( Y i j  Jlj)2/2} TQoHmn/2 exp{,8oT}.
Hence the full conditional distributions are
where
n m
On = 00 + mn/2, ,8n = f30 + L L(Yij  Jlj)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 twodimensional 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. 'Cleanedup' 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 statespace is at worst countable. The proofs we have given may be read
on two levels, with or without a measuretheoretic 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 continuoustime 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 1rsystems, which are often more
convenient than aalgebras.
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 statespace 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 nt 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 aalgebra £ 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 Jl on (E, £) is a function Jl : £ ~ [0,00] which has the following
countable additivity property:
The triple (E, £, Jl) is called a measure space. If there exist sets En E £,
n E N with Un En = E and Jl(E
n
) < 00 for all n, then we say Jl is afinite.
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 afinite measures Jl 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 aalgebras is
again a aalgebra. The collection of aalgebras containing A is therefore
nonempty and its intersection is a aalgebra a(A), which is called the
aalgebra 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 aalgebra B generated by A is called the Borel aalgebra 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 f1(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
aalgebra 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 aalgebra 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 statespace I, a random variable X : 0 ~ I
models a random state, with distribution
Ai = P(X = i) = p({w : X(w) = i}).
To every nonnegative or integrable realvalued 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 realvalued 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, £, Jt) be a measure
space and let be a sequence of nonnegative measurable functions.
Then, as n 00
(fn(x) i f(x) for all x E E) :::} Jt(fn) i Jt(f)·
Theorem 6.4.2 (Fubini's theorem). Let (E
1
, £1, Jl1) and (E
2
, £2, Jl2) be
two afinite 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)Jt1(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)Jl2(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
nonnegative 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, £, Jt) is
afinite: just take E
2
= {I, 2, 3, ... } and Jt2( {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, Jt1) to be [0,00) with Lebesgue measure and
(E
2
, £2, Jt2) to be the probability space with the measure Pi.
6.5 Stopping times and the strong Markov property
The strong Markov property for continuoustime 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 aalgebra. 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 measuretheoretic
account of the strong Markov property.
Let be a rightcontinuous process with values in a countable set
I. Denote by F
t
the aalgebra 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::;tl/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 FTmeasurable.
Proof. Since is rightcontinuous, 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 FTmeasurable.
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 aalgebra 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 aalgebra, 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 Qmmeasurable 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 Qmmeasurable.
. 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 aalgebras
For both discretetime and continuoustime 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 measuretheoretic 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 7rsystem 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 aalgebra 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 7rsystem A generating :F.
Then PI = P
2
·
Proof. Consider
6.6 Uniqueness of probabilities and independence of aalgebras 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 dsystem. Since
A generates F, the result now follows from the following lemma. D
Lemma 6.6.2 (Dynkin's 1rsystem lemma). Let A be a 1rsystem and
let V be a dsystem. Suppose A ~ V. Then a(A) ~ V.
Proof. Any intersection of dsystems is again a dsystem, so we may without
loss assume that V is the smallest dsystem containing A. You may easily
check that any dsystem which is also a 1rsystem is necessarily a aalgebra,
so it suffices to show V is a 1rsystem. 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 1rsystem, A ~ VI. You may easily check that VI is adsystem
 because V is a dsystem. Since V is the smallest dsystem 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 adsystem.
Hence also V
2
= V. But this shows V is a 1rsystem. D
The notion of independence used in advanced probability is the indepen
dence of aalgebras. Suppose that (0, F, P) is a probability space and F
1
and F
2
are subaalgebras 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 1rsystem generating F
1
and let A2 be a
1rsystem 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 discretetime 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
1rsystem which generates the aalgebra a(X
n
: n 0). Hence, by Theorem
6.6.1, our definition determines (in principle) the probabilities of all events
in this aalgebra.
In our general discussion of continuoustime random processes in Section
2.2 we claimed that for a rightcontinuous 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 1rsystem which
generates the aalgebra a(X
t
: t 0). So Theorem 6.6.1 justifies (a precise
version) of this claim. The point about rightcontinuity 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 aalgebras 231
Section 2.2 shows that this event is measurable in the rightcontinuous case.
We conclude that, without some assumption like rightcontinuity, general
continuoustime processes are unreasonable.
Consider now the method of describing a minimal rightcontinuous 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 Fmeasurable. 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 useful1rsystem 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 continuoustime chain
with initial distribution .x and generator matrix Q may be read
as stating that, for such events
l1J)(B)  \ . I'fr.. I'fr. • eqio81 eqin18n
C  A'tO"'tO'tl ••• "'tnl'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 aalgebras 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), 340.
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, HoldenDay, 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, NorthHolland, 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,
HoldenDay, 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
birthanddeath 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
continuoustime Markov chains 87
construction 89
infinitesimal definition 94
jump chain/holding time definition
94, 97
transition probability definition
94, 97
continuoustime 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 continuoustime chains 90
explosion time 69
explosive Qmatrix 91
exponential distribution 70
F
n
, filtration 129
fair price 135
filtration 129
finitedimensional 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
GaltonWatson 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, statespace 2
infective 173
integrable 129, 222
integral form of the backward
equation 98
integral form of the forward equation
101
interarrival 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
longrun 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
continuoustime 88
discretetime 2
Markov chain Monte Carlo 206, 208
Markov decision process 197
expected total cost 198
expected total discounted cost 202
longrun average costs 204
Markov property 3
for birth processes 84
for continuoustime 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 nonnegative solution 13
minimal process 69
monotone convergence 223
discrete case 219
Moran model 177
mutation 6, 176
nonminimal 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 ) , nstep transition probability 5
II, jump matrix 87
1rsystem 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
Qmatrix 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 183185
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
rightcontinuous 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
statespace 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
successrun 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
WrightFisher 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 100114211, 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 CataloguinginPublication Data is available
ISBN 0521481813 hardback ISBN 0521633966 paperback
For my parents
Contents
Preface Introduction 1. Discretetime 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. Continuoustime Markov chains I 2.1 Qmatrices and their exponentials 2.2 Continuoustime 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
Appendix: probability and measure 6.6 Convergence to equilibrium 3.4 Poisson processes 2.1 Basic properties 3.7 Time reversal 3.1 Martingales 4.1 Countable sets and countable sums 6.3 Markov chains in resource management 5.2 Queues and queueing networks 5.6 Uniqueness of probabilities and independence of aalgebras Further reading Index .3 Hitting times and absorption probabilities 3.2 Class structure 3.10 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 3.8 Forward and backward equations 2.5 Birth processes 2.3 Electrical networks 4. Applications 5.8 Ergodic theorem 4. Continuoustime Markov chains II 3.viii Contents 2.5 Markov chain Monte Carlo 6.3 Probability spaces and expectation 6.1 Markov chains in biology 5.4 Brownian motion 5. Further theory 4.4 Markov decision processes 5.7 Explosion 2.5 Stopping times and the strong Markov property 6.5 Invariant distributions 3.9 Nonminimal chains 2.6 Jump chain and holding times 2.4 Recurrence and transience 3.2 Basic facts of measure theory 6.2 Potential theory 4.4 Monotone convergence and Fubini's theorem 6.
In particular. Chapter 1 deals with the theory of discretetime Markov chains. The basic pattern of Chapter 1 is repeated in Chapter 3 for continuoustime chains. Careful proofs are given throughout. 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. There is a selection of exercises. and is developed from a course taught to undergraduates for several years. which forms the basis of classwork done by the students. This book is an account of the elementary theory of Markov chains. and is the basis of all that follows. In between. At the same time. making it easy to follow the development byanalogy. and which has been tested over several years. The material is quite straightforward and the ideas introduced permeate the whole book. You must begin here. Their simple structure makes it possible to say a great deal about their behaviour. The first half of the book is based on lecture notes for the undergraduate course. It was conceived as a text for advanced undergraduates or master's level students. the class of Markov chains is rich enough to serve in many applications.Preface Markov chains are the simplest mathematical models for random phenomena evolving in time. with applications. Indeed. Illustrative examples introduce many of the key ideas. Chapter 2 explains how to set up the theory of continuous . There are no strict prerequisites but it is envisaged that the reader will have taken a course in elementary probability. This makes Markov chains the first and most important examples of random processes. measure theory is not a prerequisite.
we use excursions and the strong Markov property to obtain conditions for recurrence and transience. and the ergodic theorem for longrun averages. and convergence to equilibrium is proved by the coupling method. Chapter 5 is devoted to applications. convergence to equilibrium.I inherited parts of it from Martin Barlow and Chris Rogers. We have left measure theory in the background. exploiting to the full the probabilistic viewpoint. or very easily made rigorous. 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. Overall. Markov decision processes and Monte Carlo simulation. potentials. The second half of the book comprises three independent chapters intended to complement the first half. when considered in measuretheoretic terms. Some further details are given in Chapter 6. such as martingales.x Preface time chains. hitting probabilities. The course on which it is based has evolved over many years and under many hands . but the proofs are intended to be rigorous. in the context of elementary Markov chains. All the results are proved. and establish analogues of all the main results obtained for discrete time. I believe that this restriction in scope is desirable for the greater coherence and depth it allows. expected hitting times and invariant distributions. In some sections the style is a little more demanding. No conditions of uniformly bounded rates are needed. reversibility. The student has the option to take Chapter 3 first. Geoffrey Grim . beginning with simple examples such as the Poisson process and chains with finite state space. Richard Gibbens. electrical networks and Brownian motion. In Chapters 2 and 3 we proceed via the jump chain/holding time construction to treat all rightcontinuous. Chapter 6 is an appendix to the main text. to study the properties of continuoustime chains before the technically more demanding construction. The following paragraph is directed primarily at an instructor and assumes some familiarity with the subject. some of the ideas crucial to the advanced study of Markov processes. minimal continuoustime chains. For example. The treatment of discretetime chains in Chapter 1 includes the calculation of transition probabilities. 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. for example to population growth. queues and networks of queues. Also treated are recurrence and transience. In recent years it has been given by Doug Kennedy and Colin Sparrow. Chapter 4 introduces. mathematical genetics.
Brian Ripley and David Williams made constructive suggestions for improvement of an early version. and to Sarah SheaSimonds who typeset the whole book with efficiency. 1996 James Norris .Preface xi mett.and ambiguities. I am especially grateful to David Thanah at Cambridge University Press for his suggestion to write the book and for his continuing support. Cambridge. Violet Lo and David Rose pointed out many typos . Meena Lakshmanan. Frank Kelly and Gareth Roberts gave expert advice at various stages. precision and good humour.
Such a process is called a Markov process. 2. but also the lack of memory property makes it possible to predict how a Markov chain may behave. k will always denote integers. Thus we write (Xn)n~O for a discretetime process and (Xt)t~O for a continuoustime 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. as you will see throughout the book. In this introduction we shall discuss a few very simple examples and preview some of the questions which the general theory will answer. 1. This means that only the current state of the process can influence where it goes next. together with many examples and applications. The letters n. } t E jR+ = [0. and to compute probabilities and expected values which quantify that behaviour. (0).Introduction This book is about a certain sort of random process. whereas t and s will refer to real numbers. . Examples of Markov chains abound.. m. The characteristic property of this sort of process is that it retains no memory of where it has been in the past. In this book we shall present general techniques for the analysis of Markov chains. What makes them important is that not only do Markov chains model many phenomena of interest. We shall consider chains both in discrete time n E Z+ and continuous time = {O.
E(A) for short.. otherwise stay at 2. and so on. this does not convey any more information and we prefer to leave the loops out.. The resulting process is called the Poisson process of rate A. . Thus the density function of the waiting time T is given by for t We write T rv A ~ o.~... But since the total probability on jumping from 2 must equal 1. then jump to 1. We might have drawn a loop from 2 to itself with label 2/3. From state 3 you move either to 1 or to 2 with equal probability 1/2. (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. 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.. and from 2 you jump to 3 with probability 1/3. 1 When in state 0 you wait for a random time with exponential distribution of parameter A E (0..XIV Introduction Markov chains are often best described by diagrams. (iii) (Continuous time) o • • A 1 • A 2 3 4 Here. 00 ).
6} is periodic. and if T2 is the smaller you go to 2 after time T 2 . the probability of hitting 6 is 1/4. 3} and {4. . You might like to try from first principles. 5. Two of these classes are closed. 3} is not. but {I. The class {4. if T 1 is the smaller you go to 1 after time T 1 . the longrun proportion of time spent in 2 is 3/8. It is a simple matter to show that the time spent in 3 is exponential of parameter 2 + 4 = 6. (d) Starting from 1. We shall show how to establish the following facts by solving some simple linear/ equations. The states may be partitioned into communicating classes. 2. {I. and that the probability of jumping from 3 to 1 is 2/(2 + 4) = 1/3. the probability of hitting 3 is 1. (v) (Discrete time) 3 6 2 5 o We use this example to anticipate some of the ideas discussed in detail in Chapter 1. namely {O}.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). (c) Starting from 1. 5. meaning that you cannot escape. The rules for states 1 and 2 are as given in examples (ii) and (iii). 2. meaning that you return again and again to every state. 6}. The closed classes here are recurrent. The details are given later. (b) Starting from 1. (a) Starting from 0. The class {O} is transient. it takes on average three steps to hit 3.
Then we have: (e) lim POI n+oo = 9/32. (f) P04 does not converge as n ~ 00. (g) lim pg4 = 1/124. n+oo .xvi Introduction Let us write pij for the probability starting from i of being in state j after n steps.
so a large number are worked out in the text. We work'throughout with a probability space (0.1 Definition and basic properties Let I be a countable set.9. Theorem 1. Theorem 1.5. Discretetime Markov chains are defined and their behaviour is investigated. . and Theorem 1. For better orientation we now list the key theorems: these are Theorems 1. F.3.2 and 1.3 on convergence to equilibrium. Theorem 1.4. Each i E I is called a state and I is called the statespace.5 on hitting times. Exercises at the end of each section are an important part of the exposition. then we call A a distribution. Suppose we set Ai = IF(X = i) = IF( {w : X(w) = i}).3 characterizing recurrence and transience. Once you understand these you will understand the basic theory.2 on the strong Markov property.8.7.3. Recall that a random variable X with values in I is a function X : 0 + I. lP). Part of that understanding will come from familiarity with examples. If in addition the total mass EiEI Ai equals 1.1 Discretetime Markov chains This chapter is the foundation for all that follows.10. 1. Theorem 1.2 on longrun averages.7 on invariant distributions and positive recurrence. Theorem 1. We say that A = (Ai: i E I) is a measure on I if 0 ~ Ai < 00 for all i E I.3 on reversibility.
(ii) P(Xn + 1 == i n + 1 I X o == io. 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.·· . conditional on X n == i. .Xn . (i) P (X 0 == io) == Aio. If (Xn)O~n~N is a finite sequence of random variables satisfying (i) and (ii) for n == 0. for n 2: 0 and io. P). . following result appears to give a more comprehensive description. There is a brief review of some basic facts about countable sets and probability spaces in Chapter 6. .. the distribution of X. Here are two examples: P (Ia (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.N . then we again say (Xn)O~n~N is Markov (A.1. A discretetime random process Markov(A. X n + 1 has distribution (Pij : j E I) and is independent of X o. .in+l E I. these conditions state that. But mathematically the. P) if and only if for all io. Theorem 1. j E I) is stochastic if every row (Pij : j E I) is a distribution. P) for short... ..1 . More explicitly.. and it is the key to some later calculations.iN E I (Xn)O<n<N is .1. It is in terms of properties (i) and (ii) that most realworld examples are seen to be Markov chains.1. (ii) for n ~ 0.Xn == in) == Pi n i n +1 • We say that (Xn)n~O is Markov (A. We think of X as modelling a random state which takes the value i with probability Ai.. There is a onetoone correspondence between stochastic matrices P and the sort of diagrams described in the Introduction. Discretetime Markov chains Then A defines a distribution. . We say that a matrix P == (Pij : i.2 1. .. ...
... P). .··· .. . . .Xm = 8iirnPirnirn+l . for n 0. Suppose (Xn)O~n~N is Markov(A. . Proof. First consider the case of elementaryevents A = {X o = i o. In particular..Xn = in.1.1. D The next result reinforces the idea that Markov chains have no memory. .. P)..N.Xm+n = im+n } n A I X m = i) Xo~. . then by summing both sides over iN E I and using EjEI Pij = 1 we see that (1. ..1) holds for N.I = iNI) On the other hand.. . . .. conditional on X m = i. P). then P(Xo = iO. ... if (1.XN. Theorem 1. (Xm+n)n~O is Markov(8 i .. P(Xn+ 1 = i n+ 1 I X o = io. Then. P(Xo = io) = Aio and. lP(XN = iN I X o = io.1 and.1.XN = iN) = P(Xo = iO)P(XI = il I X o = io) . .N . . P) and is independent of the random variables X o. . ·Pirn+nlirn+nlP(A I Xm = i) (1.1.Xm . We write 8i = (8 ij : j E I) for the unit mass at i.1.1) holds for N . . .1... .Xn = in) So (Xn)O~n~N is Markov(A. Let (Xn)n~O be Markov(A.Xn = in) = P(Xo = i o. .· .. . We have to show that for any event A determined by we have lP({Xm = im.· . by induction for all n = 0.. X n+1 = in+I)/P(XO = i o.Xm = i m }.1 Definition and basic properties 3 Proof.1.XI = i l ...2 (Markov property)..2) then the result follows by Theorem 1. where 8ij ={ ° I ifi=j otherwise.
. So the behaviour of (Xn)n~O under lPi does not depend on A. then A will be an Nvector and P an N x Nmatrix. We extend matrix multiplication to the general case in the obvious way.3.. Then. Theorem 1.. jEI We define pn similarly for any n.1. When I is finite we will often label the states 1. By the Markov property at time m = 0. k=l 00 Then the desired identity (1. For these objects.· .1. . under lPi. In the case where Ai > we shall write Pi(A) for the conditional probability P(A I X o = i). defining a new measure AP and a new matrix p 2 by (AP)j = L iEI AiPij. .Xm = i m and i = im)/lP(Xm = i) which is true by Theorem 1. P)..N. any event A determined by X o. where (I)ij = 8ij . . for all n. Then we shall look at some examples where this may be done explicitly.Xm+n = i m+n and i = im)/P(Xm = i) = biirnPi rn irn+l X Pirn+nl i rn + n lP(Xo = io. Discretetime Markov chains In that case we have to show P(Xo = i o. We agree that pO is the identity matrix I. just as P is a matrix whose entries are indexed by I x I. . . In general. (ii) lP\(Xn = j) = JP(Xn + m = j I X m = i) = p~j) · .Xm may be written as a countable disjoint union of elementary events A= U Ak. 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. j) entry in pn.2. (p2)ik = LPijPjk. (Xn)n~O is Markov(8i . Let (Xn)n~O ° be Markov(A.2) for A follows by summing up the corresponding identities for A k ..4 1. m ~ 0. The context will make it clear when I refers to the statespace and when to the identity matrix. (i) P(Xn = j) = (Apn)j. matrix multiplication is a familiar operation.1. We regard distributions and measures A as row vectors whose components are indexed by I. We write p~j) = (pn)ij for the (i. . P).
a . so we just take A = 8i in (i).. (i) By Theorem 1. D = i..1 5 P(Xn = j) = = ioEI L ·. (Xm+n)n~O is Markov In light of this theorem we call p~j) the nstep transition probability from i to j.11): (n) PII = {_(3_ + a + {3 1 _a_(l_ a a + {3 (3)n for a for a + {3 > 0 + {3 = O.··· . P). (n) This has a unique solution (see Section 1.Xn.1. Example 1. so by eliminating pi~) we get a recurrence relation for pi~): PII (n+I)  (1 .(3) PII + {3 . The following examples give some methods for calculating p~j). L L . .. conditional on X m (8i .I = inI. (n) We also know that pi~) + pi~) = IP\ (Xn = 1 or 2) = 1. X n = j) AioPioil" · PinIi = (Apnk inlEI ioEI inlEI (ii) By the Markov property.1.4 The most general twostate chain has transition matrix of the form p = ( Ia {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 ) . L P(Xo = i o.1.1 Definition and basic properties Proof.
in this example there is a much simpler approach.a. or with probability a mutates to another strain. Pij = a / (N  1) for i =I j. which is chosen at random. this sort of lumping together of states may not produce a Markov chain.1) in Example 1.6 1. and a transition from another state to the initial state with probability a/(N .1.1.) (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 Nstate chain. At any time a transition is made from the initial state to another with probability a. + (1. with N x N transition matrix P given by Pii = 1 .4 we find that the desired probability is !. Thus we have a twostate chain with diagram a/(N . Example 1.1).~)n N N N1· Beware that in examples having less symmetry. In fact.!.1.1) and by putting (3 = a/(N . Discretetime Markov chains Example 1.5 (Virus mutation) Suppose a virus can exist in N different strains and in each generation either stays the same.6 Consider the threestate chain with diagram 1 3 2 1 2 . which relies on exploiting the symmetry present in the mutation rules.
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. The first few values of pi~) are easy to write down. (The justification comes from linear algebra: having distinct eigenvalues. so we get equations to solve for Q.1. The eigenvalues are 1.2 ( . (3 and ~: 1= pi~) = Q p(2) 11  o = pii) O + (3 = + ~l' Q r\J L. that is. First we compute the eigenvalues of P by writing down its characteristic equation o = det (x  P) = x(x  ~)2 . band c. i/2 and from this we deduce that pi~) has the form Pu (n) =a+b 2 .(. (3 aDd~.1 Definition and basic properties and transition matrix 7 p= (~ ~ I)· = ~(x .1)(4x 2 The problem is to find a general formula for pi~).) The answer we want is real and (±~)n = (~)ne±in~/2= (~)n (cosn 7r ±isin n 7r ) 2 so it makes sense to rewrite pi~) in the form for constants Q.  1(3 4 .)n + c (")n ~ ~ for some constants a.~ + 1). P is diagonalizable. i/2.
uniformly distributed on [0. If Y n = Xkn.1. 1].. .3 Let X o be a random variable with values in a countable set I. Suppose we are given a function G : I x [0.) has the form Pij (n) _  alAI \n \n + . the following method may in principle be used to find a formula for p~. Discretetime Markov chains = 1/5. Let YI .. B 2 . (iii) As roots of a polynomial with real coefficients. 1] and define inductively + I Show that (Xn)n~O is a Markov chain and express its transition matrix P in terms of G. (i) Compute the eigenvalues AI.8 SO Q: 1. Exercises 1. + aMAM for some constants al. complex eigenvalues will come in conjugate pairs and these are best written using sine and cosine. • •• be disjoint events with U~l B n = O. say) then the general form includes the term (an+b)A n . (ii) If the eigenvalues are distinct then p~. (b) the conditional distribution of X given Y = y is independent of y.. ~ = 2/5 and More generally. p k ). 1. Y2 . Can all Markov chains be realized in this way? How would you simulate a Markov chain using a computer? .1.1. . . Deduce that if X and Yare discrete random variables then the following are equivalent: (a) X and Yare independent. as in the example. P).AM of P by solving the characteristic equation.2 Suppose that (Xn)n~O is Markov (A. show that (Yn)n~O is Markov (A. be a sequence of independent random variables. ..) for any Mstate chain and any states i and j. If an eigenvalue A is repeated (once. .. ..1 Let B I . (3 = 4/5. Show that if A is another event and P(AIBn ) = P for all n then P(A) = p.aM (depending on i and j). 1. .
1. 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. 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. with all jumps equally likely. + Zn. 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 3 it remembers and chooses A and never forgets. + Sn. but this flea is twice as likely to jump clockwise as anticlockwise. 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 ? . A second flea also hops about on the vertices of a triangle.1. (b) X n = Sn. 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 probability 1/5. Set So = 0. Z1.4 A flea hops about at random on the vertices of a triangle..1 = k) is not independent of k.] 1..5 A die is 'fixed' so that each time it is rolled the score cannot be the same as the preceding score. and in the cases where it is not a Markov chain give an example where P(Xn+1 = ilXn = j. So + . In the cases where (Xn)n~O is a Markov chain find its statespace and transition matrix. By considering the relationship between the two dice find the value of p for the new die. . identically distributed random variables such that Zi = 1 with probability p and Zi = 0 with probability 1 . in state 2 it remembers and chooses A but may forget again. are independent.. 1.. If the first score fS 6. (c) X n = So + . It is in state 1 before the first trial.1.6 An octopus is trained to choose object A from a pair of objects A. X n. (d)X n = (Sn.1.. Find the probability that after n hops the flea is back where it started.. Sn = Z1 + .1 Definition and basic properties 9 Suppose now that Zo..1.p. all other scores having equal probability. . + Sn). In each of the following cases determine whether (Xn)n~O is a Markov chain: (a) X n = Zn.
il.1. ·Pind so that (ii) and (iii) are equivalent. It is sometimes possible to break a Markov chain into smaller pieces. Observe that p~j) ::.. whether this is possible.1. .. ~ ~ j if both i j and j ~ i. Discretetime Markov chains Someone suggests that the record of successive choices (a sequence of As and Bs) might arise from a twostate Markov chain with constant transition probabilities. This is done by identifying the communicating classes of the chain. Also p~j) = L il . Pinli n > 0 for some states io. lPi(Xn =j for some n ~ 0) ::. Theorem 1. .2...3} with transition matrix 1 2/3 1.7 Let (Xn)n~O be a Markov chain on {1.2 Class structure = 1/16.inl Pii 1 P i li2 . (c) p = 1/12. Proof. . each of which is relatively easy to understand.10 1. (iii) p~j) > 0 for some n ~ O.P 0 ) 1/3 0 . 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..in with io = i and in = j. L p~j) n=O 00 which proves the equivalence of (i) and (iii). Discuss... For distinct states i and j the following are equivalent: (i) i (ii) ~ j..2. with reference to the value of Pn+ 1 (A) that you have found. and which together give an understanding of the whole. 1. P i oi l P i li2 . Calculate P(Xn = 11Xo = 1) in each of the following cases: (a) p (b) p = 1/6. 0 . 1.
So ~ satisfies the conditions for an equivalence relation on I.6}.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. Exercises 1.2. Example 1.6} being closed. Also i ~ i for any state i. We say that a class C is closed if i E C. A chain or transition matrix P where I is a single class is called irreducible. Thus a closed class is one from which there is no escape. i ~ j imply j E C. the class structure of a chain is very easy to find.2.3 Hitting times and absorption probabilities 11 It is clear from (ii) that i ~ j and j ~ k imply i ~ k.3}. As the following example makes clear.1.2. when one can draw the diagram.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? . {4} and {5. The smaller pieces referred to above are these communicating classes. and thus partitions I into communicating classes. A state i is absorbing if {i} is a closed class. with only {5.
We shall often write less formally Remarkably.. here is a simple example. Find an example of a transition matrix with no closed communicating class.3.2 Show that every transition matrix on a finite statespace has at least one closed communicating class.2. these quantities can be calculated explicitly by means of certain linear equations associated with the transition matrix P.3 Hitting times and absorption probabilities Let (Xn)n>O be a Markov chain with transition matrix P. what is the probability of absorption in 4? How long does it take until the chain is absorbed in 1 or 4? Introduce .2.1. hf is called the absorption probability. } 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 Consider the chain with the following diagram: 1 1 1 • 1 2 E 2 • • 2 41( 2 1 3 • 2 ~ 4 • Starting from 2. 1. The probability When A is a closed class.12 1. Example 1. .. The mean time taken for (Xn)n~O to reach A is given by kt = lEi(H A ) = 2: nJP>(H n<oo A = n) + ooJP>(H A = (0). The hitting time of a subset A of I is the random variable H A : n ~ {O. Discretetime Markov chains 1. Before we give the general theory.
then Xi ~ hi for all i. k2 = 1 + ~k3 = 1 + ~(1 + ~k2). the probability of hitting 4 is 1/3 and the mean time to absorption is 2. hI = 0. Here is a general result for hitting probabilities.XI = j) jEI = LJPi(H < 00 I Xl = j)JPi(XI = j) = LPijhf. h4 = 1 and k l = k4 = o.1. then H A ~ 1. 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. starting from 2. Suppose now that we start at 2. then H A so hf = 1. If X o = i fj. If X o = i E A. in assuming that the chain begins afresh from its new position after the first jump.3. (1. Similarly. jEI jEI A . Theorem 1. So The 1 appears in the second formula because we count the time for the first step. First we show that h A satisfies (1. A. Note that in writing down the first equations for h2 and k2 we made implicit use of the Markov property. and consider the situation after making one step. The vector of hitting probabilities h A = (hf : i E I) is the minimal nonnegative solution to the system of linear equations hf = 1 { hf = EjEI Pij h (Xi: for i E A 1 for i fj. A. Hence h2 = ~ h 3 = ~ ( ~ h 2 + ~).3).2.3 Hitting times and absorption probabilities 13 Clearly. so by the Markov property = 0. So.) i E I) is another solution with 0 Proof.3) Xi ~ (Minimality means that if x = for all i.
but the minimality condition now makes us take hI = 0.3). then Xi Substitute for Xi Xj = Xi = 1 = '2:PijXj jEI = '2:Pij jEA + '2:PijXj. the extra boundary condition hI = 0 was obvious from the beginning .. Discretetime Markov chains Suppose now that X = (Xi: i E I) is any solution to (1.. h4 so that h3 = ~h2 + ~h4 and The value of hI is not determined by the system (1.3)..14 1. 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. and the remaining terms sum to JP>i(H A ~ n).1 (continued) The system of linear equations (1..3. j~A to obtain = LPij jEA + LPij(LPjk + j~A LPjkXk) k~A kEA = JPli(X1 E A) + JPli(X1 ¢ A. X n E A) + L jl~A . L PiiIPjli2 · · · Pjnlin Xjn' Now if X is nonnegative. 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. D Example 1.. A.3) for h = h{4} are given here by = 1. so is the last term on the right. so we recover h 2 = 1/3 as before.Xn I + . A. + JP>i(XI jn~A fj.. . Then hf for i E A. Suppose i ¢ A. h2 = ~hl + ~h3. Of course. .
Then. the minimality condition is essential. In cases where the statespace is infinite it may not be possible to write down a corresponding extra boundary condition.. which is the case in most successful casinos. Example 1. so hi = 1 for all i. as we shall see in the next examples. for i = 1.3 (Gamblers' ruin) Consider the Markov chain with diagram q p • . (See Section 1. q 1( p o • I( 1 i i +1 •• where 0 < P = 1 . Pi.il = q. then h is the minimal nonnegative solution to h o = 1. . The resources of the casino are regarded as infinite.. then since h o = 1 we get a family of solutions for a nonnegative solution we must have A negative solution is hi = (q / p) i. q I( p .11. so there is no upper limit to your fortune.3 Hitting times and absorption probabilities 15 so we built it into our system of equations and did not have to worry about minimal nonnegative solutions. so the minimal nonq the recurrence relation . Finally..q < 1. then the restriction 0 ~ hi ~ 1 forces B = 0. If p =I q this recurrence relation has a general solution hi = A +B (~) i .) If P < q. if p has a general solution hi = A+ Bi ~ = 0... If p > q.1 . The transition probabilities are Poo = 1. hi = ph i+1 + qhi .. Pi.1.2. £1 at a time. 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... ..3.i+l = P Imagine that you enter a casino with a fortune of £i and gamble. for i = 1.2.
. .... .. ... . At this point A remains to be determined.t(. Then hi = IPi(hit 0) is the extinction probability starting from i. But consider Ui = h i . recorded each time it changes.. This recurrence relation has variable coefficients so the usual technique fails. Then = h o .••.. (I.~ ql PI qi Pi . the restriction 0 ~ hi ~ 1 forces A = 0 and hi = 1 for all i. .16 1....hi + ..... you are certain to end up broke... Discretetime Markov chains and again the restriction 0 ~ hi ~ 1 forces B = 0. we have 0 < Pi = 1 .. As in the preceding example... so hi = 1 for all i.• t i+l qi+1 Pi+1 where. In the case L::o ~i = 00...3. so where the final equality defines UI ~i. then PiUi+1 = qiUi. Example 1. for i = 1. + Ui so where A = UI and ~o = 1. Pi being the probability that we get a birth before a death in a population of size i..4 (Birthanddeath chain) Consider the Markov chain with diagram o . But if L::o ~i < 00 then we can take A > 0 so long as lA(~o+ . 0 is an absorbing state and we wish to calculate the absorption probability starting from i. This apparent paradox is called gamblers' ruin.... Such a chain may serve as a model for the size of a population. +~iI)~O for all i..2. even if you find a fair casino..I . for i = 1.. But here we allow Pi and qi to depend on i..hi.2.qi < 1. We write down the usual system of equations ho = 1... hi = Pihi+1 + qihiI. Thus...t(~ 1 i .....
4). so. so the population survives with positive probability.. . .2. L jn~A PiilPilh .. 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. = 0. 1x1 ==j is the random variable equal to 1 if Xl = j and equal to 0 otherwise.4). we have hi < 1..5. If i f/: A.1. 'PjndnYjn' .3.. 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) + . then HA so kf = o. then H A ~ 1. Here is the general result on mean hitting times. where H A is the first time (Xn)n~O hits A.4) Proof. We use the notation 1B for the indicator function of B.3 Hitting times and absorption probabilities 17 Thus the minimal nonnegative solution occurs when A = then (E:o Ii) 1 and In this case.. Then for i E A... for example. so. First we show that k A satisfies (1. If X o = i f/: A. If X o = i E A. Recall that kf = Ei(H A ). for i = 1. by the Markov property. Theorem 1. + lP'i(H A ~ n) + L jl~A . (1. The vector of mean hitting times k A = (k A : i E I) is the minimal nonnegative solution to the system of linear equations kf { kf = 0 = 1 for i E A + Ej~A pijkf for i f/: A.
and otllerwise stakes just enough to increase his capital.3. Yi 2: Wi(H A 2: 1) and.3 A simple game of 'snakes and ladders' is played on a board of nine squares. gambler will achieve his aim with probability 1/5. 1.. (b) and (c) made in example (v) of the Introduction. Pro~e that the What is the expected number of tosses until the gambler either achieves his aim or loses his capital? 1.2 A gambler has £2 and needs to increase it to £10 in a hurry. to £10.. Let X o == 2 and let X n be his capital after n throws. he wins a sum equal to his stake. + . 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 his stake is returned.1 Prove the claims (a). if a player bets on the right side. He can play a game with the following rules: a fair coin is tossed. Discretetime Markov chains So. if y is nonnegative.18 1.3.3. letting n * 00. + Wi(H A = 2: n) Yi 2': Exercises L IP\(H n==l A 2': n) JEi(H A ) = Xi D 1. . if he wins.
This class will include H but not H .il = 1. you know at the time when T occurs. Examples 1. Pi. Intuitively. so it does not simply begin afresh. at some random time H.il. .. . . Pi.I? In this section we shall identify a class of random times at which a version of the Markov property does hold. .3.1. } with transition probabilities given by POI = 1. conditional on X m = i.2. 1.. for example H .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 1.4 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.3 is a stopping time because {H A = n} = {X o ~ A....4 Let (Xn)n~O be a Markov chain on {O. If asked to stop at T.. This says that for each time m. Show that if X o = 0 then the probability that X n ~ 1 for all n ~ 1 is 6/1T 2 • 1. the process after time m begins afresh from i.. after all.Xn E A}. What can one say about the process after time H? What if we replaced H by a more general random time.i+l + Pi. . If you land at the foot of a ladder you climb to the top.2. Suppose.4 Strong Markov property In Section 1. } U {(X)} is called a stopping time if the event {T = n} depends only on X o .. How many turns on average does it take to complete the game? What is the probability that a player who has reached the middle square will complete the game without slipping back to square I? 1. you know when to stop. the process after time H .1.Xn for n = 0.1 jumps straight to i. .Xn l ~ A. but if you land at the head of a snake you slide down to the tail. Xl.1 we proved the Markov property. .. . i ~ 1.1. we simply waited for the process to hit state i... 1.4. A random variable T : n ~ {O. instead of conditioning on X m = i.i+l = i + ( i 1) 2 Pi. by watching the process.
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. .XT+n = jn} n BIT < 00. then B n {T = m} is determined by X o. P) and let T be a stopping time of (Xn)n~O.Xm . .. . X T+I = jl.XT .. 2. Theorem 1..XT .XT+n = in} n B n {T = m} n {XT = i}) = JP>i(XO = io. .. .. 1. . X T = i). then B n {T == m} is determined by X o. Let (Xn)n~O be Markov(A.20 1.Xn = jn)JP>(B n {T = m} n {XT = i}) where we have used the condition T = m to replace m by T. Example 1.4. P) and independent of XO.. . conditional on T < 00 and X T = i.. (XT+n)n~O is Markov(8 i . . Discretetime 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. If B is an event determined by X o. Then. X T = i) to obtain JP>( {XT = jo. Proof. if T is a stopping time and B ~ n is determined by X o. and divide by lP(T < 00. .2 (Strong Markov property). so. X T = i) = JP>i(XO = jo. The crucial point is that. .X I = jl. == n} depends on We sllall show that the Markov property holds at stopping times. 1.Xm ..3..XT. Xl.. Xl = jl. Now sum over m == 0. . for all m = 0. by the Markov property at time m lP( {XT = io.Xn = jn)JP>(B I T < 00. Xl.... Xl. .3 Consider the Markov chain (Xn)n~O with diagram q p • ~ q I( • p ~ q i p o • I( I(.~ 1 i +1 . .XI . . 2.4. Xl. XT+I = il..
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.. where iio.5) ¢ = (1 ± VI . Set H j = inf{n ~ 0 : X n = j} and. 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. slPl(Ho = 1) + s2lP l (Ho = 2) + s3lP l (Ho = 3) + . We know from Example 1. Here we obtain the complete distribution of the time to hit 0 starting from 1 in terms of its probability generating function. is independent of HI and has the (unconditioned) distribution of HI. Thus ¢ = ¢( s) satisfies and pS¢2 .3 the probability of hitting 0 starting from 1..4pqs2)/2ps. the time taken after time 1 to get to 0.. by the Markov property at time 1. 1 n<oo Suppose we start at 2.1.¢ + qs =0 (1. conditional on HI < 00.3.q < 1. 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. for 0 ~ s < 1 </>(s) = lEI (sHo) = 2: snIP (Ho = n). Apply the strong Markov property at !II to see that under lP 2. where H o.. the time taken after HI to get to 0. has the same distribution as H o does under lP 2 . 2 3 . ) } = qs +pq s = + .. we have H o = HI + H o.. To recover the distribution of H o we expand the squareroot as a power series: </>(s) = 2~S { 1  (1 + !( 4pqs 2) + !(lH _4pqs 2)2 /2! + . we have H o = 1 + H o.. conditional on Xl = 2.4 Strong Markov property 21 where 0 < p = 1 . Then.
Example 1.··· . is a stopping time. Discretetime Markov chains The first few probabilities P1(Ho = 1).rn +l 't 't . rn . for m. .4 We now consider an application of the strong Markov property to a Markov chain (Xn)n~O observed only at certain times.p) as s i 1.XTrn = i m) = Pi rn (XT 1 = i m +1 ) = p.22 1. For each m we can check J.11.4pq = VI ..1 for a connection with branching processes. so . Let us assume that lP(Tm < 00) = 1 for all easily that T m. On letting s lI]) i 1 we have ¢(s) ~ P1(Ho < 0 00). Ym = i m ) = P(XTrn + 1 = i m + 1 I X To = i o. T m + 1 = inf{n > Tm : X n E J}.4p + 4p2 = 11 We can also find the mean hitting time using 2pl = 12q . The resulting process (Ym)m~O may be obtained formally by setting Ym = X Trn . for m = 0.) It is only worth considering the case p ~ q.2p) = l/(q .5) to obtain 2ps¢¢' so + p¢2  ¢' + q = 0 ¢'(s) = (p¢(S)2 + q)/(l  2ps¢(s)) ~ 1/(1 .1rl (Ii < 00 ) _ 1 VI  4pq _ { 1 if p ~ q 2p q/p if p > q.4.··· . that P(Ym +1 = i m +1 I Yo = i o. 2.... .. are readily checked from first principles.im+l E J. (Remember that q = 1 p.1. In the first instance suppose that J is some subset of the statespace I and that we observe the chain only when it takes values in J. the time of the mth visit to strong Markov property applies to show. . See Example 5. . 1. where To = inf{n ~ 0 : X n E J} and. where the mean hitting time has a chance of being finite.. so VI .P 1(Ho = 2). So the i o. Differentiate (1.
for i =I j Pij = Pij/ LPik. The resulting process (Zm)m~O is given by Zm = XS rn where 8 0 = 0 and for m = 0.2¢ + s = 0 . Find the probability generating function ¢(s) = E(sHO). 1.Zm = i m) = lP(XSrn + 1 = im+l I XS o = io.1 Let Y1 .. Suppose the distribution of Y1 . X n = X o + Y1 + .. Show that ¢ now satisfies s¢3 .. + Yn for n ~ 1.6).4.6) h{ = Pij + LPik h 1· k~J Thus (Ym)m~O is a Markov chain on J with transition matrix P. 1.2 Deduce carefully from Theorem 1.4. by the strong Markov property lP(Zm+l = im+l I Zo = io. is changed to lP(Y1 lP(Y1 = 1) = 1/2.3. .. "Y2.. = 2) = 1/2. ••• be independent identically distributed random variables with lP(Y1 = 1) = lP(Y1 = 1) = 1/2 and set X o = 1.··· .. . .. .1.1. the vector (h{ : i E I) is the minimal nonnegative solution to (1. A second example of a similar type arises if we observe the original chain (Xn)n~O only when it moves.4 Strong Markov property 23 where. for i. k=j:i Thus (Zm)m~O is a Markov chain on I with transition matrix Exercises P. Let us assume there are no absorbing states.Xsrn = im ) = lPirn (XS1 = i m +1 ) = Pirnirn+l where Pii = 0 and.. j E J Pii  = hi i and where. .2. Define H o = inf{n ~ 0 : X n = O}.2 the claim made at (1. Y2 . Again the random times 8 m for m ~ 0 are stopping times and. for j E J.
1.5 Recurrence and transience Let (Xn)n~O be a Markov chain with transition matrix P. Thus a recurrent state is one to which you keep coming back and a transient state is one which you eventually leave for ever.24 1. We say that i is transient if IPi(Xn =i for infinitely many n) = O. .2. for r = 0. We IIOW define inductively the rth passage time Ti(r) to and. 00 The following diagram illustrates these definitions: Xn i T. Discretetime Markov chains 1.(O) ~ n . We shall show that every state is either recurrent or transient. . We say that a state i is recurrent if lPi(Xn =i for infinitely many n) = 1... The length of the rth excursion to i is then S~r) ~ = { T(r) _ T(rI) 0 i i 1 ·f T(rI) < 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.
. and si r+ I) < < 00 I Ti(r) < oo)Pi(Ti(r) < 00) = f[+1 by Lemma 1.3. we have Pi (Vi > r) = fi. It is automatic that X T = i on T < 00. Observe that if X o = i then {Vi > r} = {Ti(r) < oo}. sir) is inde Proof. D sir) is the first passage time of (XT+n)n~O to state i. So. . .1..1. (XT+n)n~O is Markov(8i .1. Recall that the indicator function l{xl==j} is the random variable equal to 1 if Xl = j and 0 otherwise. conditional on T < 00...1. Xl. For r = 0. When r the result is true. we can compute the distribution of Vi under Pi in terms of the return probability Lemma 1. P) and independent of X o. n==O n==O Also. so by induction the result is true for all r. conditional on Ti(rI) < pendent of {Xm : m ~ Ti(rI)} and 00. Suppose inductively that it is true for r.5.2.XT .5 Recurrence and transience 25 Our analysis of recurrence and transience will rest on finding the joint distribution of these excursion lengths. Let us introduce the number of visits Vi to i. 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).. then Pi ( Vi > r + 1) = Pi ( T i(r+I) < 00 00 ) 00) = Pi(Ti(r) < = Pi (Sfr+I) = fif. . =0 Proof.. . For r = 2.5. . Apply the strong Markov property at the stopping time T = Ti(rI). D . Lemma 1.2.5.. But sir) so = inf{n ~ 1 : X T +n = i}.
26
1. Discretetime Markov chains
Recall that one can compute the expectation of a nonnegative integervalued random variable as follows:
00 00 00
LP(V > r)
r=O
=
L
L
P(V
=
v)
00
r=Ov=r+1 00 vI
=
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 nstep 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 statespace. Some cases of infinite statespace 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. Discretetime 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,il·
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 nonnegative 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 statespace. 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
iI
...
..
i
P
i+l
30
1. Discretetime 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 nstep 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.
2 (Simple symmetric random walk on Z2) The simple symmetric random walk on Z2 has diagram 31 :4 ..~ :4 1 :4 and transition probabilities Pij 1/4 { 0 == iflijl==l otherwise.... Let us call the walk X n and write X~ and X... 1 :4 .1 / 2 Z and X n == 0 if and only if X~ == 0 == X. This makes it clear that for X n we have Poo (2n) == asn~oo .6 Recurrence and transience of random walks Example 1.6. are independent simple symmetric random walks on 2. for the orthogonal projections of X n on the diagonal lines y == ±x: X+ n Then X~ and X.1. Suppose we start at o. 1 1 .
jl = 1 P'1.6. k ~ 0.. Hence. Discretetime Markov chains by Stirling's formula. i down. _ {1/6 if Ii .k~O i+j+k=n i+j+k=n Now i.k~O i+j+k=n the lefthand side being the total probability of all the ways of placing n balls randomly into three boxes.j.k~O (2n)! . Then and the walk is recurrent. ·'k')2 (~.. k east and k west for some i. By counting the ways in which this can be done. E:=o p~~m) < 00 by comparison with . i.".Jn=O n and Poo _ Poo or all m so we must have and the walk is transient..32 1. B u t Poo > (1/6)2 Poo (6m) (6m2) (6m) > (1/6)4 (6m4) £ L. with i + j + k = n. k. E::o p~~) = 00 by comparison with E::o l/n Example 1. j. Of these 2n steps there must be i up.j. j north. For the case where n = 3m. Thus the chain jumps to each of its nearest neighbours with equal probability. we have n ( ij k) for all i.3 (Simple symmetric random walk on Z3) The transition probabilities of the simple symmetric random walk on Z3 are given by ..j. we obtain (2n) _ Poo  i.) o otherwise. j south.j. We can only return to 0 after an even number 2n of steps.00 3/2 . .J . so = i!j!k! ~ mmm n! (n) (~) 3/2 asn~oo by Stirling's formula. . Suppose we start at O.
Let I be finite.P) and suppose that A is invariant for P. Theorem 1. \ 1. The random walk on T jumps from a vertex along each available edge with equal probability.6.7. By Theorem 1.1. 1.7. 7 Invariant distributions 33 Exercises 1.Xm+n and has distribution (Pij : j E I). conditional on X m+n == i. Let (Xn)n~O be Markov(A. Theorem 1. == (7rj : j E I) is an invariant distribution.. P). Suppose for some i E I that p~j) Then 7r t 7rj as n t 00 for all j E I. We say A is invariant if AP == A. The first result explains the term stationary. at every other vertex there are three edges and there are no closed loops. Show that the random walk is transient. The terms equilibrium and stationary are also used to mean the same. Proof.6.1 The rooted binary tree is an infinite graph T with one distinguished vertex R from which comes a single edge. Remember that a measure A is any row vector (Ai : i E I) with nonnegative entries.2. X m + 1 . .1.7 Invariant distributions Many of the longtime properties of Markov chains are connected with the notion of an invariant distribution or measure. X m+n+ 1 is independent of X m .. D The next result explains the term equilibrium. . clearly.3.2 Show that the simple symmetric random walk in Z4 is transient. Then (Xm+n)n~O is also Markov(A.1.== n~oo 1m (n) 1m L kEI Pk Pkj ~ (n) == L kEI n~oo 1· 1m Pk Pkj ~ (n) == L kEI 7rkPkj . P(Xm == i) == (Apm)i == Ai for all i and. Proof. 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.
Discretetime Markov chains where we have used finiteness of I to justify interchange of summation and limit operations.3 Consider the twostate Markov chain with transition matrix p. Then.6 we have p~. so. by Example 1. the distribution ((3/(0: + (3).7. Hence 7r is an invariant distribution. which is much more useful.0:/(0: invariant.2 is not a very useful result but it serves to indicate a relationship between invariant distributions and nstep transition probabilities. Example 1.8. The limit is certainly invariant.7.3 we shall prove a sort of converse. j E I. D Notice that for any of the random walks discussed in Section 1.) t 0 as n t 00 for all i.34 1.4 pn ~ ((3/(a (3/(a + (3) + (3) a/(a + (3)) a/(a + (3) as n ~ 00.7.2.1. by Theorem 1. but it is not a distribution! Theorem 1.7. In Theorem 1. + (3)) must be Example 1.( la (3 Ignore the trivial cases 0: = (3 = 0 and 0: = (3 = 1. There are of course easier ways to discover this.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  .
by the Markov property at n . 7 Invariant distributions 35 In terms of the chain.2 and knowledge of 7r1 to identify a = 1/5. Alternatively.6 pi~) ~ 1/5 as n ~ 00 so this confirms Theorem 1.2/5). so.Xn . so the column vector of ones is an eigenvector with eigenvalue 1.1.l .6. .1. In the next two results we shall show that every irreducible and recurrent stochastic matrix P has an essentially unique positive invariant measure.1 . Xl.2. . and the equations require Xl also to have distribution 7r. for a finite statespace I..7. The equations are homogeneous so one of them is redundant. knowing that p~~) had the form PII (n) = a + (l)n (bcos 2 2 n7r . (ii) For n = 1. when X o has distribution 7r... instead of working out p~. the event {n ::. the existence of an invariant row vector is a simple piece of linear algebra: the row sums of P are alII. Then (i) l'~ = 1. n7r) + CSln 2 we could have used Theorem 1. According to Example 1. . for all i E I.7. Proof. so P must have a row eigenvector with eigenvalue 1. (ii) l'k = (l'f : i (iii) 0 < E Tf < 00 I) satisfies l'k P = l'k .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 . Let P be irreducible and recurrent. That equation is and we find that 7r = (1/5. For a fixed state k. The proofs rely heavily on the probabilistic interpretation so it is worth noting at the outset that. consider for each i the expected time spent in i between visits to k: Tk. (i) This is obvious. Tk} depends only on X o. and another equation is required to fix 7r uniquely.2. the righthand sides give the probabilities for Xl.5.2/5. .1.) in Example 1.7. Theorem 1.
36 1. If in addition P is recurrent. D Theorem 1.1 = = LPij L JP>k(Xn . for each state i there exist n.. +IPk(Xn ~ ~j as =j and n ~ 00.Pki >.1 = LPijlEk iEI L m=O l{Xtn =i} = L iEI . . (iii) Since P is irreducible.. under IPk we have probability one. m ~ 0 with (n) (m) 0 k (m) (n) k Pik . . ..6. Let P be irreducible and let A be an invariant measure for P with Ak = 1. For each j E I we have Aj = = L ioEI AioPioj = L io#k AioPioj + Pkj + L io#k L io.il#k Ai1Pi 1 ioPioj + (Pk j PkioPiOj ) L i o .7. then A = ~k .. Proof.in=j:k AinPininl · · · Pioj L io#k + (Pk j + PkioPioj + ···+ Tk ~ L io. .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.. Discretetime Markov chains Tk Since P is recurrent. Then A ~ ~k. X n = j and n ~ Tk) i and n ~ Tk) = L L JP>k(X iEI n=l 00 n.i n l#k Pkinl · · · PilioPioj ) ~ IPk(X1 = j and Tk ~ 1) + IPk(X2 n) = j and Tk ~ 2) + ..1 } Tk.fpij.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). Therefore < 00 and X o = X Tk = k with .
0 Recall that a state i is recurrent if IPi(Xn = i for infinitely many n) = 1 and we showed in Theorem 1. By Theorem 1. (ii) some state i is positive recurrent.~k is also invariant and /l ~ O. A recurrent state which fails to have this stronger property is called null recurrent.5.6.3 that this is equivalent to If in addition the expected return time is finite.1. Theorem 1. Proof. then we say i is positive recurrent.7.5.7) and k is positive recurrent. 7r say. then ~k is invariant by Theorem 1. (i) => (ii) This is obvious.5. A ~ ~k. . ~i is then invariant.= 1 < 7r 7r k k 00 (1. Hence mk =L k ~. / mi defines an invariant distribution. Then A is an invariant measure with Ak = 1.7. Set Ai = 7ri/7rk. 7 Invariant distributions 37 So A ~ ~k. But L~j jEI = mi < 00 so 7rj = ~. Let P be irreducible. Since P is irreducible and EiEI 7ri = 1 we have 7rk = EiEI 7riP~~) > 0 for some n. Then the following are equivalent: (i) every state is positive recurrent. Since P is irreducible. so P is recurrent. given i E I. and O ' " or = /lk = LJjEI /ljPjk ~ /liPik . when (iii) holds we have mi = 1/7ri for all i. (iii) => (i) Take any state k. (ii) => (iii) If i is positive recurrent. ~ ~ L iEI iEI 7ri . so Jli = O. it is certainly recurrent. so Jl = A . (iii) P has an invariant distribution. So by Theorem 1. (n) (n) (n) we have Pik > 0 £ some n.7.7. If P is recurrent.7. Moreover.
by Theorem 1.6 forces any invariant measure to be a scalar multiple of 7r. but has invariant measure 7r given by 7ri = 1 for all i.1. Example 1.6. which is transient by Example 1.7.7. Example 1. for example. PiO = qi = 1 . it is also recurrent. Consider the measure 7ri Then =1 for all i. Example 1. whose transition probabilities are given by Pi. by Example 1.7. in this case.8 (Simple symmetric random walk on Z) The simple symmetric random walk on Z is clearly irreducible and.7.7. so A = ~k and the inequality (1. there is a twoparameter family of invariant measures uniqueness up to scalar multiples does not hold.6.i+l = Pi. so 7r is invariant.10 Consider the asymmetric random walk on Z with transition probabilities Pi.7) is in fact an equality. the simple symmetric random walk on Z3. 0 Example 1.11 Consider a successrun chain on Z+ . there can be no invariant distribution and the walk is therefore null recurrent.Pi· .38 1. Since LiEZ 7ri = 00.9 The existence of an invariant measure does not guarantee recurrence: consider. Now Theorem 1. Discretetime Markov chains To complete the proof we return to the argument for (iii) => (i) armed with the knowledge that P is recurrent.7.i+l· In components the invariant measure equation 7r P = 7r reads This is a recurrence relation for 7r with general solution So.3.il = q < P = Pi.7.
1 Find all invariant distributions of the transition matrix in Exercise 1. 0 the vertex opposite i. What are the transition probabilities? What is the invariant distribution of this chain? 1. 7 Invariant distributions 39 7r P Then the components of the invariant measure equation 00 = 7r read 1ro = L i=O qi 1ri.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. Let i be the initial vertex occupied by the particle. A hole is made in the partition.1.2.7. independently of its past motion. = 0 or 7ro = 00. Suppose there are N molecules in the box.7.2 Gas molecules move about randomly in a box which is divided into two halves symmetrically by a partition. so there is no invariant Exercises 1. Calculate each of the following quantities: . Suppose we choose Pi converging sufficiently rapidly to 1 so that P = IIpi > 0 i=O 00 which is equivalent to 00 Lqi = i=O 00.1. 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. for i ~ 7ri = Pil7ril. 1.7. 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. 1.
if the statespace is finite and if for some i the limit exists for all j. Show that a distribution 7r is invariant for P if and only if 7r(I P+A) = a.6 and Example 1.8. as the following example shows. Note that this enables one to compute the invariant distribution by any standard method of inverting a matrix.7. As we saw in Theorem 1.7.7.5 Let P be a stochastic matrix on a finite set I. Then p2 = I.f = and verify that T'~ ~ TOl lEo ( n=O L ) l{x n =i} = inf Ai for all i A 1. the limit does not always exist. 1. Find .) as n ~ 00.1 is connected with its periodicity.7.8 Convergence to equilibrium We shall investigate the limiting behaviour of the nstep transition probabilities p~.8. (iii) the expected number of steps until the first visit to o. (ii) the expected number of visits to 0 until the first return to i.) 1.10.j E I) with aij = 1 for all i and j. =I and p 2n+l = P for all n. The behaviour of the chain in Example 1. j. and a = (ai : i E I) with ai = 1 for all i.7. This is also a consequence of Theorem 1. Discretetime Markov chains (i) the expected number of steps until the particle returns to i.2. where the infimum is taken over all invariant measures A with Ao (Compare with Theorem 1. where A = (aij : i. Example 1. But.40 1. Deduce that if P is irreducible then I P+A is invertible.1 Consider the twostate chain with transition matrix p=(~ ~).4 Let (Xn)n~O be a simple random walk on Z with Pi.i+l.8. 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. Thus p~j) fails to Let us call a state i aperiodic if p~~) > 0 for all sufficiently large n.il = q < P = Pi. . then it must be an invariant distribution. 1. so p2n converge for all i.4.
Let P be irreducible and aperiodic. The method of proof. Y n ) Step 1. Fix a reference state b and set T = inf{ n 2:: 1 : X n = Yn = b}. Proof. We show P(T < 00) = 1. . (X n .k) = Ai 7rk.7. and suppose that P has an invariant distribution 7r.8.1. 0 Here is the main result of this section.l) = Pij Pkl > 0 for all sufficiently large n. PJ~) > 0 for all sufflciently large n. But T is the first passage time of W n to (b. Let (Yn)n~O be Markov(7r.k) = 7ri7rk so. by Theorem 1.l) is a Markov = PijPkl and initial distribution jj(i. by Theorem 1. P).) t 'lrj as n t 00 for all i. Suppose P is irreducible and has an aperiodic state i. b) so P(T < 00) = 1. j.3 (Convergence to equilibrium). Theorem 1. all states are aperiodic. Since P is aperiodic. k. P) and independent of (Xn)n~O. l we have ~n) (n) (n) P(i. In particular. There eXIst r. for all states j and k. S _ > 0 WIt h Pji' Pik >. by coupling two Markov chains.8 Convergence to equilibrium 41 Lemma 1. for all states i.2. Then.Pji Pii Pik > >0 for all sufficiently large n. Let A be any distribution.I · P rooJ.k)(j. Then · (r) (s) 0 (r+n+s) (r) (n) (s) Pjk . P is positive recurrent.7. P has an invariant distribution given by 7r(i. Suppose that (Xn)n~O is Markov(A. We use a coupling argument. Also. is ingenious.8. j. so P is irreducible.7.k)(j.5. Then P(Xn = j) ~ 7rj as n ~ 00 for all j. p~. . The process W n = chain on I x I with transition probabilities P(i. In particular.
P). We have lP(Zn = j) = lP(Xn = j and n < T) +lP(Yn = j and n 2 T) so IlP(Xn ~ = j) . XT+n)n~O which is also Markov(8(b. YT+n)n~O by (YT+n . Hence W~ = (Zn. P).. Markov(. YT+n)n~O is Markov(8(b.b). we can replace the process (XT+n. (XT. (Xl. P) and independent of (X o.\. so (XT+n. We show that (Zn)n~O is n The strong Markov property applies to (Wn)n~O at time T. Zn = { Y Xn ifn < T if n 2 T.(XT . Y T ) . .YT).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 . P) where n .42 1. Yo).\. . .. By symmetry. YI).Yo). I ~ T. Discretetime Markov chains Step 2. YI).t. Step 3. . In particular. Set ifn < T if n The diagram below illustrates the idea. (Zn)n~O is Markov(. P) and remains independent of (X o. . Z~) is Markov(j.. (X I.b).
Hence and hence nd E S. o~ r Now for nd ~ n~. Consider the twostate chain of Example 1. if p~~d+r) > 0 and p~~d+8) > 0 for some r. We move on now to the cases that were excluded in the last theorem. (Xn)n~O and (Yn)n~O will never meet. The remainder of this section might be omitted on a first reading. 1. then. S E {O.1. for all r. because of periodicity.d1 Cr = {~. However. Choose n1. we have p~~d+r+m) > 0 and p~~d+8+m) > 0 so r = s by minimality of d. We start (Xn)n~O from 0 and (Yn)n~O with equal probability from 0 or 1. Theorem 1. where (Xt)~o is periodic or transient or null recurrent.I}. then p~7d+r+k) > 0 so j E C r+n as required. Let P be irreducible..) Define for r = 0.m)n1 + mn2.1. Hence we have a partition.4. To prove (i) suppose p~j) > 0 and i E Cr. by irreducibility. Fix a state k and consider S = {n ~ 0 : P~~ > O}. To prove (ii) for i. U Cd1 ~ 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.n1 is as small as possible...1 which has (1/2.8 Convergence to equilibrium 43 To understand this proof one should see what goes wrong when P is not aperiodic.8. . There is an integer d partition I = Co U C 1 U . Proof. n2 E S with n1 < n2 and such that d := n2 . if Yo = 1. and the proof fails. Choose m so that p~7d+r) > 0.. . U Cd1 = I.. (ii) p~jd) > 0 for all sufficiently large n.d . then . (Here and throughout we use the symbol := to mean 'defined to equal'. then. . we can write nd = qn1 + r for integers q ~ n1 and ~ n1 . j E Cr choose m1 and m2 so that p~:l) > 0 and p~72) > 0.. in particular n1. Then Co U .j E C r . E I (nd+r) : Pki > 0 £or some n ~ O} . Moreover. By taking i = j = k we now see that d must divide every element of S.8. for all i... 1/2) as its unique invariant distribution.) > 0. choosing m ~ 0 so that p~". . Since d divides n1 we then have r = md for some integer m and then nd = (q .
8. Fristedt and L. here is a complete description of limiting behaviour for irreducible chains.5.1. Since are done. .. The theorem just proved shows in particular for all i E I that d is the greatest common divisor of the set {n ~ 0 : p~~) > O}. Assume that P is aperiodic. This is sometimes useful in identifying d.8. For j E Cr the expected return time of (Yn)n~O to j is mjld. . Discretetime Markov chains ml whenever nd ~ n~.3 in two respects since we require neither aperiodicity nor the existence of an invariant distribution. Let A be a distribution with LiECo Ai = 1.Cdl be the partition obtained in Theorem 1. . Finally.8. Let P be irreducible of period d and let Co.4 we have = Apr. So if the theorem holds in the aperiodic case. D + m2 is then necessarily a multiple of d. we We call d the period of P. This generalizes Theorem 1. P). ~ dlmj as n ~ 00 Step 2. We reduce to the aperiodic case. In particular. C 1 . Then for r = 0. Suppose that (Xn)n~O is Markov(A. If P is positive recurrent then 1/mj = 1rj. Gray. where 1r is the unique invariant distribution. Pij Proof Step 1. . then by Theorem Set Y n = Xnd+r.4. so the result follows from Theorem 1.d .8.. then P(Xnd+r = j) = P(Yn = j) so the theorem holds in general.3.. Set v 1. then (Yn)n~O is Markov(v.4.1 and j E C r we have P(Xnd +r = j) ~ dlmj as n ~ 00 where mj is the expected return time to j..8. Theorem 1. pd) and.44 1. by Theorem 1. pd is irreducible and aperiodic on Cr. Otherwise mj = 00 and we have to show that P(Xn = j) ~ 0 as n ~ 00. The argument we use for the null recurrent case was discovered recently by B. .8. for i E Co and j E C r we have (nd+r) ~ dl mj as n ~ 00.
. Set W n = (Xn . where j.1. Step 3. . IP(Xn = j) . Then 00 :EPj(Tj > k) = lEj(Tj) = k=O 00. .. . on taking j.I}..8.3. only now let (Yn)n~O be Markov(j.k) = :E P(Xnk = j)Pj(Tj > k) k=O so we must have P(Xn . we have P(T < 00) = 1 and the coupling argument shows that as n ~ 00..t is to be chosen later. Assume then that (Wn)n~O is recurrent. for n 1~ ~ K . aperiodicity of (Xn)n~O ensures irreducibility of (Wn)n~O. We can find N such that for n 2:: Nand k = 1.n) L k=nK+l Kl n P(Xk = j)Pj(Tj > n .P(Yn = j)1 ~ 0 We exploit this convergence by taking j.8.k = j) ~ €/2 for some k E {O.t = A. j)) ~0 as required. . .. ~· .t = Ap k for k = 1. so that P(Yn = j) = P(Xn +k = j).P(Xn+k = j)1 ::. Given € > 0 choose K so that Then.K . in the notation of Theorem 1. Return now to the coupling argument used in Theorem 1.3. . 1...8 Convergence to equilibrium 45 If P is transient this is easy and we are left with the null recurrent case.Yn ). If (Wn)n~O is transient then.1.. IP(Xn = j) . . Assume that P is aperiodic and null recurrent.K . . P).t. Then.K 1.1 :E k=nK+l n P(Xk = j and X m 1= j for m = k + 1. we obtain P(Xn = j)2 = P(Wn = (j. As before.
7. Find lim P(Xn is a multiple of 13) n+oo quoting carefully any general theorems that you use. (b) and (c).2. this shows that lP(Xn = j) required. If Pn denotes the probability that on day n the student finds the books in the order 1. Let Y1 .8.3. In the evening he replaces the book at the lefthand end of the shelf.2 Find the invariant distributions of the transition matrices in Exercise 1. parts (a).46 1. . Y 2 . (f) and (g) made in example (v) of the Introduction. + Yk lim lP(Xn = 0) for some k ~ O} . D Exercises ~ 0 as n ~ 00.. 1.4 Each morning a student takes one of the three books he owns from his shelf. Since c > 0 was arbitrary. from left to right... 1... for n ~ N P(Xn = j) ~ c. irrespective of the initial arrangement of the books. . and determine the limit.8. and choices on successive days are independent. 2. Pn converges as n ~ 00.5 (Renewal theorem).1 Prove the claims (e). .I} such that P(Xn + k = j) c/2.3 A fair die is thrown repeatedly. Discretetime Markov chains ~ But for any n we can find k E {O. show that. where 0 < Qi < 1 for i = 1. identically distributed random variables with values in {I. as 1. Let X n denote the sum of the first n throws.3.n. }. 1. 1.8. Set Jl process is a Markov chain: Xn = E(Y1 ). Hence. ••• be independent.. The probability that he chooses book i is Qi.. 1. .K .1. Suppose that the set of integers {n : P(Y1 = n) > I} has greatest common divisor 1. + Yk for some k ~ 0) ~ 1/ Jl. Determine n+oo and hence show that as n P(n ~ 00 = Y1 + ..8.8. Show that the following = inf{m ~ n: m = Y1 + .2. and compare them with your answers there.
Theorem 1. A bulb is replaced when it fails... convergence to equilibrium shows behaviour which is asymmetrical in time: a highly organised state such as a point mass decays to a disorganised one. Although this appears to be a very special case of convergence to equilibrium. Xl = iNI. the invariant distribution. P).9. PiN 1 iN ... from state i. the past and future are independent given the present..n . one can actually recover the full result by applying the renewal theorem to the excursion lengths S~l). YI = i l .1. Proof. This property is symmetrical in time and suggests looking at Markov chains with time running backwards. It suggests that if we want complete timesymmetry we must begin in equilibrium.9 Time reversal 47 (Think of YI . j and P is also irreducible with invariant distribution 1r. First we check that P is a stochastic matrix: since 1r is invariant for P. This is an example of entropy increasing. P i 1io = 1rioPioi1 . run backwards. Suppose that (Xn)O~n~N is Markov(1T'.··· .9 Time reversal For Markov chains. . • •• as lightbulb lifetimes. Let P be irreducible and have an invariant distribution 1r.1. On the other hand. We have P(YO= io. where P = (Pij) is given by 1rjPji = 1riPij for all i. Next we check that 1r is invariant for P: L JEI 1rjPji = L JEI 1riPij = 1ri since P is a stochastic matrix.) 1. Then (Yn)O~n~N is MarkovCrr. S~2).XN = io) = 1riN PiNiN 1 . Thus the limiting probability that a bulb is replaced at time n is 1/ Jl.·. P) and set Y n = X N ..· . Y 2 . The next result shows that a Markov chain in equilibrium.YN = iN) = P(Xo = iN. The transition matrix may however be different. is again a Markov chain.
Finally. Example 1. with P irreducible.. Theorem 1.1. Then both (a) and (b) are equivalent to the statement that P = P in Theorem 1. The chain (Yn)O~n~N is called the timereversal of (Xn)O~n~N. it is often easier to find by the detailed balance equations than by the equation A = AP. (Yn)O~n~N is Markov(7r.9.il. Proof· We have (AP)i = LjE! AjPji = LjE! AiPij = Ai· D Let (Xn)n~O be Markov(A. P).9. Discretetime Markov chains so.in =j withpioil . Suppose that (Xn)n~O is Markov(A. since P is irreducible.. Let P be an irreducible stochastic matrix and let A be a distribution. P). We say that (Xn)n~O is reversible if. then A is invariant for P. (XNn)O~n~N is also Markov(A. the following result is worth remembering because. Lemma 1. Both (a) and (b) imply that A is invariant for P.. If P and A are in detailed balance.in1.1. by Theorem 1. j. D We begin a collection of examples with a chain which is not reversible.9.48 1. (b) P and A are in detailed balance.3. Pinli n > O. .2.4 Consider the Markov chain with diagram: 1 3 3 2 2 . for all N ~ 1... Pil io D = 7rioPioil . Then Pin inl . Though obvious. P).. P).. when a solution A to the detailed balance equations exists. for each pair of states i.1. A stochastic matrix P and a measure A are said to be in detailed balance if AiPij = AjPji for all i. Pinl in / 7ri n >0 so P is also irreducible.9. j there is a chain of states io = i.. Then the following are equivalent: (a) (Xn)n~O is reversible. . Proof.
~ II(.1. for example: . some of which are joined by edges. the transpose of P. An observer would see the chain spending most of its time near M and making occasional brief forays to the left.5 Consider the Markov chain with diagram: P q 1 P • q II( • o where 0 .6 (Random walk on a graph) A gr. If P were much larger than q. 1/3.M . 1.. this ignores the fact that we reverse the chain in equilibrium. So a solution is given by A = ((p/q)i : i = 0.i+l = Ai+lPi+l. The nonzero detailed balance equations read AiPi.i for i = 0. . . A patient observer would see the chain move clockwise in the long run: under timereversal the clock would run backwards! Example 1.aph G is a countable collection of states.. usually called vertices. which in this case would be heavily concentrated near M. . which behaviour is symmetrical in time.~ iI i i+l Ml M <P= 1 q < 1.1.9 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..M) and this may be normalised to give a distribution in detailed balance with P.9. so P =I P and this chain is not reversible.9. 1. But p is not symmetric. However. .. 1/3) is invariant. one might argue that the chain would tend to move to the right and its timereversal to the left. Hence this chain is reversible. Hence P = pT. Example 1.
7 (Random chessboard knight) A random knight makes each permissible move with equal probability. then 1r == V / a is invariant and P is reversible. It is easy to see that P is in detailed balance with V == (Vi : i E G). We have to assume that every vertex has finite valency. If it starts in a corner. The valency Vi of vertex i is the number of edges at i. The random walk on G picks edges with equal probability: 1 1 2 1 3 1 2 1 2 1 3 1 3 4 1 1 2 3 2 3 Thus the transition probabilities are given by if (i. So. if the total valency a == LiEG Vi is finite. j) is an edge otherwise. Discretetime Markov chains 1 2 4 3 Thus a graph is a partially drawn Markov chain diagram.50 1. Example 1. We assume G is connected. so that P is irreducible. 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: . There is a natural way to complete the diagram which gives rise to the random walk on G.9.
2 Alternatively.l..N} andp~J == 0 if Ij il2:: 2. is reversible: (a) lq p ) . 16 of valency 6. if you enjoy solving sets of 64 simultaneous linear equations. . . which you may assume is irreducible. and the 16 central squares have valency 8. Hence lEc(Tc ) = 8 + 24 + 80 + 96 + 128 = 168.3.1 In each of the following cases determine whether the stochastic matrix P. you might try finding 1r from 1r P == 1r. and the eight squares adjacent to the corners have valency 3.7.5! Exercises 1..9 Time reversal 51 The diagram shows a part of the graph. .7 and the preceding example that so all we have to do is identify valencies. We know by Theorem 1.9. . or calculating lEe (Te ) using Theorem 1. The four corner squares have valency 2.1. (b) (c) 1== {O. There are 20 squares of valency 4.
. For I = B.2 Two particles X and Y perform independent random walks on the graph shown in the diagram. when both X and Y start at I. I P for i 2:: 1. C or D with equal probability 1/3. 1. identically distributed..j E S.1 (Strong law of large numbers).i+l = P.52 1..2. Discretetime Markov chains (d) (e) = {a.. Pi.. 1.. 1.10 Ergodic theorem Ergodic theorems concern the limiting behaviour of averages over time.. So. Theorem 1. Pi. for example._.. Y 2 .. .. be a sequence of independent. } and POI = 1.10. DIet MI denote the expected time. a particle at A jumps to B.il = 1 Pij = Pji for all i. 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. nonnegative random . Let YI . Show that 9MD = 16MB..9. We shall prove a theorem which identifies for Markov chains the longrun 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. until they are once again both at I. D p . (b) X starts at A and Y starts at E.
D We denote by Vi (n) the number of visits to i before n: nl Vi(n) = L l{xk=i}' k=O Then Vi (n )/ n is the proportion of time before n spent in state i. in Probability with Martingales by David Williams (Cambridge University Press. If (Xn)n?O is Markov(. Theorem 1. So we must have. Let P be irreducible and let be any distribution. with probability 1 ~oo Y1 + .4)..2 (Ergodic theorem).. As N i 00 we have E(YI A N) i J_l by monotone convergence (see Section 6.10. Fix N < 00 and set yJN) = YnAN.x. P) then ]p> . Moreover. Then c (Yl + . + Yn n ~J_lasn~oo ) = 1. + Yn n as n ~ 00....x (Vi (n) n t . for example. A proof for the case J_l < 00 may be found..1 0 Ergodic theorem 53 variables with JE(Y1 ) = 11']) jj. . for any bounded function f : I ~ lR we have where and where (7ri : i E I) is the unique invariant distribution.as n mi t 00) = 1 where mi = Ei(Ti ) is the expected return time to state i. Then Y1 + ···+ Yn > Y1 n (N) + ···+ Yn n (N) _ t E(Y1 /\ N) asn~oo with probability one. 1991). The case where J_l = 00 is a simple deduction.!.1. in the positive recurrent case. Proof. The following result gives the longrun proportion of time spent by a Markov chain in each state.
5.V~(n)) Vi(n) (1. Discretetime Markov chains Proof. Vi(n) < + . the nonnegative random variables S. since P is recurrent P(Vi(n) So. Also the lefthand side being the time of the first visit to i after n . with probability 1. By Lemma 1. + S. so it suffices to consider the case A = bi..5.!. are independent and identically distributed with Ei(S. If P is transient.. . + S. we get JP> (Vi7n) t mi as n .n t 0= . 00 in (1. ...r)) = mi.54 1. P) and independent of X o. as in Section 1.. letting n ~ ~ 00 as n ~ 00) = 1.l)..!.t 00) = 1. the total number Vi of visits to i is finite.V~(n)l) Vi(n) n S.2). 't the lefthand side being the time of the last visit to i before n. so Vi(n) < Vi n .t 00 = 1 and... Now S't~l) + ••• + S~V~(n)l) < n 1 _ .8) By the strong law of large numbers JP> (S~l) + • ~ ~. . then. For T = T i we have P(T < 00) = 1 by Theorem 1. which implies P (Vi(n) n t .8). + S~n) ~ t mi as n ) .5. ...l) :::.7 and (XT+n)n~O is Markov(8i ..l) + . Write sir) for the length of the rth excursion to i. Hence S.1.1.. 8.as n mi t (0) = 1. mi Suppose then that P is recurrent and fix a state i. . Xl.XT by the strong Markov property. The longrun proportion of time spent in i is the same for (XT+n)n>O and (Xn)n>O.
The loglikelihood function is given by I(P) = log(.PXN1XN) = L i. which establishes the desired convergence.\xoPxoxl •• . For any J ~ I we have I ~ nl !(Xk) ! I = ~ ( n. " We proved above that JP> (Vi ~n) t 7ri as n t 00 for all i) = 1. Given c > 0. I < c/4.7ril + L IVi~n) . Let I : I ~ lR be a bounded function and assume without loss of generality that III ~ 1. to begin. for n ~ N(w). Then. 1 L  Vi(n) 1ri ) Ii k=O 'tEl ~ L IVi~n) iEJ iEJ . choose J finite so that and then N = N(w) so that.7ril i~J ~ L I Vi~n) ~ 2~ " iEJ 7ril + L i~J (Vi~n) + 7ri) i~J InVi(n)  1ri I +2~1ri.jEl N ij logpij .1. Consider. the case where we have N + 1 observations (Xn)O~n~N.1 0 Ergodic theorem 55 Assume now that (Xn)n~O has an invariant distribution (1ri : i E I). we have < c. D We consider now the statistical problem of estimating an unknown transition matrix P on the basis of observations of the corresponding Markov chain.. for n ~ N(w) 1ri "I iEJ Vi(n) ~ n.
. we first try to maximize l (P) + 2: i. . Since P must satisfy the linear constraint E j Pij = 1 for each 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.Y are N independent and identically distributed random variables with mean Pij. and Yn = 0 otherwise.jEI /LiPij and then choose (/li : i E I) to fit the constraints. But Nij = Y1 + . . So. 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.. Thus we find Nl Pij = L Nl 1{Xn =i. that is to say whether Pij ~ Pij with probability 1 as N ~ 00. + Y N . To maximize the likelihood for (Pij : ij j E I) we still maximize 2: N jEI log Pij subject to Ej Pij = 1. which is the choice of P maximizing l(P). This is the method of Lagrange multipliers. A standard statistical procedure is to find the maximum likelihood estimate P. Suppose then that instead of N + 1 observations we make enough observations to ensure the chain leaves state i a total of N times. Since this is clearly false when i is transient. by the strong law of large numbers P(Pij ~ Pij as N ~ 00) = 1. we shall slightly modify our approach. which shows that Pij is consistent.56 1.. 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. . Discretetime Markov chains up to a constant independent of P. which leads to the maximum likelihood estimate Pij = Nij/N. where N ij is the number of transitions from i to j. By the strong Markov property Yl. In the transient case this may involve restarting the chain several times. where Y n = 1 if the nth transition from i is to j..
3 Let (Xn)n~O be an irreducible Markov chain on I having an invariant distribution Jr. We look first for a constant solution X n = x.3.10. A more specialized case was dealt with in Example 1. In Example 1.4.11 Appendix: recurrence relations Recurrence relations often arise in the linear equations associated to Markov chains. This he does by sending flowers every day until she returns. The promoter stands to make £750 from each successful concert. so Yn = anyo. Having a fine artistic temperament.4 we found a recurrence relation of the form Xn+l = aX n + b.11 Appendix: recurrence relations 57 Exercises 1. (See Example 1.) Show that (Ym)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. bring about a reconciliation with probability yIX. so provided a =I 1 we must have x = b/(l .10.a) satisfies Yn+l = aYn. then x = ax + b. she is liable to pullout each night with probability 1/2. independently of past weather. If it is raining he likes to carry an umbrella and if it is fine he does not. In Example 1. 1. Now Yn = Xn . What is the longrun proportion of journeys on which the professor gets wet? 1. Flowers costing x thousand pounds.4.4. Thus the general solution when a =I 1 is given by Xn = Aa n + b/ (1  a) where A is a constant.b/(l .3 we found a recurrence relation of the form aXn+l + bXn + CXnl = 0 . When a = 1 the general solution is obviously Xn = Xo +nb. Once this has happened she will not sing again until the promoter convinces her of his high regard. How much should he spend on flowers? 1.3.1 Prove the claim (d) made in example (v) of the Introduction. He walks to the office in the morning and walks home in the evening. Suppose that it rains on each journey with probability p.10. 0 ~ x ~ 1. 1.a).2 A professor has N umbrellas. Here is an account of the simplest cases. For J ~ I let (Ym)m~O be the Markov chain on J obtained by observing (Xn)n~O whilst in J.1.
6 rested heavily on the use of the asymptotic relation n! rv Ayri(nje)n as n ~ 00 for some A E [1. Denote by 0: and {3 the roots of this quadratic.~t2 . If 0: = {3 # 0.~t3  By subtraction we obtain 2 log 1 (l+t) t 1_ = 13 15 t + 3 t +:5 t +. Discretetime Markov chains where a and c were both nonzero. but for all n.t) = t . so that Yo = Xo and Yl xl=Ao:+B{3 = Xl. by the same argument.. 1 + t) = t  ~t2 + ~t3  10g(1 . so by induction Yn = Xn for all n. then aX 2 + bX + c = O. X = 1.58 1.. then Yn = (A + nB)o:n is a solution and we can solve so that Yo = Xo and Yl = Xl. then. Hence the general solution is given by Ao:n + B{3n if 0: # {3 n { (A + nB)an if 0: = {3. . Then Yn = Ao: n + B{3n is a solution. Let us try a solution of the form X n = X n. Here is a derivation. Yn = Xn for all n. We make use of the power series expansions for 10g(1 It I < . The case 0: = (3 = 0 does not arise. 00 ).. . If 0: =1= (3 then we can solve the equations xo=A+B.12 Appendix: asymptotics for n! Our analysis of recurrence and transience for random walks in Section 1.
00) and hence An ~ A. by a straightforward + 1)2" log 1 (1+(2n+l)1) 1 _ (2n + 1)1 ..12(n + 1) .1. Then.1/(12n) increases as n ~ 00. 1 3 (2n + 1)2 . .an+! = (2n = logAn. (2n+1)5 1 1 1 = 3 (2n + 1)2 + 5 (2n + 1)4 + · .1.1 It follows that an decreases and an .12 Appendix: asymptotics for n! 59 Set An = n!/(nn+l/2 en) and an calculation an .. as n ~ 00. ::. 3" (2n (2n 1)4 1 + II} { + + + ··· 1 1 1 12n . By the series expansion written above we have anan+! = (2n+1) { Ill 1 1 1)2 (2n+1) +3"(2n+1)3 +5 II} + . Hence an ~ a for some a E [0. where A = ea..
9. 2.5 on birth processes provide a gentle warmup for general continuoustime Markov chains.1 Qmatrices and their exponentials In this section we shall discuss some of the basic properties of Qmatrices and explain their connection with continuoustime Markov chains. The theory takes some time to set up. Section 2.2 Continuoustime Markov chains I The material on continuoustime Markov chains is divided between this chapter and the next.8. These processes are simple and particularly important examples of continuoustime chains. The first three sections of Chapter 2 fill in some necessary background information and are independent of each other. Sections 2. so we advise that Sections 2.1. which are reviewed in Section 3.4 on the Poisson process and Section 2. Let I be a countable set. As in Chapter 1 the exercises form an important part of the text. provided you take certain basic properties on trust.8. To emphasise this we have put the settingup in this chapter and the rest in the next. If you wish.7 and 2. but once up and running it follows a very similar pattern to the discretetime case.j E I) . There is an irreducible level of difficulty at this point. Some examples of more general processes are given in Section 2.62. A Qmatrix on I is a matrix Q satisfying the following conditions: = (qij : i. especially 2.8 are read selectively at first. deal with the heart of the continuoustime theory. you can begin with Chapter 3.
.2. j) arrow on the diagram. The diagonal entry qii is then qi. i.00). for example: 1 3 1 2 Each diagram then corresponds to a unique Qmatrix. for all i qij ~ 0 =I j. For P E (0. ) is by the function (e tq : t ~ 0). but you can work them out from the other information given. subject only to the constraint that the offdiagonal row sum is finite: qi = Lqij j#i < 00. in this case Q= (~2 2 !1 1 3 ~) Thus each offdiagonal entry qij gives the value we attach to the (i. making the total row sum zero.2.00) a natural way to interpolate the discrete sequence (pn : n = 0. . . which we shall interpret later as the rate of going from i to j. We shall later interpret qi as the rate of leaving i. (iii) L jEI qij = 0 for all Thus in each row of Q we can choose the offdiagonal entries to be any nonnegative real numbers..2. A convenient way to present the data for a continuoustime Markov chain is by means of a diagram..1. Consider now a finite set I and a matrix . We may think of the discrete parameter space {O. The numbers qi are not shown on the diagram. } as embedded in the continuous parameter space [0. where q = logp.1 Qmatrices and their exponentials (i) 0 ~ (ii) qii 61 < 00 for all i. 1..
1.1. Then (P(t) : t ~ 0) has the following properties: (i) P(s + t) = P(s)P(t) for all s.. t E lR. 0) is the unique solution to the backward equation P(O) = I.2.j E I). sQ and tQ commute. (ii) (P(t) : t ~ 0) is the unique solution to the forward equation ~ P(t) = P(t)Q. (iii) (P(t) : t ~ P(O) = I. The matrixvalued power series P(t) = f: (t~)k k=O . Let Q be matrix on a finite set I..62 2. For any s. Continuoustime Markov chains I P = (Pij : i. Then e nQ = (eQ)n = p n so (e tQ : t ~ 0) fills in the gaps in the discrete sequence. t (semigroup property).1. so e sQ e tQ = e(s+t)Q proving the semigroup property. . if two matrices Q1 and Q2 commute. )? For any matrix Q = (qij : i.10.1. . j E I). Set P(t) = e tQ . we have Proof.2. Suppose then that we can find a matrix Q with eQ = P. the series converges componentwise and we denote its limit by eQ . (iv) for k = 0. Is there a natural way to fill in the gaps in the discrete sequence (p n : n = 0. Theorem 2. then The proofs of these assertions follow the scalar case closely and are given in Section 2... . Moreover.
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. A matrix Q on a finite set I is a Qmatrix if and only if P(t) = etQ is a stochastic matrix for all t ~ o. But if M(t) satisfies the forward equation. Since P(t) = P(t/n)n for all n. (ii) LPij = 1 for all i.!!.tQ = 0 so M(t)e.tQ ) dt dt dt = M(t)Qe.tQ is constant. Hence P(t) satisfies the forward and backward equations. for some C < 00. If Q has zero row sums then so does Qn for every n: """ qik = """ """ qij 1) qjk = """ qij 1) """ qjk = 0 .j. D The last result was about matrix exponentials in general. P (t) = L (k _ k=1 00 t k.j and all t ~ o. Now let us see what happens to Qmatrices.e. As t ! 0 we have so qij ~ 0 for i =1= j if and only if Pij (t) ~ 0 for all i. Recall that a matrix P = (Pij : i.tQ + M(t)( Q)e.1 Qmatrices and their exponentials 63 has infinite radius of convergence (see Section 2. then . and so M(t) = P(t). Later we shall also use the convention that f(t) = o(t) means f(t)/t ~ 0 as t ~ o. Theorem 2. j E I) is stochastic if it satisfies (i) 0 ~ Pij < 00 for all i. LJ (n) LJ LJ (n LJ ( n LJ kEI kEI jEI jEI kEI . Moreover by repeated termbyterm differentiation we obtain (iv).1 Qk 1)! = P(t)Q = QP(t).10). it follows that qij ~ 0 for i =1= j if and only if Pij(t) ~ 0 for all 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 termbyterm differentiation: . j and t ~ 0 sufficiently small.!!. A similar argument proves uniqueness for the backward equation.M(t)) e.(M(t)etQ ) = (.1.tQ + M(t) (. Proof.2.!!.2.
.2. We define a process indexed by {n/m : n = 0. ~ t n +l and all states for all n = 0. We shall now give some examples where the transition probabilities Pij(t) may be calculated explicitly. } as timeparameter sets which give rise to Markov(. n=l jEI 00 (n) = 1.i n + 1 . ..8.. } by Then (Xn : n = 0. . To anticipate a little.1.. all times io.. It should not then be too surprising that there is. . then L qij jEI ~I LPij(t) jEI = O.x. if P is a stochastic matrix of the form eQ for some Qmatrix.2. a continuoustime process (Xt)t...~o which also has this property.j) entry in etQ . Continuoustime Markov chains I tn LPij(t) jEI = 1 + L I" Lqij n.1.2..1. (eQ/m)m) (see Exercise 1.1. if LjE! Pij(t) = 1 for all t = ~ 0. D t=O Now. we shall see in Section 2.. we can do some sort of fillingin of gaps at the level of processes.. On the other hand.2. ) is discretetime Markov(. where Pij(t) is the (i. In particular.1.) You should compare this with the defining property of a discretetime Markov chain given in Section 1.8 that a continuoustime Markov chain (Xt)t~O with Qmatrix Q satisfies ~ to ~ .x. Fix some large integer m and let (X~)n~O be discretetime Markov(. P) when sampled at integer times. the transition probability from i to j in time t is given by ° (Recall that := means 'defined to equal'.x. eQ / m ). as we shall see in Section 2..1. .2) and Thus we can find discretetime Markov chains with arbitrarily fine grids {n/m : n = 0. . .64 So 2. .. .
1 Qmatrices and their exponentials Example 2. 4. band c.6. 2.) To determine the constants we use 1 = PII (0) = a + b + c. 7= so qii) = P~I (0) = 4b + 16c.4c.3 65 We calculate PII(t) for the continuoustime Markov chain with Qmatrix Q= (~2 2 !1 1 3 ~) The method is similar to that of Example 1. (This is because we could diagonalize Q by an invertible matrix U: Then 0 (2t)k 0 ) U. 2 = qII = P~I (0) = 2b . This shows that Q has distinct eigenvalues 0. We begin by writing down the characteristic equation for Q: o = det (x  Q) = x (x + 2) (x + 4).1. 4t so PII(t) must have the form claimed.4t for some constants a.1. Then PII(t) has the form PII(t) = a + be.2. .2t + ce.I 0 o (4t)k ~ e ) U I .
o. Then. PiN(O) = 0. for i < N. The exponential of an uppertriangular matrix is uppertriangular. by induction = e. where yt is a Poisson random variable of parameter At. First. So..A. starting from 0. 2 Nl N Example 2.~~. where Q= (~2 2 !4 1 3 ~). Pij (0) == 0.. Pii (0) == 1.t (At)ji (j _ i)!' If i = 0. the distribution of the Markov chain at time t is the same as the distribution of min{yt..jl (t). Continuoustime Markov chains I A ...4 We calculate Pij(t) for the continuoustime Markov chain with diagram given above. Exercises 2. for i < j < N.. .. A ~. 1 .66 2.1 Compute Pll(t) for P(t) = etQ . We can solve these equations... 41.. N}.At for i < N. P~N(t) = APiNl(t).. these are the Poisson probabilities of parameter At.1. so Pij(t) = 0 for i > j. for Pij(t) = e>. pii(t) i <j < N so. for i < N. P~j(t) = APij(t) + APi. In components the forward equation P'(t) = P(t)Q reads P~i(t) = APii(t)..1. The Qmatrix is A A A A A A Q= o A where entries off the diagonal and superdiagonal are all zero.
. X t1 = il..2 Which of the following matrices is the exponential of a Qmatrix? 67 (a) (~ ~) (b) (~ ~) (c) (~ ~). . any probability connected with the process. that is. There are subtleties in this problem not present in the discretetime case.2 Continuoustime random processes Let I be a countable set. .. This means in this context that for all wEn and t ~ 0 there exists € > 0 such that for t ~ s ~t + €. the probability of any event depending on a rightcontinuous process can be determined from its finitedimensional distributions.. or P(Xt = i for some t). . at least in principle. .J P(Xq1 P(Xt = i for some t E [0..00)) = 1n+oo lim = ji. such as lP(Xt = i) or lP(Xto = io.2 Continuoustime random processes 2.. They arise because. for a countable disjoint union whereas for an uncountable union Ut>o At there is no such rule. What consequences do your answers have for the discretetime Markov chains with these transition matrices? 2. which is proved in Section 6. By a standard result of measure theory. To avoid these subtleties as far as possible we shall restrict our attention to processes (Xt)t~O which are rightcontinuous.Xtn = in). ~ t n and i o.6. . q2. These should enable us to find.. We are going to consider ways in which we might specify the probabilistic behaviour (or law) of (Xt)t~o.. .1.Xqn = jn) jl . .in E I.in =l=i where ql. .2. is an enumeration of the rationals. . . 0 ~ to ~ tl ~ . For example '""" L.Xtn = in) for n ~ 0... A continuoustime random process with values in I is a family of random variables X t : n ~ I. from the probabilities lP(Xto = io.
68 2. so there are three possibilities for the sorts of path we get. t]: • o • • o ~ Jo = 0 1. In this case. Continuoustime Markov chains I Every path t ~ Xt(w) of a rightcontinuous process must remain constant for a while in each new state.1 t The second case is where the path makes finitely many jumps and then becomes stuck in some state forever: • Jo = 0 J. this is illustrated below.2 t In the third case the process makes infinitely many jumps in a finite interval. maybe infinitely often. after the explosion time ( the process starts up again. . In the first case the path makes infinitely many jumps. or it may not. but only finitely many in any interval [0. it may explode again.
..e. if I n 1 < 00 otherwise... • . and... J 1 ... • . • " .. .. . The terminology 'minimal' does not refer to the state of the process but to the . . the holding times. we define X oo = XJn .2. .... The (first) explosion time ( is defined by (= supJn = n I:Sn. .. 00 say.. They are obtained from (Xt)t~O by for n = 0.. So it is convenient to adjoin to I a new state.82 .  We call Jo.. If I n + 1 = 00 for some n. for n = 1.. .... Jo = 0 t 14. the final value. otherwise X oo is undefined. Any process satisfying this requirement is called minimal. Note that rightcontinuity forces 8 n > 0 for all n._.1. or the jump chain if it is a discretetime Markov chain. ~~~~~ .. This is simply the sequence of values taken by (Xt)t~O up to explosion. .2... where inf 0 = 00...2 Continuoustime random processes 69 :. and require that X t = 00 if t ~ (.. the jump times of (Xt)t~O and 8 1 ...... We shall not consider what happens to a process after explosion.. . n==1 00 The discretetime process (Yn)n~O given by Y n = X Jn is called the jump process of (Xt)t~O..... ..
A random variable T: n ~ (0. Note that a minimal process may be reconstructed from its holding times and jump process. 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 :::. Thus by specifying the joint distribution of 8 1 .3. . The exponential distribution plays a fundamental role in continuoustime Markov chains because of the following results. and (Yn)n~O we have another 'countable' specification of the probabilistic behaviour of (Xt)t~o. rv IP(T> s + tiT> s) = P(T> s + t) IP(T> s) = eA(s+t) e>'s = At e = IP(T > t).00] has exponential distribution of parameter X (0 ~ X < 00) if lP(T > t) = e.1 (Memoryless property).00] has an exponential distribution if and only if it has the following memoryless property: lP(T> s Proof. t < I n +1) = i for some t E [0. then T has density function The mean of T is given by E(T) = 1 00 IP(T > t)dt = AI.82. then lP(T > t) for all s. 2.70 2.At for all t ~ O. Continuoustime Markov chains I interval of time over which the process is active. If X > 0.. Suppose T + tiT> s) = E(X).. For example. We write T rv E(X) for short. Theorem 2. t ~ O. .00)) = lP(Yn = i for some n ~ 0).3 Some properties of the exponential distribution A random variable T : n ~ [0.
t ~ O. this forces g(t) so T rv E(A). be a sequence of independent random variables with 8 n rv E(A n ) and 0 < An < 00 for all n. for integers p.AS = e.2. s > 0 with r ::. by monotone convergence so . and gives a criterion for deciding which is true.At .AT = g(r) ~ g(t) ~ g(s) = e. Then g(t) = JP>(T > t) satisfies g(s + t) = g(s)g(t) for all s. t ::. Then. A < 00. > 0. choose rationals e. For real t r. by induction so g(l) = e. (i) Suppose E~1 1/ An < Then.3 Some properties of the exponential distribution 71 On the other hand. s. We assumed T > 0 so that g(l/n) > 0 for some n. then then JP> (00) = ~ Sn < 00 l. Let 8 1 .2. since we can choose rand s arbitrarily close to t. suppose T has the memoryless property whenever JP>(T> s) > O. JP> (00) = ~ Sn = 00 00. and.A for some 0 ::. 1 (i) If~ An < 00 00. This will be used to determine whether or not certain continuoustime Markov chains can take infinitely many jumps in a finite time. By the same argument. 0 The next result shows that a sum of independent exponential random variables is either certain to be finite or certain to be infinite. (ii) If ~ An 00 1 = 00. Proof.AT for all rationals r > O. 8 2 .3. Theorem 2..q ~ 1 g(p/q) = g(l/q)P = g(l)pjq so g(r) = e. Since 9 is decreasing. . . l.
Continuoustime Markov chains I 00. Set K Then = k if T k < T j for all j =I k.72 2. lP(K = k and T ~ t) ~ = lP(Tk = 1 it t t and Tj > Tk for all j =I k) 00 qkeqkBP(Tj > s for all j 1= k)ds = (OO qk e . Let I be a countable set and let Tk' k E I. 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. Then this infimum is attained at a unique random value K of k.3. Set T = inf k T k .8 in proving the forward equations for a continuoustime Markov chain. (ii) Suppose instead that E~11/An = 00. otherwise let K be undefined.qkB 00 IT eqjBds j# = 1 qke  q 8 qk ds = e .4. D The following result is fundamental to continuoustime Markov chains.q t . Then rr~o(1 + 1/ An) = By monotone convergence and independence so JP> (f n==l Sn = 00) = 1. be independent random variables with Tk rv E(qk) and 0 < q := EkE! qk < 00.3. Moreover. q Hence lP(K = k for some k) distribution. Theorem 2. D = 1 and T and K have the claimed joint The following identity is the simplest case of an identity used in Section 2. For independent random variables S E(jj) and for t ~ 0. Theorem 2. . with probability 1. T and K are independent. Proof.3.
. T 2 . . both as a gentle warmup for the general theory and because they are useful in themselves. be independent exponential random variables with parameters AI.3. The reader might well begin with the statement of this result and then see how it is used in the .3 Let 81. . . Exercises D 2... T} ? What is the probability that S :::..1 Suppose Sand T are independent exponential random variables of parameters Q and (3 respectively. that JP> (f Sn = n=l 00) = 1. Is the condition sUPn An < 00 absolutely necessary? 2. 2. . . 2.2.2 Let Tl.4 Poisson processes Poisson processes are some of the simplest examples of continuoustime Markov chains. 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)nl. The key result is Theorem 2. What is the distribution of min{S.2. We shall also see that they may serve as building blocks for the most general continuoustime Markov chain. An Use the strong law of large numbers to show. T} ~ t} are independent..4 Poisson processes Proof.. n = 1. which provides three different descriptions of a Poisson process. T? Show that the two events {S < T} and {min{S.3. respectively. = 2::1 Ti has exponential distribution of parameter A(3. . Moreover. 8 2 . We have 73 from which the identity follows by symmetry. Show that AlSl is exponential of parameter 1. and then subject only to the condition sUPn An < 00. a Poisson process is the natural probabilistic model for any uncoordinated stream of discrete events in continuous time..4.3. A2. So we shall study Poisson processes first.3. first in the special case = 1 for all n.
.... 1. 8 2...o4l~""''. ..2). A A A A Q= By Theorem 2. ... 8 2 . . ~ .. Here is the diagram: A A A A 234 The associated Qmatrix is given by 1 o . . .······ . 2 .. : : ..: . .... : .'_""""_" Jo = (} J. ..••ec. • ..~o with values in {O... We shall begin with a definition in terms of jump chain and holding times (see Section 2.2 (or the strong law of large numbers) we have P(Jn ~ 00) = 1 so there is no explosion and the law of (Xt)t.... A simple way to construct a Poisson process of rate A is to take a sequence 8 1 . .. .....3... :. are independent exponential random variables of parameter A and its jump chain is given by Yn = n. ... . . : : 0. ..2.. •00········ ' . } is a Poisson process of rate A (0 < A < 00) if its holding times 8 1. : ~ ...> .. .. I n = 81 + ... + 8 n and then set 5 . Continuoustime Markov chains I theorems and examples that follow... : ... to set Jo = 0. : . . of independent exponential random variables of parameter A. ... A rightcontinuous process (Xt)t. : O... .4 t .. : .74 2. .. 4 3 : : :. ...~o is uniquely determined. . 1 .
.82 . 81 .82 . Hence. of (Xt)t~O are given by 81 = 8 i +1 as shown in the diagram.. .. and independent of 8 1 . Then. are independent E(X).8i and {X s = i}.. Hence. (X s+t . Condition on 8 1 . conditional on {X s = i}.5. Let (Xt)t~O be a Poisson process of rate X.. s).8i .1. It suffice~to prove the claim conditional on the event X s each i ~ O.4 Poisson processes 75 The diagram illustrates a typical path. .. .X s . then by the memoryless property of 8 i +1 and independence. . are independent E(A). Theorem 2.82 . (Xt)t~O is a Poisson process of rate A and independent of (X r : r ~ s).. . (s . We now show how the memoryless property of the exponential holding times. 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. s 81 .82 . . D In fact. leads to a memoryless property of the Poisson process. Set X t = X s +t .. . Theorem 2...3. are themselves independent E(X).1 (Markov property). . 8 n = 8 i +n for n ~ o ill( s Recall that the holding times 8 1 .Xs)t~O is also a Poisson process of rate X. We have = i. 81.4.J i ). independent of(Xr : r:::.2. we shall see in Section 6. for On this event Xr = and the holding times L j==1 i l{srSt} for r ::. for any s ~ 0. .. conditional on {Xs = i}.. Proof.
3. We say that (Xt)t~O has stationary increments if the distribution of X s+t . (XT +t .e). for any t. Let 0 < A < 00. which gives two conditions equivalent to the jump chain/holding time characterization which we took as our original definition.82 . as h ! 0. We come to the key result for the Poisson process.Ah + o(h). So (Xt)t~O has independent increments and as h ! 0 lP(Xt+h .4.XT )t~O is also a Poisson process of rate A. ~ IF(81 ~ h and 8 2 ~ h) = (1  e.Ah )2 = o(h). We say that (Xt)t~O has independent increments if its increments over any finite collection of disjoint intervals are independent. we can consider its increment X t . Then the following three conditions are equivalent: (a) (jump chain/holding time definition) the holding times 8 1 ..X t has the same distribution as X h and is independent of (X s : s ~ t). which implies (b).h = Ah + o(h).76 2. (c) (transition probability definition) (Xt)t~O has stationary independent increments and. Continuoustime Markov chains I Theorem 2.. Let (Xt)t.X t ~ 1) lP(Xt+h . . t]. independent of(Xs:s~T).X s over any interval (s. for each t. (a) => (b) If (a) holds. Proof.X t ~ 2) = lP(Xh ~ = lP(Xh ~ 1) 2) = lP(J1 = lP(J2 ~ h) ~ h) = 1 .. h ~ 0.~o be a Poisson process oErate A and let T be a stopping time oE(Xt)t~o. Theorem 2. by the Markov property. rightcontinuous integervalued process starting from O. IF(Xt +h . X t has Poisson distribution of parameter At.4.2 (Strong Markov property). Let (Xt)t~O be an increasing.X t = 1) = Ah + o(h). Here is some standard terminology. Thus we have three alternative definitions of the same process. uniformly in t. conditional on T < 00. IF(Xt +h . 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.X s depends only on t ~ O. If (Xt)t~O is a realvalued process. then. Then. (b) (infinitesimal definition) (Xt)t~O has independent increments and.X t = 0) = 1 . the increment X t +h . .
Since this estimate is uniform in t we can put t = s . then. Set Pj(t) = P(Xt = j). Pj(t + h) = P(XHh = j) = = L P(X i==O j Hh  X t = i) P(Xt = j ..i) (1 .2.Ah + o(h) )Pj(t) + (Ah + o(h))Pjl (t) + o(h) so Pj(t + h~ . Pj(O) = 0 for j = 1. D The differential equations which appeared in the proof are really the forward equations for the Poisson process.. ._.2. Since X o = 0 we have initial conditions PO(O) = 1. J.. uniformly in t. for any s. If (Xt)(~O satisfies (b). Hence X t rv P(At).Pj(t) = >'Pj(t) + >'Pjl(t) + O(h). for i = 2.At _.4 Poisson processes 77 (b) ::::} (c) If (b) holds. (c) ::::} (a) There is a process satisfying (a) and we have shown that it must then satisfy (c)... but also (X s+t .. we have P(Xt + h . To make this clear.2... But condition (c) determines the finitedimensional distributions of (Xt)t~O and hence the distribution of jump chain and holding times. which implies (c). As we saw in Example 2. . so the above argument shows X s +t .X s rv P(At). so must every process satisfying (c). .1. j = 0. So if one process satisfying (c) also satisfies (a). for j = 1. .1. ..X t = i) = o(h) as h ! 0.3..h to obtain for all s.. consider the .2. . this system of equations has a unique solution given by (At)j Pj(t) = e. Ther:. then certainly (Xt)(~O has independent increments.4.Xs)t~O satisfies (b).?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).
X t == 1) == Ah + o(h). you might like to consider the difficulties in approaching the next result using the jump chain/holding time definition. P(¥t+h .X t = 0) == 1 . then (Xt + yt)t~O is a Poisson process of rate A + Jl. Theorem 2. = APi.Jlh + o(h).4.jl(t) .yt == 0) + lP(Xt+h . in matrix form. lP(Zt+h .Jlh + o(h)) = 1 . Continuoustime Markov chains I possibility of starting the process from i at time 0.¥t = 0) = 1 .Ah + o( h) )(Jlh + o( h)) = (A + Jl)h + o(h).X t = l)lP(yt+h . It can be useful when trying to decide whether a given process is a Poisson process as it gives you three alternative conditions to check. P(¥t+h . P(Zt+h .Zt = 0) = P(Xt+h . since (Xt)t~O and (yt)t~O are independent. Theorem 2. P(Xt+h . P'(t) = P(t)Q. according to which (Xt)t~O and (yt)t~O have independent increments and. P~j(t) = Pji(t).yt = 0) = (1 . For example.Zt = 1) = P(Xt+h .X t = O)P(yt+h . and we could rewrite the PiO(O) = 8iO . respectively. Set Zt = X t + yt.3 contains a great deal of information about the Poisson process of rate A. for Q as above.4. as h ! 0.(A + Jl)h + o(h). and it is likely that one will be easier to check than another. Pij(O) = 8ij or. uniformly in t. Hence (Zt)t~O is a Poisson process of rate A + Jl. writing Pi as a reminder.Ah + o(h))(l .Ah + o(h). P(Xt+h . If (Xt)t~O and (yt)t~O are independent Poisson processes of rates A and Jl.yt == 1) == (Ah + o( h) ) (1 . 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.4.Jlh + o( h)) + (1 . We shall use the infinitesimal definition.78 2. Then. (Zt)t~O has independent increments and.X t == O)lP(yt+h . by spatial homogeneity Pij(t) differential equations as p~O(t) = APiO(t). as h ! 0. P(O) = I. Proof. Then.yt = 1) = Jlh + o(h).APij(t). uniformly in t. D . and set Pij(t) = Pi(Xt = j).
. s + t].6. Theorem 2. 1) = 1) D Theorem 2.. the jump times J 1 .Xt as required.In have the same distribution as an ordered sample of size n from the uniform distribution on [O.. .. the jump times J 1 . Then.t]. . for o ~ u ~ t. Proof.In+1 have joint density function So for A ~ jRn we have IF((J1. ~tn~t}dt1 An In! we obtain ..X(tu) /(Ate'xt) = u/t.+Sn+l) 1 {Sl . The results say in effect that the jumps of a Poisson process are as randomly distributed as possible. .. s + t]. the time at which that jump occurs is uniformly distributed on [s. Notice that the conclusions are independent of the rate of the process considered. .4 Poisson processes 79 Next we establish some relations between Poisson processes and the uniform distribution..In ) E A and I n ~ t < I n+1) (tl ..... . .tn)EA 1{O~tl~ . . conditional on the event {Xt = n}.Sn+1 have joint density function An+1 e'x(Sl +.. Let (Xt)t~O be a Poisson process.Sn+l ~O} so the jump times J1. conditional on (Xt)t~O having exactly one jump in the interval [s.tn ) = n! l{o~tl~ .In have joint density function f(t1. IF(J1 ~ u I X t = IF(J1 ~ u and X t = l)/lF(Xt = = IF(Xu = 1 and X t .... it suffices to consider the case s = O.2.Xt An 1 = n) = IF((J1.. .. . . The holding times S1.4.. We shall use the finitedimensional distribution definition. Thus. Then.. .4. ... Then.. 0 . . . .In ) E A and X t = e. ~tn~t}. conditional on {Xt = n}..5..Xu = O)/lF(Xt = 1) = Aue'xue. dtn and since IF(Xt = n) = e. Proof. . .. By stationarity of increments. Let (Xt)(~O be a Poisson process...
Finally JP>(Bt = k I R t + Bt = n) = JP>(Bt = k and R t = n . . the number of robins seen by time (Rt)t~O of rate p.k)! n! (e (e (e = (~) (p~~)k (p:~)nk so if n birds are seen in time t. So a robin arrives first with probability p/(p + (3) and. Example 2.4. By Theorem 2. by the memoryless property of T 1 .k)/JP>(Rt + B t = n) ppn k f3 CP f3 = (3k) . and the number of blackbirds is a Poisson process (Bt)t~O of rate (3.4.4 the total number of birds seen in an interval of duration t has Poisson distribution of parameter (p + (3)t. Show directly from this definition that the first jump time J1 of a Poisson process of rate A is exponential of parameter A. the probability that the first two birds are robins is p2 / (p + (3)2. then the distribution of the number of blackbirds is binomial of parameters nand {3/ (p + (3). 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. The probability that in any small interval of duration h a robin will arrive is found to be ph+o(h). Exercises 2. what is the distribution of the number of blackbirds seen in time t? t is a Poisson process By the infinitesimal characterization. Show also (from the same definition and without assuming the strong Markov property) that and hence that J 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.4. Continuoustime Markov chains I We finish with a simple example typical of many problems making use of a range of properties of the Poisson process.80 2.7 Robins and blackbirds make brief visits to my birdtable.)/ + )(p+(3)n) k! (n .J1 is also exponential of parameter A and independent of J1. whereas the corresponding probability for blackbirds is (3h+o(h).1 State the transition probability definition of a Poisson process.
4. We begin with a definition in terms of jump chain and holding times. . a car would pass in either direction).3 Arrivals of the Number 1 bus form a Poisson process of rate one bus per hour. its holding times 8 1 .5 A pedestrian wishes to cross a single lane of fastmoving traffic. A Geiger counter placed near the source records a fraction p of the particles emitted. how long on average does it take to cross over safely? [Consider the time at which the first car passes.82 ..2. conditional on X o == i. where j == 0. (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.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.4. qi+1. are independent exponential random variables of parameters qi. . at any time whilst crossing. is the probability that I wait for 30 minutes without seeing a single bus? 2. Assuming that the pedestrian can foresee correctly the times at which vehicles will pass by. and its jump chain is given by Y n == i + n. respectively.4.4 A radioactive source emits particles in a Poisson process of rate A. A minimal rightcontinuous process (Xt)(~O with values in {O.2. The data for a birth process consist of birth rates 0 ~ qj < 00. and suppose it takes time a to walk across the lane. 2.1. What.. (b) when an island in the middle of the road makes it safe to stop halfway? 2. . and arrivals of the Number 7 bus form an independent Poisson process of rate seven buses per hour. } U {oo} is a birth process of rates (qj : j ~ 0) if..] 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.4.5 Birth processes 81 2. then. What is the distribution of the number of particles recorded in time t? 2.2..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. . The particles are each emitted in an independent random direction. 1.. Suppose the number of vehicles that have passed by time t is a Poisson process of rate A.
82
2. Continuoustime Markov chains I
ql
o
~
1
2
. . ..
q2
~
q3
3
4
.
The flow diagram is shown above and the Qmatrix 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 = iX. 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)
,xeASlE(X
tI
T = s )ds
+ e At •
Put Jl(t)
= E(Xt ), then E(Xt IT = s) = 2Jl(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
041~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. Continuoustime 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, rightcontinuous 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,jl(t)(qjlh + o(h)) + o(h)
86
so
2. Continuoustime 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, ...
6 Jump chain and holding times 87 This section begins the theory of continuoustime Markov chains proper.6. which we shall describe. JEI We will sometimes find it convenient to write qi or q( i) as an alternative notation for qii. Recall that a Qmatrix on I is any matrix Q = (qij : i. Let I be a countable set. where possible. 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 = 0.1 The Qmatrix Q = (~2 ~1 ~) 2 1 3 . and which underlie many applications. For each i E I we take. Example 2. The jump matrix IT = (7rij : i. putting a 0 on the diagonal. We are going to describe a simple procedure for obtaining from a Qmatrix Q a stochastic matrix IT. then we leave them alone and put a 1 on the diagonal. the offdiagonal entries in the ith rovJ of Q and scale them so they add up to 1. (ii) qij ~ 0 for all i =I j. It also makes possible a number of constructive realizations of a given Markov chain. which will occupy the remainder of this chapter and the whole of the next.2. This is only impossible when the offdiagonal entries are all 0. j E I) which satisfies the following conditions: (i) 0 ~ qii < 00 for all i. The basic data for a continuoustime Markov chain on I are given in the form of a Qmatrix. The approach we have chosen is to introduce continuoustime chains in terms of the joint distribution of their jump chain and holding times. the associated diagram transforms into a discretetime Markov chain diagram simply by rescaling all the numbers on any arrows leaving a state so they add up to 1. {O 1 ~f qi 1= If qi = O. 0 This procedure is best thought of row by row. This provides the most direct mathematical description. (iii) L qij = 0 for all i. As you will see in the following example.6 Jump chain and holding times 2.
.Y .x. A minimal rightcontinuous process (Xt)t~O on I is a Markov chain with initial distribution .x.x.2.. ••• be independent exponential random . conditional on yo. its holding n times Sl.see Section 2.x and generator matrix Q if its jump chain (Yn)n~O is discretetime Markov(. . IT) and let T 1 .1 . . T 2 . IT) and if for each n ~ 1.. We say (Xt)t~O is Markov(. We can construct such a process as follows: let (Yn)n~O be discretetime Markov(. Continuoustime 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 continuoustime Markov chain in terms of its jump chain and holding times. Q) for short. Recall that a minimal process is one which is set equal to 00 after any explosion . .Sn are independent exponential random variables of parameters q(Yo).88 has diagram: 2.q(Yn1) respectively.
.j E I. as required.3.x. we begin with an initial state X o = Yo with distribution .8n . for j =I i.. if Y n = i we set 8~+1 = T~+l/qij..6 Jump chain and holding times variables of parameter 1.j)t~o having rate qij. + 8 n and Yn if I n ~ t < I n+1 for some n X t = { 00 otherwise. . So. rather than proceeding first via the jump matrix.3. . In more mathematical terms. Set 8 n I n = 8 1 + . 00 ~~ S~+l' n+1  _ {j 'l .j)t~o : i.2.1.. n 1 00 00. inductively for n = 0. Then. independent of (Yn)n~O... . Y n+1 has distribution (7rij : j E I). each passage shut off by a single door which opens briefly from time to time to allow you through in one direction only. Imagine the statespace I as a labyrinth of chambers and passages.2. . Then set J o = and define inductively for n = 0.i =I j}.1 ).x. nj I n+1 = inf{t > I n : =I Nj: j for some j #lyn } ° Nr Yn + 1 = j { if I + < .. . . and with a family of independent Poisson processes {(N.x is based on the Poisson process. Here is the second construction. 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. This construction n shows why we call qi the rate of leaving i and qij the rate of going from i to j.. by Theorem 2. Then. Sn+l = y: Jr'I. conditional on Yn = i. and independent of yo. conditional on Y n = i. Our third and final construction of a Markov chain with generator matrix Q and initial distribution . (N. and with an array (T~ : n ~ 1. . the random variables 8~+1 are independent exponentials of parameter qij for all j =I i. You will need to understand these constructions in order to identify processes in applications which can be modelled as Markov chains. then you will perform a Markov chain with Qmatrix Q. j E I) of independent exponential random variables of parameter 1. and Njnj n+l =I Njnj n 'l If I n + 1 = .1.. 89 = T n /q(Yn. 1 if 8~+1 = 8 n + 1 < ·f S n+1 = 00. and 8 n + 1 and Y n + 1 are independent. Both constructions make direct use of the entries in the Qmatrix.2.. . We shall now describe two further constructions. We begin with an initial state X o = Yo with distribution . Then (Xt)t~O has the required properties.Y and 8 1 . 8 n+1 is exponential of parameter qi = Ej:j=i qij.
. Q).1 )Sn. by Theorem 2. 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. (XT+t)t~O has the same distribution as (Xt)t~O and is independent of (X s : s ~ T).N!} is a Poisson process of rate qij independent of (N. conditional on I n < 00 and Y n = i. 2. If we condition on X o and on the processes (Ntkl)t~O for (k. .3. So. we can take T = I n to see that. 8 n+1 is exponential of parameter qi. and 8 n +1 and Y n +1 are independent. . . the explosion time ( is given by Sn n==l Theorem 2. 8 2 . Recall the notation of Section 2.l) =1= (i. (ii) sup qi < 00. (Xt)t~O has the strong Markov property.. and i is recurrent for the jump chain. J2. conditional on T < 00 and XT = i.Y and 8 1 .8n · Hence (Xt)t~O is Markov(X. J 1. which are independent of N..90 2. and independent of yo. J 1 is exponential of parameter qi = Lj#i qij. by the strong Markov property of the Poisson process N. In particular. although each holding time is strictly positive. then {T ~ t} depends only on (N. especially when the statespace is infinite. q = SUPi qi < 00 and 00 . This phenomenon is called explosion. conditional on Yo = i. are independent E(l) and independent of (Yn)n~O.j. In cases (i) and (ii).7 Explosion We saw in the special case of birth processes that. . and holding times 8 1 . so we shall not rely on this third construction in the development of the theory.l) =1= (i. Hence.j : s ~ T).j). and independent of X o and (Ntkl)t~O for (k.j := N!}+t . ..7. .. and J 1 and Y1 are independent.3. Continuoustime Markov chains I The first jump time of (N. . Y n+1 has distribution (7rij : j E I).. The conditioning on which this argument relies requires some further justification.. Then explode if anyone of the following conditions holds: (i) I is finite. . So.j : s ~ t).1.j)t~o is exponential of parameter qij. . Y1 has distribution (7rij : j E I). Now suppose T is a stopping time of (Xt)t~o.. Let (Xt)t~O be Markov(X. Q) and. moren over. o (= supJn = n 2: 00 (Xt)t~O does not iEI (iii) X o = i.2: for a process with jump times Jo.j). Proof. T 2 .. Set Tn = q(Yn. then T 1 .
then for all i. J 1 is E(qi) and Moreover. at times N 1 . N 2 . Here as in Chapter 1 we denote by Pi the conditional probability Pi(A) = P(AIXo = i). for the associated Markov chain Pi (( < 00) > 0 for some i E I. Condition on X o = i. Zi ~ Zi (ii) Qz = Oz. Let (Xt)t~O be a continuoustime 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.+! = 00 We say that a Qmatrix Q is explosive if. The result just proved gives simple conditions for nonexplosion and covers many cases of interest.2.1.2. Moreover.7. Otherwise Q is nonexplosive. by the Markov property of the jump chain at time n = 1. but these are not as easy to apply as Theorem 2. Proof. 7 Explosion with probability 1. say. we know that often. (XJl+t)t~O is Markov(8k. The time and place of the first jump are independent. conditional on XJ 1 = k. Q). It is a simple consequence of the Markov property for (Yn)n>O that under Pi the process (Xt)t>o is Markov(8i . Then qi( ~ with probability 1. Theorem 2. Fix () > 0 and set Zi = Ei(e(}().Q) and independent of J 1 • So and . D (Yn)n~O 91 visits i infinitely L m==l 00 TN". Then Z = (Zi : i E I) satisfies:  (i) IZil ~ 1 for all i. • •• .7. In case (iii). ifz also satisfies (i) and (ii).
For each (J > 0 the following are equivalent: (a) Q is nonexplosive. Note that the same argument also shows that Suppose that z also satisfies (i) and (ii). Continuoustime Markov chains I qi Recall that = qii and q(Jrik = qik. in particular for all i.9 () = o.9() = 0 for all i.92 2.qii)Zi =L k#i so OZi = Lqikzk kEI and so z satisfies (i) and (ii).9Jn ) for all n.7. By the theorem. if (b) holds. so JP>i(( = 00) = 1 and (a) holds. If (a) holds then JP>i(( = 00) = 1 so E i (e.3. On the other hand. and hence (b) holds. D .9 (). by symmetry z ~ 0. (b) Qz = (Jz and IZil ~ 1 for all i imply z = o. By monotone convergence as n ~ 00. then by the theorem E i (e. < E·(e. hence z ~ 0. Qz = (Jz and Izl ~ 1 imply Zi ~ E i (e. Proof. Suppose inductively that z. since z satisfies (ii) Hence Zi ~ E i (e. Then qikZk (0 . D Corollary 2. then.9Jn ) ~ ~ then. so Zi ~ Zi for all i.
i+l = Aqi.8 Forward and backward equations Exercise 93 2.1 (Strong Markov property).00] is a stopping time of (Xt)t~O if for each t E [0.4. Q) and independent of (Xs : s ~ T). Recall that a random variable T with values in [0. in general. Why is this condition necessary for (Xt)t~O to be explosive for all Jl E [0. the first step is to deduce the Markov property from the jump chain/holding time definition. Then. Q) and let T be a stopping time of (Xt)t~o. it does not answer some basic questions.~o be a Markov chain on the integers with transition rates and qij = if Ij . we might wish to calculate IPi(Xt = j). we shall give the strong Markov property as this is a fundamental result and the proof is not much harder.7.~o to be explosive. (Xt)t~O is nonexplosive if and only if one of the following conditions holds: ° qi. starting from 0.il ~ 2. In this section we shall obtain two more ways of characterizing a continuoustime Markov chain. write down a necessary and sufficient condition for (Xt)t. qi. If you want to understand what happens. (XT+t)t~O is Markov(8i .2.5.1 Let (Xt )t. where there is a . that X t hits i.8 Forward and backward equations Although the definition of a continuoustime Markov chain in terms of its jump chain and holding times provides a clear picture of the process. the proof of both results really requires the precision of measure theory. We shall present first a version for the case of finite statespace. Theorem 2. which will in particular give us a means to find IPi(Xt = j). so we have deferred it to Section 6. Theorem 2. 2. E~ll/qi = 00. (b) the expected total time spent in state i. where A + Jl = 1 and qi > for all i. starting from 0. In fact.1 on the Poisson process gives the main idea in a simpler context. Let (Xt)t~O be Markov(A. As for Poisson processes and birth processes.1/2)? Show that. For example. Find for all integers i: (a) the probability.8. A > Jl and A < Jl and E~l 1/ qi = 00. However.00) the event {T ~ t} depends only on (X s : s ~ t). conditional on T < 00 and XT = i.il = Jlqi ° (i) (ii) (iii) A = Jl. In the case where Jl = 0. We come to the key result for continuoustime Markov chains.
all times to ~ t 1 ~ .. conditional on X t = i. is the distribution of X o. Thus for every state j there is an inequality . Theorem 2.. . Let (Xt)t. h ~ 0. 1. . Proof. 8 2 > h) = (1 . conditional on yo.~o satisfies any of these conditions then it is called a Markov chain with generator matrix Q. Xt+h is independent of (X s : s ~ t) and. for all j (c) (transition probability definition) for all n = 0. .. . P(o) = I. where>. where (Pij (t) : i. . j E I.q(Yn . (b) (infinitesimal definition) for all t. and for j =I i we have JP>i(Xh = j) ~ JP>(J1 ~ h. as h ! 0.8n n are independent exponential random variables of parameters q(Yo). (a) =* (b) Suppose (a) holds. If (Xt)t. . the holding times 8 1 . In this case there are three alternative definitions. Then the following three conditions are equivalent: (a) (jump chain/holding time definition) conditional on X o = i.2. . ~ t n +1 and all states io.94 2.. Let Q be a Qmatrix on I with jump matrix II.. .Y .8. .. IT) and for each n ~ 1. Continuoustime Markov chains I simpler proof. t ~ 0) is the solution of the forward equation P'(t) = P(t)Q. Q) for short. ... just as for the Poisson process.1 .in +1 °::.eqih)7rijeqjh = qijh + o(h).... then. uniformly in t..~o be a rightcontinuous process with values in a finite set I. .. We say that (Xt)(~O is Markov(>. the jump chain (Yn)n~O of (Xt)t~O is discretetime Markov(8 i . as h ! 0. Y1 = j..1 ) respectively. 2.
Also. h ~ 0. and satisfies the forward equations ° p~/t) = LPik(t)qkj. hence differentiable. then differentiable on the left.h in the above and let h ! to see first that Pij(t) is continuous on the left. there is a slight variation of the argument from (b) to (c) which leads directly to the backward equation. we see that Pij(t) is differentiable on the right. Then by the Markov property.4. X t + h is independent of (X s : s ~ t) and.1 that for I finite the forward and backward equations have the same solution. (b) holds for (Xtn+t)(~O so. . D We know from Theorem 2. Since I is finite.2.1. Indeed. as h ! 0. proving (c).1.8 Forward and backward equations 95 and by taking the finite sum over j we see that these must in fact be equalities. Pij(t) is then the unique solution by Theorem 2. uniformly in t kEI If (b) holds. moreover. then Pij(t + h) = LlPi(Xt = k)IP(XHh = j = I X t = k) LPik(t)(8kj + qkjh + o(h)). conditional on X t = i. Then by uniformity we can replace t by t . uniformly in t (b) :::} (c) Set Pij(t) for all t. kEI Pij(O) = 8ij .Pij(t) = LPik(t)qkj + O(h) kEI so. (c) :::} (a) See the proof of Theorem 2. kEI Since I is finite we have Pij(t + h~ . letting h ! 0. for any t. h ~ 0. as h = lFi(Xt = j) = IF(Xt = j I X o = i).1. by the above argument. ! 0. if (b) holds. then and. So in condition (c) of the result just proved we could replace the forward equation with the backward equation.3.
t and Pij(t.. p((n~l)t. in (c) we see that P(O. t + h) : i.j E I) of differentiable functions satisfying this system of differential equations. We shall prove this result by a probabilistic method in combination with Theorem 2.8. though uniform in t.1. Let Q be a Qmatrix. kEI Pij(O) = 15ij and the results on matrix exponentials given in Section 2. are not a priori identical.3. or simply the semigroup of Q.j E I) satisfies P(t. the qualifications minimal and nonnegative being understood. There are just two alternative definitions now as the infinitesimal characterization become problematic for infinite statespace. This solution forms a matrix semigroup P(s)P(t) = P(s + t) for all s. Some care is needed in making this precise.96 2.~)p(~. t n 4 eq as n 4 00. t) = etQ . P(O) =I has a minimal nonnegative solution (P(t) : t 2: 0).4..t)=p(o. We turn now to the case of infinite statespace. P(O) =I only now we have an infinite system of differential equations P~j(t) = L qikPkj(t).8. We call (P(t) : t ~ 0) the minimal nonnegative semigroup associated to Q. Continuoustime Markov chains I The deduction of (c) from (b) above can be seen as the matrix version of the following result: for q E lR we have (1 + ~ + o( ~) ) Suppose (b) holds and set then P(t. t + h) = I + Qh + o(h) = P(O. . The backward equation may still be written in the form P'(t) = QP(t).t) (I+t~ +o(~))n.1 no longer apply. + h) + h) = P(Xt +h = j I X t = i). t ~ O. = (Pij(t. On the other hand. since the o(h) terms. Then the backward equation P'(t) = QP(t). A solution to the backward equation is any matrix (pij(t) : i. Note that if I is finite we must have P(t) = etQ by Theorem 2.1. Theorem 2.~). Here is the key result for Markov chains with infinite statespace.
.1. We show that P(t) satisfies the backward equation. ~ t n+l and all states io. . the holding times 8 1 . . t < J1) + LJP>i(J1 ::.s)ds.q(Yn.1 .i n+l If (Xt)t~O satisfies any of these conditions then it is called a Markov chain with generator matrix Q.Y . . where A is the distribution of X o. all times 0 ~ to ~ tl ~ .... XJI = k. . Then conditional on J 1 = sand X J1 = k we have (X8+t)t~O rv Markov(8k..1 ) respectively. t. We know that there exists a process (Xt)t~O satisfying (a). We say that (Xt)t~O is Markov (A. ..8.3 and 2. the jump chain (Yn)n~O of (Xt)t~O is discretetime Markov(8i. So let us define P(t) by Pij(t) =JP>i(Xt =j). II) and for each n ~ 1.2.1) = eQit8ij + 2: k#i Jo t qieQiS7rikPkj(t . XJl k#i = k. Conditional on X o = i we have J 1 rv E(ql) and X J1 rv (7rik : k E I). So and JP>i(J1 ::. JP>i(Xt = j.. Let Q be a Qmatrix on I with jump matrix IT and semigroup (P(t) : t ~ 0). conditional on yo. . ..2. .. Proof of Theorems 2. ...8.s in each of the integrals.. Make a change of variable u = t . Q) for short. X t = j) = Therefore Pij(t) = I t qieQiS7rikPkj(t .4. Q). X t = j) (2.4.8 Forward and backward equations 97 Theorem 2. (2. Then the following conditions are equivalent: (a) (jump chain/holding time definition) conditional on X o = i. Let (Xt)(~O be a minimal rightcontinuous process with values in I.s)ds. (b) (transition probability definition) for all n = 0.2) . t. Step 1.8n n are independent exponential random variables of parameters q(Yo). il.8. interchange sum and integral by monotone convergence and multiply by eqit to obtain eQitpij(t) = 8ij + Jo tL k#i qieQiU7rikPkj(u)du. .
then for all i. (2.3) P~j(t) = L qikPkj(t) kEI so P(t) satisfies the backward equation. firstly. we (2. L k#i Recall that obtain qi = qii and qik = qi'lrik for k =I i. if P(t) satisfies the backward equation. Continuoustime Markov chains I This equation shows.4) and (2. j. t  s < In)ds. by reversing the steps from (2.1) also shows that JP>i(Xt =j. Step 2. . hence P(t) is the minimal nonnegative solution.1) to (2. then P(t) ~ P(t). Let us suppose inductively that for all i. that Pij (t) is continuous in t for all i. j and t.98 2. j and t. then by comparing (2. and hence Pij (t) is differentiable in t and satisfies eqit(qiPij(t) + P~j(t)) = qieqit7rikPkj(t). j and t.1) is called the integral form of the backward equation. Then. We show that if P(t) is another nonnegative solution of the backward equation. hence continuous.t < I n +l) = eqit15ij +L k=li Jo rt qieQiS7rikJP>k(Xts = j. The argument used to prove (2.3).4) On the other hand.5) we have for all i. The integral equation (2. Secondly. on rearranging. the integrand is then a uniformly converging sum of continuous functions. then. it also satisfies the integral form: If P(t) 2 0.
Suppose. The argument is a little longer because there is no reversetime Markov property to give the conditional distribution.4.8 Forward and backward equations and the induction proceeds. .1 are no longer valid. We need the following timereversal identity. . instead of conditioning on the first event..4. as we have throughout.8.8. P(Xtn +1 = i n+1 IXto = io. 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. (c) :::} (a)). now understood as an infinite system of differential equations p~/t) = LPik(t)qkj.4 by the usual argument that (b) must now imply (a) (see the proof of Theorem 2. This time. kEI Pij(O) = 8ij .3. a simple version of which was given in Theorem 2.j E I) of differentiable functions satisfying this system of equations. We shall show that the semigro~p (P( t) : t ~ 0) of Q does satisfy the forward equations.tn) so (Xt)t~O satisfies (b). Then.3.. . Hence for all i. by a probabilistic argument resembling Step 1 of the proof of Theorems 2.8.4. This completes the proof of Theorem 2.3 and 2.Xtn = in) = Pin (Xtn+ltn = in+1) = Pi nin+l (tn+l .8. Hence (P(t) : t ~ 0) is a matrix semigroup. j and t. A solution is then any matrix (pij(t) : i. Step 4. that by the Markov property (Xt)t~O satisfies (a).2. The forward equation may still be written P'(t) = P(t)Q. 99 Step 3. D So far we have said nothing about the forward equation in the case of infinite statespace.3. We complete the proof of Theorem 2. we condition on the last event before time t. P(O) = I. Remember that the finite statespace results of Section 2.
100
2. Continuoustime 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 lefthand side is given by
Jt:!..(t)
{
qi n exp{ qi n (t 
Sl 
· ·· 
sn)}
k=l
IT
qikl exp{ qikl 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
qink+l exp{ qink+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 nonnegative solution (P(t) : t 2: 0) of the backward equation is also the minimal nonnegative 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
qjeQjBJP>k(Jn_1 ::; t 
S
< I n I Yn1 = i)ds
t
e QjB (qk/qi)JP>i (In1 ::; 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) = 8ijeqit
+
f
00
'2: i t JP>i(Jnl ::; t 0
X
s
1
< I n I Yn 
1
= k)
n=lki=i
IPi(Yn 
= k, Yn = j)Qkeqj8ds
= 8ijeqit + L
= 8ijeqit
L
io
0
ft
JP>i(Jnl ::; t 
s < I n , Yn  1 =
k)qk'lrkjeqjSds
n=lki=i
+
io
t '2:Pik(t k#j
s)qkjeqjSds
(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 lefthand 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. Continuoustime 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 )
= 8ijeqit +
If P(t) ~ 0, then
L
(t IP\(Xt = j, t < In)qkjeQjBds.
(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 ninelegged 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 birthanddeath process with rates An = nA and P(Xt = 0) satisfies
2.9 Nonminimal chains
and deduce that if A =I Jl then
103
2.9 Nonminimal chains
This book concentrates entirely on processes which are rightcontinuous 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 Qmatrix 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 continuoustime 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 = L2i < 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. Continuoustime 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 rightcontinuous. Here is an altogether more exotic example, due to P. Levy, which is not even rightcontinuous. 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\Dnl) 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.
.. P(Xt = 00) = 0 for all t ~ O. or Diffusions. we have IQcjl ~ IQI. . Chichester. ~ tn+l In particular. (a) For any vector v we have IQvl ~ IQllvl.2.j Obviously.10 Appendix: matrix exponentials 105 This process runs through all the dyadic rationals i E I in the usual order. IQl + Q21 ~ IQll + IQ21 and IQIQ21 ~ IQIIIQ21· Proof. Williams (Wiley. We shall show that the two norms are equivalent and that IQI is well adapted to sums and products of matrices. v#O IIQlloo = sup Iqijl· i. There is a semigroup of stochastic matrices (P(t) : t ~ 0) on I such that.. San Francisco. Lemma 2. C. so IIQII~ ~ L(qij)2 = IQcjl2 i ~ IQI 2. Rogers and D. with 1 in the jth place. IIQlloo is finite for all Q and controls the size of the entries in Q. We have (a) (b) IIQlloo ~ IQI ~ NIIQlloo. see Freedman's book. For further reading. Chung (Springer.10. or else Markov Chains with Stationary Transition Probabilities by K. ..0). which IIQlloo is not. In particular. 1971). for 0 ~ to ~ . We hope these three examples will serve to suggest some of the possibilities for more general continuoustime Markov chains. 1967). 2nd edition. G. 1994).1. Berlin. The details may be found in Markov Chains by D. Freedman (HoldenDay. 2nd edition. . 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.1. at j say. The supremum defining IIQlloo is achieved. 2. Markov Processes and Martingales.10 Appendix: matrix exponentials Define two norms on the space of realvalued N x N matrices IQI = sup IQvl/lvl. ..1 for an exponential time of parameter 1. . Vol 1: Foundations by L.L.. for the vector Cj = (0. It remains in i E D n \Dn .
2.E(m))iil ~ IIE(n) . IQIQ2 V ~ IQI11Q2 V l ~ IQIIIQ21Ivl· l D Now for n = 0..1. Continuoustime Markov chains I IQvI 2 = ~ (~qijVj) 2 ~ ~ ( ~ IIQllooIVjl) = 2 NIIQII~ ( ~ IVjl) 2 and. consider the finite sum E(n) For each i and j..E(m)1 n k=m+l n Lkf IQl k E~o IQl k /k! converges by the ratio test. by the CauchySchwarz inequality (b) For any vector v we have I(QI + Q2)vl ~ IQI V I + IQ2 V l ~ (IQll + IQ21)1vl. n k=m+l ' " . .k! LJ IQl k ~O as m. . so Qk < Since '" . . we have I(E(n) .106 On the other hand 2.k!· LJ k=m+l IQI ~ NllQlloo < 00.n ~ 00.E(m)lloo ~ IE(n) . and m ~ = L k=O n Qk kf' n.
. proving that Qk e Q = L kf k=O CX) is well defined and.)  ~ (tQ)fj L. which therefore converges. for two commuting matrices Q1 and Q2 we have . indeed. Finally. _ '1.j.10 Appendix: matrix exponentials 107 Hence each component of E(n) forms a Cauchy sequence.J k! k=O has infinite radius of convergence for all i.2. that the power series (e t Q ) .
j E I) satisfying the following conditions: (i) 0 ~ qii < 00 for all i. Recall that a Qmatrix on I is a matrix Q = (qij : i. (ii) qij 2 0 for all i =I j. jEI We set qi IT = (7rij : = q(i) = qii.. _ { ~J 7r. for continuoustime chains.3 Continuoustime Markov chains II This chapter brings together the discretetime and continuoustime theories. allowing us to deduce analogues. 3.j E I) given by 1r.1. of all the results given in Chapter 1. Exercises remain an important part of the text. but. You will require a reasonable understanding of Chapter 1 here.. Note that II is a stochastic matrix. _ ~~  {o qij / qi 0 1 if j if j =I i =I i and qi =I 0 and qi = 0. . given such an understanding. this chapter should look reassuringly familiar. if qi if qi =I 0 = o.1 Basic properties Let I be a countable set. (iii) L qij = 0 for all i. Associated to any Qmatrix is a jump matrix i. All the facts from Chapter 2 that are necessary to understand this synthesis are reviewed in Section 3.
. jump chain and explosion.. . Y2 . choosing state j with probability 1rij. forgetting what has gone before.1 = inI. states that (a) (Yn)n~O is Markov(X.. As the name implies we have P(s)P(t) = P(s + t) for all s. .Sn n are independent exponential random variables of parameters qi o ' . We established in Section 2. The explosion time ( is given by 00 ( = '""" 8 n = n+oo I n . Thus I n = 8 1 + ... . . . (b) conditional on Yo = i o. . J 2 . . .82 .qin 1 .3. (8n )n>1 are the holding times and (In )n>1 are the jump times.J n=l For a minimal process we take a new state 00 and insist that X t = 00 for all t 2 (..83 . 1 jEI for all Associated to any Qmatrix is a semigroup (P(t) : t 2 0) of substochastic matrices P(t) = (Pij(t) : i. respectively and jumping to the next state at times J1. . The distribution X gives the initial distribution. . J 3 . a rightcontinuous process (Xt)t~O runs through a sequence of states Yo.. the holding times 8 1 . It then starts afresh.Y . E I) with non LPij ::. + 8 n . but equivalent. in terms of jump chain and holding times.1 Basic properties A substochastic matrix on I is a matrix P negative entries and such that 109 = (Pij : i. The discretetime process (Yn)n~O is the jump chain. it waits there for an exponential time of parameter qi and then jumps to a new state. j i. t 2 o. .2: minimal rightcontinuous random process. You will need to be familiar with the following terms introduced in Section 2.. jump times. IT).. An important point is that a minimal rightcontinuous process is determined by its jump chain and holding times...j E I). Briefly. The first. lim L. given that the chain starts at i. holding times.. the distribution of X o.· . ways to describe how the process evolves.8 that there are two different. The Qmatrix is known as the generator matrix of (Xt)t~O and determines how the process evolves from its initial state. being held in these states for times 8 1 . Put more simply. Y1 . The data for a continuoustime Markov chain (Xt)t~O are a distribution X and a Qmatrix Q.
7. where ~ and P(h) are defined on IU{oo}. .110 3. by time t it is found in state j with probability Pij (t). Note that we have not yet said how the semigroup P(t) is associated to the Qmatrix Q.1.x and P(h) by ~oo = 0 and Pooj(h) = O.x. The semigroup is also the minimal nonnegative solution of the forward equation P'(t) = P(t)Q. Continuoustime Markov chains II The second description. P(t) is simply the matrix exponential etQ . that is. But there is no danger of confusion in using the simpler notation.i n + 1 ~ to ~ tl ~ . P(O) = I which reads in components P~j(t) = L qikPkj(t). So we recall from Section 2. forgetting what has gone before.2. P(h)). P(h)). all times 0 i o. given that the chain starts at i. . Strictly.:EPij(t) > 0 jEI the chain is found at 00 with probability Pi 00 (t). It then starts afresh. ... The information coming from these two descriptions is sufficient for most of the analysis of continuoustime chains done in this chapter. in terms of the semigroup. . and is the unique solution of the backward and forward equations. P(O) = I. we should say Markov(~. kEI Pij(O) = 8ij .. in the explosive case. This description implies that for all h > 0 the discrete skeleton (Xnh)n~O is Markov(.. states that the finitedimensional distributions of the process are given by (c) for all n = 0. extending. In the case where Pioo(t) := 1 ..8 that the semigroup is characterized as the minimal nonnegative solution of the backward equation P'(t) = QP(t). put more simply. except via the process! This extra information will be required when we discuss reversibility in Section 3. In the case where I is finite. . The semigroup P(t) is referred to as the transition matrix of the chain and its entries Pij (t) are the transition probabilities. iI. . ~ tn+l and all states Again. when P(t) is strictly substochastic.
i I . We emphasise that we deal only with minimal chains. We say that i leads to j and write i ~ j if lPi(Xt =j for some t ~ 0) > o.3. Implications (iv) => (v) => (i) => (ii) are clear. .... . D Condition (iv) of Theorem 3. .. and then only periodically.1 shows that the situation is simpler than in discretetime. = i. Pinlin (tin) > 0 for all t > 0.1. which implies (iii). (iv) Pij(t) > 0 for all t > 0..2. Qinli n > 0 for some states io.2. '1ri n li n > 0. those that die after explosion. We say i communicates with j and write i ~ j if both i ~ j and j ~ i. absorbing state and irreducibility are inherited from the jump chain. The notions of communicating class. (v) Pij(t) > 0 for some t > o. so if (iii) holds. If qij > 0. there are states io..in with i o i in = j.2. where it may be possible to reach a state. Theorem 3. 3.3 Hitting times and absorption probabilities Let (Xt)t>o be a Markov chain with generator matrix Q. For distinct states i and j the following are equivalent: (i) i ~j. in = j and '1rioi l '1rili2 . then for all t > 0. then by Theorem 1. Proof.. The hitting time of a subset A of I is the random variable D A defined by .2. and (iv) holds.1.2 Class structure 3. . closed class.iI. then Pij (t) ~ Pioil (tin) .. as discussed in Section 1. (iii) Q oilqili2 . but only after a certain length of time. If (ii) holds.. Then the class structure is simply the discretetime class structure of the jump chain (Yn)n~O. (ii) i ~ j for the jump chain..in with io = i.2 Class structure 111 A first step in the analysis of a continuoustime Markov chain (Xt)t~O is to identify its class structure.
then  {H A < oo} and on this set we have = {D A < oo} D A = JHA. starting from i. The vector of hitting probabilities h A = (hf : i E I) is the minimal nonnegative solution to the system of linear equations Proof.3. We emphasise that (Xt)t>o is minimal. 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) in terms ofQ.2 to the jump chain and rewrite (1. Apply Theorem 1. The probability.3. 1 2 2 (Xt)t~O to reach A is given 1 1 2 3 3 3 4 .112 3.3. D The average time taken. starting from i.1. that (Xt)t~O ever hits A is then When A is a closed class. So if H A is the hitting time of A for the jump chain. Continuoustime Markov chains II with the usual convention that inf 0 = 00. for by In calculating kf we have to take account of the holding times so the relationship to the discretetime case is not quite as simple. Theorem 3.
Suppose i fj.LjEI qijkf = for i fj. On solving these linear equations we find k 1 = 17/12.3 Hitting times and absorption probabilities 113 Example 3.1). First we show that k A satisfies (3.3.2 Consider the Markov chain (Xt)t~O with the diagram given on the preceding page.3. (3. Theorem 3. Thus 1 k1 = ~ + ~ k 2 + ~ k3 ~ and similarly k2 = ~ + ~k 1 + ~k3. 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. How long on average does it take to get from 1 to 4? Set ki = E i (time to get to 4).5. Assume that qi > 0 for all i fj. A. j~A k~A . Here is the general result. so by the Markov property of the jump chain so kt = Ei(D A ) = Ei(J1 )+ LE(DAJ1 I Y1 = j)IP\(Yl = j) = q. k3 = + ~k1 + ~k2.3.3.l+L j#i j#i 'lrij k 1 and so .1). A. then D A = 0.1) Proof. The proof follows the same lines as Theorem 1. A. Then kf = Yi = 0 for i E A. On starting in 1 we spend an average time ql = 1/2 in 1. A. The vector of expected hitting times k A = (kt : i E I) is the minimal nonnegative solution to the system of linear equations kt { =0 1 for i E A .Lqijk1 JEI = 1. so kt = o. then D A ~ J 1 . If X o = i E A. then jump with equal probability to 2 or 3. If X o = i fj.3. Suppose now that Y = (Yi : i E I) is another solution to (3.
as required. 2. The next result shows that. 3.114 3.4 Recurrence and transience Let (Xt)t~O (Xt)t~O be Markov chain with generator matrix Q. . recurrence and transience are determined by the jump chain.. Recall that we insist be minimal..3. · 1rindnYin· So. + lEi (Sn 1{HA:2:n}) + L . We say a state i is recurrent if JP>i({t ~ 0: X t = i} is unbounded) = 1.1 Consider the Markov chain on {I.. Calculate (a) the probability of hitting 3 starting from 1. 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. Note that if (Xt)t~O can explode starting from i then i is certainly not recurrent. by monotone convergence. 3.. if y is nonnegative where we use the notation HA /\ n for the minimum of H A and n. (b) the expected time to hit 4 starting from 1. D 3. L jl~A jn~A 1riil . Continuoustime Markov chains II By repeated substitution for y in the final term we obtain after n steps Yi = lEi(Sd + . Now so. Yi ~ E i (D A) = Exercise kf. like class structure. We say that i is transient if JP>i( {t ~ 0 : Xt = i} is unbounded) = O..
4. Also X(Jn ) = Y n = i infinitely often. and the first passage time of the jump chain (Yn)n~O to state i. so i is recurrent.2) by Theorem 3.4. If qi = 0. (i) Suppose i is recurrent for (Yn)n~O.4. Proof. The following dichotomy holds: (i) if qi = 0 or IPi(Ti < 00) = 1. (Yn)n~O. then i is transient for (Xt)t~O. Suppose then that qi > o. . If X o = i then 00.4. Then Jo IPi(Ni < 00) = IPi(Ti < 00) so i is recurrent if and only if IPi(Ti < 00) = 1.5.4 Recurrence and transience Theorem 3. n=O 00 (n) 1rii (3. defined by Ti(w) = inf{t ~ J 1 (w) : Xt(w) = i}. We have: (i) if i is recurrent for the jump chain (Xt)t~O.5. then (Xt)t~O cannot leave i.7. Pii(t)dt < 00. We shall show that 1 o 00 1 pii(t)dt . then i is recurrent and (ii) ifqi > 0 and IPi(Ti < 00) < 1. Proof. If X o = i then (Xt)t~O does not explode and I n ~ 00 by Theorem 2.3 to the jump chain. which is finite.:_ L q1.5. (iii) every state is either recurrent or transient.4 to the jump chain.1. (ii) Suppose i is transient for (Yn)n~O. (iii) Apply Theorem 1. (iv) recurrence and transience are class properties. because (Yn : n ~ N) cannot include an absorbing state. Let N i denote for all t.3. so {t ~ 0 : X t = i} is unbounded.3.1 and so that i is recurrent if and only if Pii(t)dt = the corresponding result for the jump chain.j) entry in rrn.1 and the corresponding result for the jump chain.1.2. Write 1r}j) for the (i. then i is transient and Jo Jo oo oo Pii(t)dt = 00. with probability 1. (iv) Apply Theorem 1. We denote by T i the first passage time of (Xt)t~O to state i. Pii(t) = 1 oo Pii(t)dt = 00. 115 then i is recurrent for (ii) if i is transient for the jump chain. Jo oo 00. D The next result gives continuoustime analogues of the conditions for recurrence and transience found in Theorem 1. by Theorem 3. with probability 1. N = sup{ n ~ 0 : Yn = i} < so {t ~ 0: X t = i} is bounded by J(N +1). Theorem 3.
we show that recurrence and transience are determined by any discretetime sampling of (Xt)(~o.5. Theorem 3. Continuoustime Markov chains II To establish (3. (Zn)n~O. Proof.116 3.4.4.4): = 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. by monotone convergence and the result follows by Theorems 1. B} with Qmatrix (a a) (3 (3 . . he fluctuates between these states as a Markov chain Y on {A.2.1 Customers arrive at a certain queue in a Poisson process of rate A. The single 'server' has two states A and B.3.4. To prove (i) we use for nh estimate ~ t < (n + l)h the which follows from the Markov property.2) we use Fubini's theorem (see Section 6. Independently of how many customers are in the queue. Claim (ii) is obvious. state A signifying that he is 'in attendance' and state B that he is having a teabreak. The total service time for any customer is exponentially distributed with parameter Jl and is independent of the chain Y and of the service times of other customers. Then. (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.3 and 3. Let h > 0 be given and set Zn = X nh . D Exercise 3.
for some fJ in (0.2. and k = 0.5. Explain why.5 Invariant distributions Just as in the discretetime theory.3. so (Jl(II ..1].xiqij iEI iEI = (.. and explain why this is intuitively obvious. . Let Q be a Qmatrix with jump matrix IT and let A be a measure. . Show that (fJ . where By considering f(l) or otherwise.8ij ) = :E.I))j = :EJli(1rij . . We say that A is invariant if AQ=O.1. the notions of invariant distribution and measure play an important role in the study of continuoustime Markov chains. 3.1. Proof· We have qi ('lrij . Theorem 3. (ii) Il IT = Il where Ili = Aiqi.bij) = qij for all i. The following are equivalent: (i) A is invariant.5 Invariant distributions Describe the system as a Markov chain X with statespace 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. j. prove that X is transient if 1l(3 < A(a+(3).1) f (fJ) = 0.xQk D This tieup 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.
denotes the minimum of T i and (. By Theorems 3.1. Then. when (iii) holds we have mi = l/(Aiqi) for all i.6. by Theorem 3.n<Nd = LEi(Sn+l I Y n =j)Ei (l{Yn=j. Continuoustime Markov chains II Theorem 3. So. By Fubini's theorem 00 f. (ii) some state i is positive recurrent.J n=O Nil = q.n<Ni } ) n=O 00 = qJ ~lE· '""" 1{Yn=J.L. Define Jli = (Jl. which is unique up to scalar multiples. D Recall that a state i is recurrent if qi = 0 or lPi (Ti < 00) = 1. Denote by N i the first passage time of the jump chain to state i. Let us exclude the trivial case I = {i}.5. Then Q has an invariant measure A which is unique up to scalar multiples.3.1 and 3. By monotone convergence. L jEI f. Theorem 3. by Theorems 1.5.5.n<Ni } .4. Moreover. Suppose that Q is irreducible and recurrent.1.118 3.7. ~ L. II has an invariant measure jj.7.2. Otherwise a recurrent state i is called null recurrent.L. It is obvious that (i) implies (ii). = Ei(Ti 1\ ().5 and 1. Proof. : j E I) by f. 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.l Ei L n=O l{Yn=j} = . Let Q be an irreducible Qmatrix. II is irreducible and recurrent. (iii) Q is nonexplosive and has an invariant distribution A. Then the following are equivalent: (i) every state is positive recurrent.L~ = Ei 10 where T i /\ ( fTil\( 1 {xs=j}ds. As in the discretetime case positive recurrence is tied up with the existence of an invariant distribution. then irreducibility forces qi > 0 for all i. = Ei L n=O 00 Sn+l 1{Yn=j.j/qj . then irreducibility forces qi > 0 for all i.2. Proof.
.. We know that "ill = by Theorem 1...7. To complete the proof we return to the preceding calculation armed with the knowledge that Q is recurrent.5...Jl < 1: AqO o ../qj ~ L Vj/Qj jEI jEI jEI = 2: Aj/(Aiqi) = l/(Aiqi) < 00 jEI showing that i is positive recurrent. so JliQ = 0 by Theorem 3.. so the jump chain is recurrent. j.. in the notation of Section 1.~ . suppose (iii) holds. then i is certainly recurrent.. Fix i E I and set Vj = Ajqj/(Aiqi).. Vj = .1 iI i i+1 The jump chain behaves as a simple random walk away from 0. is the expected time in j between visits to i for the jump chain. ./mi. so (Xt)(~O is recurrent if A ~ Jl and transient if A > Jl. and Q is nonexplosive.5. and mi = l/(Aiqi) for all i..5. by Theorem 2. hence 11 is recurrent. where qi > 0 for all i and where 0 < A = 1 . or even recurrence.6. then Vi = 1 and vll = v by Theorem 3.1...5 Invariant distributions 119 "i where..5. for all j by Theorem 1.. .7.3. = L .7. On the other hand. = Ei(Ti) = jEI mi so we obtain an invariant distribution A by setting Aj = Jl.7.1...1... Suppose (ii) holds. D The following example is a caution that the existence of an invariant distribution for a continuoustime Markov chain is not enough to guarantee positive recurrence. But Jli has finite total mass L Jl. So mi = LJl. Example 3. To compute an invariant measure v it is convenient to use the detailed balance equations for all i. so Vj ~ .4 Consider the Markov chain (Xt)(~O on Z+ with the following diagram.
2 to see that any solution is invariant. the case where qi = 2i for all i and 1 < AI Il < 2.3. it is nonexplosive by Theorem 2.120 3.l(A/Il)i.5. In this case the nonzero equations read for all i. the only possibility is that (Xt)t~O is explosive.3. Theorem 3. so = Il implies that Il is proportional to A.7. and P(s) is recurrent by Theorem 3. and from the proof of Theorem 3. so IlQ = O.4. Thus it suffices to show IlP( s) = Il. but (Xt)t~O is also transient. (ii) AP(S) = A. Since Q is recurrent.1.5.P'(s) = >. Proof. The next result justifies calling measures A with AQ = 0 invariant. There is a very simple proof in the case of finite statespace: by the backward equation ds>'P(s) = >. Hence any A satisfying (i) or (ii) is unique up to scalar multiples.QP(s) so AQ Il P (s) d = 0 implies AP(S) = AP(O) = A for all s. Let Q be irreducible and recurrent. Then v has finite total mass so (Xt)t~O has an invariant distribution. Continuoustime Markov chains II Look ahead to Lemma 3. P(s) is also recurrent.3. By the strong Markov property at T i (which is a simple consequence of the strong Markov property of the jump chain) . If the jump rates qi are constant then v can be normalized to produce an invariant distribution precisely when A < Il. the interchange of differentiation with the summation involved in multiplication by A is not justified and an entirely different proof is needed. The following are equivalent: (i) AQ = 0. For infinite statespace. Consider.5. So a solution is given by Vi = q:.7. and let A be a measure. on the other hand. Let s > 0 be given.5. if we fix i and set then IlQ = o. Given Theorem 3.
t t JP\(Xs +t < Ti)dt < Ti)Pkj(s)dt = = = roo '2:)J. You will see that the situation is analogous to the case of discretetime.5. Let Q be an irreducible nonexplosive Qmatrix having an invariant distribution A.6 Convergence to equilibrium Hence.pii(h))pij(t) I k#i :s. for all i. 1 .6 Convergence to equilibrium We now investigate the limiting behaviour of Pij (t) as t ~ 00 and its relation to invariant distributions.(1 . Let Q be a Qmatrix with semigroup P(t).5.5. conditional on X s Markov(8i . D Theorem 3.Pij(t)1 kEI = !:EPik(h)Pkj(t) .»i(X kEI i = k. s +Ti /£j = = 121 1 Jo kEI lEi l 00 s l{X t=j}dt = j. by the Markov property.qih . Q).1. lF i (J1 :s. h) = 1 . Q) then so is (Xs+t)(~O for any S 2: o.6. Then.e. only there is no longer any possibility of periodicity. We shall need the following estimate of uniform continuity for the transition probabilities.pii(h) :s. By Theorem 3. using Fubini's theorem. We have Ipij(t + h)Pij(t)1 = I:EPik(h)Pkj(t) . t L(lE kEI Jo (Ti l{Xt=k}dt)Pk j (s) :E /£kPkj(S) as required. D . D 3. IF(Xs = i) = (AP(S))i = Ai so.6. If (Xt)(~O is Markov(A.3. for all t. Lemma 3. Proof. h 2: 0 Proof.
Q).1. D The complete description of limiting behaviour for irreducible chains in continuous time is provided by the following result. we fill in the gaps using uniform continuity. j we have Proof Let (Xt)(~O be Markov(8i . and having an invariant distribution A.5. Fix h > 0 and consider the hskeleton Zn = Xnh. so that for n 2: N. By Theorem 3. Let Q be an irreducible nonexplosive Qmatrix with semigroup P(t). Then for all states i.2. Given € > 0 we can find h > 0 so that for 0 and then find N. for all i.4 so (Zn)n~O is discretetime Markov(8i . By Theorem 3.2 (Convergence to equilibrium). We do not give the details. .6.122 3. Hence Pij(t)~Aj as n~oo. For t 2: Nh we have nh ~ ~ s ~ h t < (n + l)h for some n 2: Nand by Lemma 3.j so P(h) is irreducible and aperiodic. by discretetime convergence to equilibrium. Fix a state i.1 irreducibility implies pij(h) > 0 for all i. By Theorem 2. So.5 by the same argument we used in the preceding result.6. j Thus we have a lattice of points along which the desired limit holds.5.8. A is invariant for P(h).8. P(h)). It follows from Theorem 1. Continuoustime Markov chains II Theorem 3.
3 Customers arrive at a singleserver queue in a Poisson stream of rate A.6.3.1 Find an invariant distribution A for the Qmatrix Q = (~2 2 !4 1 3 ~) and verify that limt~ooPII(t) = Al using your answer to Exercise 2.7 Time reversal Time reversal of continuoustime chains has the same features found in the discretetime case. Each customer has a service requirement distributed as the sum of two independent exponential random variables of parameter Jl. Suppose that (Xt)(~O is Markov(v.2 In each of the following cases. Then as t ~ 00 for all j E I where mj is the expected return time to state j. Calculate the essentially unique invariant measure for Q. Note in the following . Let Q be an irreducible Qmatrix and let v be any distribution. and deduce that the chain is positive recurrent if and only if AI Il < 1/2. compute limt~oo P(Xt = 21Xo = 1) for the Markov chain (Xt)t~O with the given Qmatrix on {1.6. Reversibility provides a powerful tool in the analysis of Markov chains. 3. 3. explaining what the states of the chain represent.6. Exercises 3.4}: (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. as we shall see in Section 5.3. 7 Time reversal 123 Theorem 3. Q).6.2. Write down the generator matrix Q of a continuoustime Markov chain which models this.3.2. Service requirements are independent of one another and of the arrival process.1.1.
j.8. Define P(t) by AjPJi(t) = AiPij(t). Then the process (Xt)O<t<T is Ma. But this is the backward equation for Q.t . We shall suppose implicitly that this is done.. which rested on the time reversal identity of Lemma 2. for 0 = to < . < t n = T and Sk = tk .tn = in) = AinPininl (sn) ..6. Hence Q is irreducible and nonexplosive and has invariant distribution A. Finally. the semigroup (P(t) : t 2: 0) of Q is the minimal nonnegative solution of the forward equation P'(t) = P(t)Q.. By Theorem 2. Let T E (0. thus obtaining again a rightcontinuous process. Pinlin (Sn) SO. .k~v(A.00) be given and let (Xt)O<t<T be Markov(A. We could if we wished redefine the timereversed process to equal its right limit at the jump times. Also..e Proof. Q). A Qmatrix Q and a measure A are said to be in detailed balance if for all i. for all t > 0.4 again. .1. and P(t) is then its minimal nonnegative solution. For the processes we consider. Q is also irreducible and nonexplosive with invariant distribution A. (Xt)O~t~T is Markov(A.124 3. where Q = (~j : i..7. Continuoustime Markov chains II result how time reversal interchanges the roles of backward and forward equations.. this is unimportant.5. P(Xto = io. A small technical point arises in time reversal: rightcontinuous processes become leftcontinuous processes. and we can rewrite the forward equation transposed as P'(t) = QP(t) . by Theorem 2. . Set Xt = X T . by Theorem 2. Pi l io (Sl) = AioPioi l (Sl) .8. P(O) = I.. then P(t) is an irreducible stochastic matrix with invariant distribution A.4 we have .. D The chain (Xt)O~t~T is called the timereversal of (Xt)O~t~T.. P(t) is an irreducible stochastic matrix with invariant distribution A. Mo.. Q).Xtn = in) = P(XTto = io.tk1. . This echoes our proof of the forward equation.8. and forget about the problem.XT . Let Q be irreducible and nonexplosive and suppose that Q has an invariant distribution A. . Q). Theorem 3.8. which is itself a Qmatrix.j E 1) is given by Aj~i = Aiqijo over.
Show that the expected number of lines in use at time t.7. D Exercise 3. Show that for large t the distribution of the number of lines in use at time t is approximately Poisson with mean AI Jl. Suppose that (Xt)(~O is Markov(A.2. Find the equilibrium distribution of the number of buses in service. Both (a) and (b) imply that A is invariant for Q.7.7. the number Nt of calls finishing in the time interval [0. set up a Markov chain model for this process. (XTt)OstsT is also Markov(A. Here is the result. Each bus breaks down independently at rate Jl. for all T > 0. Assuming that infinitely many telephone lines are available.2 Calls arrive at a telephone exchange as a Poisson process of rate A. (b) Q and A are in detailed balance. Is (Nt)t~o a Poisson process? 3. t] has Poisson distribution of mean At. Proof· We have (AQ)i = EjEI Ajqji = EjEI Aiqij = 0. Show that. Q).8 Ergodic theorem 125 Lemma 3. and the lengths of calls are independent exponential random variables of parameter Jl. D Let (Xt)(~O be Markov(A. Q). IfQ and A are in detailed balance then A is invariant for Q. 3. We say that (Xt)(~O is reversible if.1 Consider a fleet of N buses.1. .eJLt)1 Jl. nonexplosive. Q). when it is sent to the depot for repair.8 Ergodic theorem Longrun averages for continuoustime chains display the same sort of behaviour as in the discretetime case. is neJLt + A(l .3. Find the mean length of the busy periods during which at least one line is in use. in equilibrium.7. Theorem 3. and for similar reasons.3. given that n are in use at time 0. Then both (a) and (b) are equivalent to the statement that Q = Q in Theorem 3. with Q irreducible and. Let Q be an irreducible and nonexplosive Qmatrix and let A be a distribution. Then the following are equivalent: (a) (Xt)(~O is reversible.7. Proof. The repair shop can only repair one bus at a time and each bus takes an exponential time of parameter A to repair.
8.. so t 1 Jo l{x s =i}ds::. If (Xt)(~O is Markov(v. Q)..126 3.T!" . If Q is transient then the total time spent in any state i is finite. by Tin the time of the nth return to i and by Li the length of the nth excursion to i. L~ .. Denote by Mi the length of the nth visit to i. for any bounded function f : I ~ lR we have where and where (Ai: i E I) is the unique invariant distribution.+l : X t = i} L ~+l = T?1'+l . setting Tp = 0. Proof. ~ ~ ~ By the strong Markov property (of the jump chain) at the stopping times Tin for n ~ 0 we find that L}. Then (Xt)(~O hits i with probability 1 and the longrun proportion of time in i equals the longrun proportion of time in i after first hitting i. . are independent and identically distributed with mean l/qi. Thus for n = 0. . . + Lr:t ~ n n ~ mi asn~oo M~ ~ + . Hence.10. M?......1 (Ergodic theorem). .. it suffices to consider the case v = bi. t t 1 {~ Jo l{x s =i}ds ~ 0 = 1 mi · Suppose then that Q is recurrent and fix a state i.1) L~ ~ + .2. +M!L 1 ~~qi asn~oo . Let Q be irreducible and let v be any distribution. 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. in the positive recurrent case.Tin T in + 1 = inf{t > Tin + M. are independent and identically distributed with mean mi.1. . Continuoustime Markov chains II Theorem 3. and that Ml. we have M. by the strong Markov property (of the jump chain). by the strong law of large numbers (see Theorem 1. So. Moreover.+l = inf{t > Tin: X t =1= i} .
. we note that Tin /Tin+ 1 ~ 1 as n ~ with probability 1. by the same argument as was used in the proof of Theorem 1. In particular.3. for Tin ~ t < T in+ 1 we have T!L M~ ~ T!"+l L~ ~ ~ ~ + ···+ M!L <1 ~ + ···+ Lr:t ... + M!L ~ L} + ···+ Li ~ 1 asn~oo miqi 00 with probability 1. + L. Now. We conclude that 1 t it 0 f(Xs)ds ~ 1 ast~oo with probability 1. D ...2.8 Ergodic theorem and hence M~ ~ 127 + . with probability 1 In the positive recurrent case we can write where Ai = 1/(miqi).t ~ it 0 1 {Xs=~} ·ds<~ T!"+l M~ ~ T!L L~ ~ ~ + ···+ M!"+l ~ + .10.:+l ~ so on letting t ~ 00 we have.
The further theory inevitably involves more sophisticated techniques which. which we shall make precise shortly. further insight is gained into Markov chains themselves. but is just the beginning of the theory of Markov processes. namely. We therefore thought it worth while to discuss some features of the further theory in the context of simple Markov chains. 4. Consider the simple symmetric random walk (Xn)n~O on Z. to a large extent. potential theory. At the same time. electrical networks and Brownian motion. The idea is that the Markov chain case serves as a guiding metaphor for more complicated processes. the overall structure is. Often. martingales. the identification of martingales is a crucial step in understanding the evolution of a stochastic process.1 Martingales A martingale is a process whose average value remains constant in a particular strong sense. So the reader familiar with Markov chains may find this chapter helpful alongside more general higherlevel texts. can obscure the overall structure. which is a Markov chain with the following diagram .4 Further theory In the first three chapters we have given an account of the elementary theory of Markov chains. On the other hand. This is a sort of balancing property. already present in the elementary theory. although having their own interest. This already covers a great many applications. We begin with a simple example.
Given an integrable random variable Y. .. 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.. 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.Xn .in and all n. or history..in lE(Y I X o = i o. Let us fix for definiteness a Markov chain and write F n for the collection of all sets depending only on X o. X m I X o = io.··· . . . . .. A process (Mn)n~o is called adapted if M n depends only on X o.. . indeed it has the stronger property that the average value of the walk at some future time is always simply the current value. This stronger property says that (Xn)n~O is in fact a martingale. . A third formulation of the martingale property involves another notion of conditional expectation. . ..1 Martingales 1 1 129 2 iI 2 i I( • • i+l The average value of the walk is constant.Xm (Xn)n~O = i m ) = o. of the chain up to time n.. .Xn=in }' .· . . A process (Mn)n~o is called integmble if EIMnl < 00 for all n. An adapted integrable process (Mn)n~o is called a martingale if for all A E F n and all n. Here is the general definition. In precise terms we have and the stronger property says that.Xn .. . . for n E(Xn  ~ m.4.Xn = i n )l{xo=io. we define lE(Y I F n ) = L io..
4 that all sorts of hitting times are stopping times. It is easy to check that this formula holds. the random variable Y by its average value E(Y I A). Recall that a random variable T :n ~ {O. In passing from Y to E(Y I F n ). 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. } u {(X)} is a stopping time if {T = n} E F n for all n < 00. ~ T. Suppose that at least one of the following conditions holds: (i) T::.130 4. what we do is to replace on each elementary event A E F n . (ii) T < 00 and IMnl ~ C whenever n Then lEMr = lEMo. An equivalent condition is that {T ::. 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.. n for some n.1. In particular. Let (Mn)n~o be a martingale and let T be a stopping time. Proof. .M r nl 1) + ···+ (M1  Mo) = :2) Mk +l k=O Mk)lk<T. by induction This was already clear on taking A = n in our original definition of a martingale. n} E F n for all n < 00. Further theory The random variable E(Y I F n ) is called the conditional expectation of Y given F n .M o = (Mr . We shall prove one general result about martingales. Recall from Section 1. then see how it explains some things we know about the simple symmetric random walk. 1. Assume that (i) holds.1 (Optional stopping theorem). for a martingale so. Then M r . 2. .
< T} = {T ~ Martingales 131 k}C E Fk since T is a stopping time.EMo = L E[(Mk+l k=O Mk)lk<T] = O. then the preceding argument applies to the stopping time T 1\ n.4. We deduce that IEXT = EXo = O.IEMol = IIEMT . If we do not assume (i) but (ii). whichever is sooner. We discussed in Section 1.MTAnl ~ 2CJP>(T > n) for all n. 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 . Hence nl EMT . now we can compute p = JP>(Xn hits a before b). But the intuition behind the result EXT = 0 is very clear: a gambler. bEN are given. the average gain should be zero. leaves the casino once losses reach a or winnings reach b. so o = EXT = p( a) + (1 . since the game is fair. There is an entirely different.1 Now {k.p)b giving p = b/(a + b). So what? Well. Markovian.3 the counterintuitive case of a gambler who keeps on playing a fair game against an infinitely rich casino. so that IEMTAn = IEMo.p. This game ends at the finite stopping time T = inf{ n ~ 0 : Xn = a} .IEMTAnl ~ IEIMT . D (Xn)n~O. using the methods of Section 1. way to compute p. Then IIEMT . with the certain outcome of ruin.4. But JP>(T > n) ~ 0 as n ~ 00. Thus condition (ii) of the optional stopping theorem applies with M n = X n and C = a V b. so EMT = EMo. playing a fair game. Then T is a stopping time and T < 00 by recurrence of finite closed classes. and so since (Mk)k~O is a martingale.
Suppose (i) holds. We recall that.Xn = in}. jEI Theorem 4. s~p llil jEI J IM~I ~ 2(n+1)suplfjl < j 00 showing that M~ is integrable for all n. we have (pn J)(i) = Lp~j) Ii = lEi (J(Xn )). 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. Thus. given a function f : I ~ JR and a Markov chain (Xn)n~O with transition matrix P. some care is needed as it is not always true.2. The example just discussed was rather special in that the chain (Xn)n~O itself was a martingale.. this is not true in general. Then I(PJ)(i)1 = so ILPij1i1 ::. (ii) for all bounded functions f : I ~ JR. This is the basis of a deep connection between martingales and Markov chains.. Further theory where a is the gambler's initial fortune.I)f(X m ). By the Markov property . Let (Xn)n~O be a random process with values in I and let P be a stochastic matrix. Then the following are equivalent: is a Markov chain with transition matrix P. to every Markov chain is associated a whole collection of martingales. the following process is a martingale: nl (i) (Xn)n~O M~ = f(Xn )  f(Xo)  L (P . . Nevertheless. Obviously. Let A = {X o = i o. indeed a martingale is necessarily realvalued and we do not in general insist that the statespace I is contained in JR. Let f be a bounded function. while intuition might suggest that EXT = EXo is rather obvious.1. . Write (Fn)n~o for the filtration of (Xn)n~O.132 4. and these martingales characterize the chain. m=O Proof.
On the other hand.· .n = g(n. Hence both X n = f(X n ) and Yn = g(n.4. in) . X o)] (Pf)(n + 1.1)2/2 + (i . Xl) . Since IXnl ~ n for all n.Xn D = in) = = E in [f(n + 1. starting from O. D Some more martingales associated to a Markov chain are described in the next result. by the Markov property E(Mn +1  M n I X o = i o.n.f(n. = f(n. .M! I A) = E[f(Xn + l )  I A] = 0 and so (Ml)n~o is a martingale. then for all bounded functions f. i). (Pg)(n + 1. Let (Xn)n~O be a Markov chain with transition matrix P. .3. X n ) is a martingale.i). both and (Pf)(n+ 1. X n ) are martingales. we have Also (P f)(i) = (i . if (ii) holds. for all n ~ 0. i) = (i . in) = O.f(n. Theorem 4.1.i) Then M n = LPijf(n+ 1. We consider f (i) = i and g( n. Notice that we drop the requirement that f be bounded.. We have assumed that M n is integrable for all n.j) JEI = f(n. On taking f = l{i n +l} we obtain so (Xn)n~O is Markov with transition matrix P. Then. Proof. i) = i 2 .1)/2 + (i + 1)/2 = i = f(i). So (Mn)n~o is a martingale. Suppose that a function f : N x I ~ lR satisfies.1)2/2 .1 so Martingales 133 (Pf)(Xn ) E(M~+1 .(n + 1) = i2 . Let us see how this theorem works in the case where (Xn)n~O is a simple random walk on Z.
Exercise 4. Further theory In order to put this to some use. Set T = inf{n ~ 0: X n E A} and hi = IPi(Xn E A for some n ~ 0) = IPi(T < 00). the left side converges to E(T). and the right side to E(Xf) by bounded convergence. Some more will appear in later sections.134 4. by monotone convergence.2 Potential theory Several physical theories share a common mathematical framework. 1991). of density p say. where ~ = 8 2 /8x 2 + 8 2 /8 y 2 through its gradient + 82 / 8z 2 . The potential ¢ is felt physically '\l¢ = (8¢ 8¢ 8¢) 8x' 8y' 8z . For an excellent introduction to martingales and their applications we recommend Probability with Martingales by David Williams (Cambridge University Press. consider again the stopping time T = inf{n ~ 0 : Xn = a or Xn = b} where a. So we obtain We have given only the simplest examples of the use of martingales in studying Markov chains. One example is Newton's theory of gravity. gives rise to a gravitational potential ¢.1 Let (Xn)n~O be a Markov chain on I and let A be an absorbing set in I. By the optional stopping theorem Hence On letting n + 00. bEN. but potential theory is also relevant to electrostatics. a distribution of mass. fluid flow and the diffusion of heat.1. 4. Show that M n = h(Xn ) is a martingale. In gravity. which in suitable units satisfies the equation Da¢ = p. which is known as potential theory.
which we shall discuss in Section 4.4.4 a cost Ci is incurred. obviously have no direct link with this theory.2 Potential theory 135 which gives the force of gravity acting on a particle of unit mass. Once we have established the basic link between a Markov chain and its associated potentials. The basic ideas of boundary theory for Markov chains will also be introduced. cPs = 0 and . In this section we are going to consider potential theory for a countable statespace. but the advantage of wider applicability. Before we embark on a general discussion of potentials associated to a Markov chain.1 Consider the discretetime random walk on the directed graph shown above. explaining their significance in terms of Markov chains. This is the easiest way to appreciate the general structure of potential theory. It also finds application when one associates costs to Markov chains in modelling economic activity: see Section 5. in which space is a continuum. In these examples the potential cP has the interpretation of expected total cost. Markov chains.3. unobscured by technical difficulties.2. and by showing how to calculate these potentials. we shall briefly run through some of the main features of potential theory. 1 4 2 5 Example 4. where space is discrete. which at each step choses among the allowable transitions with equal probability. which has much of the structure of the continuum version. Suppose that on each visit to states i = 1. We shall begin by introducing the idea of potentials associated to a Markov chain. which has the disadvantage that one loses the intuitive picture of the process. We denote by cPi the expected total cost starting from i. An indirect link is provided by Brownian motion.2.4. where Ci = i. containing within it other notions previously considered such as hitting probabilities and expected hitting times. This discrete theory amounts to doing Markov chains without the probability. This is a unifying idea. Obviously.4. 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. here are two simple examples.
We impose a cost Ci = i on each visit to i for i = 2. q4 = 1. where Ii = i. q3 = 3.4. Hence ¢3 = 8 and the fair price to move from 3 to 4 is 4. q2 = 1. Thus the total cost is now 00 1 c(Xs)ds. ¢2 = 2 + ¢3. and suppose cost is incurred at rate Ci = i in state i for i = 1. Further theory by considering the effect of a single step we see that ¢l = 1 + ¢2. ¢3 = 3 + ~¢l + ~¢4' ¢4 = 4. and a final cost Ii on arrival at i = 1 or 5. as before ¢l = 1 + ¢2. ¢3 = + ~¢l ¢4 = 4. 3. the continuoustime random walk (Xt)t~O on the same directed graph which makes each allowable transition at rate 1. transitions are allowed in both directions. 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. Hence ¢3 i + ~¢4' = 5 and the fair price to move from 3 to 4 is 1. We shall now consider two variations on this problem. Where there is no arrow. Obviously. states 1 and 5 are absorbing.2. 1 4 2 5 In the second variation we consider the discretetime random walk (Xn)n~O on the modified graph shown above.136 4. 4. instead. So we see.3. Thus the total cost is now Tl n=O L c(X n ) + f(X T ) . ¢2 = 2 + ¢3. First suppose our process is.
l) otherwise.i+l. as before. and takes negative values in between. 5}. so we must have By considering what happens on the first step. =9 and cP4 cP4 = 4 + ~(cP3 + cPs). Note that cPo = 00 always satisfies this equation. Let cPi denote the expected total cost starting from i.4. 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. Let us look for a finite solution: then so cPo = c cc2 p . So in cPo = 00.c + q has roots at q/p and 1. Then cPl = 1.2 Consider the simple discretetime random walk on Z with transition probabilities Pi.2 Potential theory 137 where T is the hitting time of {I. all costs are multiplied by c.c2pq) = { 00 if c E (q/p. On moving one step to the right. cPs = 5 and cP2 = 2 + ~(cPl + cP3). we see cPo = 1 + PcPl + qcPl = 1 + (cp + q/c)cPo.2. The quadratic c2p .q . Hence the expected total cost is given by cPo c/(c. Write. cP3 = 3 + ~(cPl + cP2 + cP4 + cPs). so for c ~ 1 we shall certainly have = 11. Let c > 0 and suppose that a cost ci is incurred every time the walk visits state i. Example 4.il = q < P = Pi. as the total cost is a sum over infinitely many times. On solving these equations we obtain cP2 = 7. . cP3 this case the fair price to move from 3 to 4 is 2. We shall see in the general theory that cPo is the minimal nonnegative solution. we know that the walk X n ~ 00 with probability 1. cPi for the expected total cost starting from i. Indeed.
To be sure that the sums and integrals here are well defined. the expected cost incurred to the left of 0 is infinite. More generally. one does not really need a general theory to write down the linear equations. a final cost Ij is incurred. defined by in discrete time. at state i say. or even that the boundary is nonempty. 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. we insist that (Xt)(~O be minimal. so this assumption is not too restrictive. As the examples show. and in continuous time where T denotes the hitting time of aD. when and if it hits the boundary. so no further costs are incurred after explosion. Nevertheless. In the explosive case we always set c( 00) = 0. at j say. We shall consider the associated potential. we call aD the boundary. that is. 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. ¢ is the difference of the potentials associated with the positive and negative parts of c and I. these are simple examples of potentials for Markov chains. we shall write (Xn)n~O for a discretetime chain with transition matrix P. Let us partition the statespace I into two disjoint sets D and aD. and although the walk eventually drifts away to the right. and (Xt)t~O for a continuoustime chain with generator matrix Q. Note that we do not assume the chain will hit the boundary. As usual. This situation is familiar from hitting probabilities and expected hitting times. Indeed. Further theory It was clear at the outset that cPo = 00 when c ~ 1. Throughout.138 4. We shall discuss the cases of discrete and continuous time sidebyside. and will reveal also what happens when the linear equations do not have a unique solution. we shall assume for the most part that c and I are nonnegative. it incurs a cost Ci per unit time. These will help to reveal the scope of the ideas used in the examples. we are now going to give some general results on potentials. . In the examples just discussed we were able to calculate potentials by writing down and solving a system of linear equations. We suppose that functions (Ci : i E D) and (Ii: i E aD) are given. Ci ~ 0 for all i E D and Ii ~ 0 for all i E aD.
(iii) if IPi(T < 00) solution. Suppose that (Ci : i E D) and (Ii: i E aD) are nonnegative. Then (i) the potential ¢ = (¢i : i E I) satisfies (4.2 Potential theory 139 Theorem 4. then (4. (ii) Consider the expected cost up to time n: . Set where T denotes the hitting time of aD. ¢ = f on aD. (i) Obviously.3.4. (ii) if'l/J = ('l/Ji : i E I) satisfies 'l/J { 'l/J ~ ~ P'l/J+c in D in aD I (4.1) has at most one bounded Proof.2.1) ¢ = P¢+ C in D { ¢=I in aD. = 1 for all i. For i E D by the Markov property IEi ( L l~n<T c(Xn ) + f(X T )IT<oo Xl c(Xn ) = j) j) = IEj so we have (L + f(XT )lT <OO) = ¢j n<T <Pi = Ci + LpijlE ( L jEI l~n<T c(Xn ) + f(X T )l T <oo Xl = =Ci+ LPWPj jEI as required. then 'l/Ji ~ ¢i for all i.2) and 'l/Ji ~ 0 for all i.
by the argument ¢(n + 1) = c + P¢(n) in D in aD. by repeated substitution for 'ljJi 1/J on the right ~ Ci + L jEaD Pijli + LPijCj JED + ···+ 2: jlED . proving (iii). then asn~oo so 1/J = limn~oo ¢(n) = ¢. ¢i(n) used in part (i).2) and 1/J ~ 0 = ¢(O).140 4. Similarly and by induction. 1/J ~ ¢(n) for all n..2).2) then with equality if equality holds in (4. Further theory i ¢i as n ~ By monotone convergence. we find 00. { ¢(n + 1) = f Suppose that 1/J satisfies (4. But also.2). and hence 1/J ~ ¢.. if l1/Ji I ~ M and Pi (T < 00) = 1 for all i. so 1/J ~ ¢(1). 2: jnIED Piil'" Pjn2jnl Cjn_l PijI'" Pjnlin !jn + L jlED '" L L jnIEDjnEaD + = 2: . (iii) We shall show that if 1/J satisfies (4. with equality when equality holds in (4. .. This is another proof of (ii). in the case of equality. For i E D we have 'ljJi ~ Ci + L jEaD Pij!j + LPij'ljJj JED and. L jlED Pijl · · · Pjnlin 'ljJjn jnED E i (c(XO)lT>O + !(XdlT=l + C(Xdlr>l + ···+ C(Xn1)lT>nl + !(Xn)lT=n + 'ljJ(Xn)lT>n) = ¢i(n  1) + IEi (1/J(Xn)lT~n) D as required.. Also. Then 1/J ~ P1/J + c ~ P¢(O) + c = ¢(1) in D and 1/J ~ f = ¢(1) in aD.
2).3. We have to state it slightly differently because when cP takes infinite values the equations (4. Theorem 4.4. If the linear equations have a finite nonnegative solution on J. we can still use the result to determine cPi in all cases. If not. it still follows that with equality if equality holds in (4.2. then (cPj : j E J) is the minimal such solution.2 Potential theory 141 It is illuminating to think of the calculation we have just done in terms of martingales. Set where T is the hitting time of aD.3) may involve subtraction of infinities. To do this we restrict our attention to the set of states J accessible from i.2.Mn with equality if equality holds in (4. if finite.2). (4. then cPj = 00 for some j E J. We note that M n is not necessarily integrable. Nevertheless. For continuoustime chains there is a result analogous to Theorem 4. and therefore not make sense. Then minimal nonnegative solution to cP = (cPi : i E I). which forces cPi = 00.4. Consider nl Mn = L c(Xk)lk<T + f(XT )IT<n + 'ljJ(Xn )ln::. and that (Ci : i E D) and (Ii: i E aD) are nonnegative. since i leads to j. which is a priori unknown. Assume that (Xt)t~O is minimal. Although the conclusion then appears to depend on the finiteness of cP. is the { QcP = C cP=1 in D in aD.3) .T' nl 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 :::.
corresponding to an interest rate. and since N is finite whenever T is finite. ¢ is therefore the minimal nonnegative solution to ¢ { ¢ = IT¢ + c == f in D in aD. 1) or rate A E (0. 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. then (4. Theorem 4.2. Moreover.2. Further theory If ¢i = 00 for some i.3). n n<N By Theorem 4.3) has no finite nonnegative solution.82 . Suppose that (Ci : i E I) is bounded.. 00 ). if IPi(T < 00) == 1 for all i. by Fubini's theorem = J") = __ = Cj { 0 Cj / qj if Cj >0 if Cj = 0. this proves the result. ¢i = lEi(L c(Y ) + !(YN)lN<oo).142 4. D It is natural in some economic applications to apply to future costs a discount factor a E (0.5.4) are exactly the finite solutions of (4. the jump chain and holding times of (Xt)t~O. Denote by (Yn)n>O and 8 1 .3) has at most one bounded solution. (4. and by IT the jump matrix. Set ¢i = lEi then ¢ n==O L anc(Xn ) 00 = (¢i :i E I) is the unique bounded solution to ¢ = aP¢+c. .. Since the finite solutions of (4. then (4.4) which equations have at most one bounded solution if IPi(N < 00) = 1 for all i. We have lE ( ) Sn+l I Yn c(Yn so. . Proof. indeed the discounting actually makes the analysis easier. and where we use the convention o x 00 = 0 on the right.3. Potentials with discounted costs may also be calculated by linear equations.
Suppose that <Pi = lEi then ¢ 1 00 e>. aM. ¢ = so c+aP¢. = aP(1/J  ¢) I'l/Ji  <Pi I :::.Q)¢ = c. We have a similar looking result for continuous time. Suppose that ICil ::. aM.2. C for all i. = (¢i : i E I) is the unique bounded solution to (A .¢ so = c + aP1/J. because it really corresponds to a version of the discretetime result where the discount factor may depend on the current state. then 00 143 I<Pi I :::.2 Potential theory Proof. On the other hand. a LPijl'l/Jj jEI <pjl :::.tc(Xt)dt.¢il. But 1/J . suppose that 1/J is bounded and also that 1/J Set M = sUPi l1/Ji . which forces M = 0 and 1/J = ¢. CLan = n==O C/(l. Set (Xt)t~O is nonexplosive. Assume that (Ci : i E I) is bounded..6.4. which however lies a little deeper.5) . (4. then M < 00. Theorem 4.a) so ¢ is bounded. D Hence M ::. By the Markov property Then 00 <Pi = lEi L anc(Xn ) n==O = ci + a LPijlE jEI jEI (f n==l anIc(Xn ) Xl = j) = Ci + a LPij<Pj.
Further theory Proof. and is finite with probability 1. and then at the role of the boundary. subtracting (X .5).tc±(Xt)dt = (±c) V o. which is O.{Xt a for t < for t ~ T. Let T be an independent E(X) random variable and define Xt = .2. Introduce a new state a with Ca = O. We have so. which is the same as (4. and wished to calculate it. by Theorem 4. C for all i. . Hence. Finally. Then ¢ = ¢+ . By Fubini's theorem <Pi Suppose Ci :::. ¢ is the unique bounded solution to Q¢ = c. if 1jJ is bounded and (XQ)1jJ = c. Also T is the hitting time of a. Then (Xt)t~O is a Markov chain on I U {a} with modified transition rates Qi = qi + X. T qa = O.Q)¢ = c. Qia = X. D The point of view underlying the last four theorems was that we were interested in a given potential associated to a Markov chain. then (XQ)(1jJ¢) = 0. where ct = Ei 1 00 e>. What we describe is just the simplest case of a structure of great generality. so 1jJ¢ is the unique bounded solution for the case when c = 0. then so ¢ is bounded. First we shall look at the Green matrix.144 4. When C takes negative values we can apply the preceding argument to the potentials <P. We shall now take a brief look at some structural aspects of the set of all potentials of a given Markov chain. Assume for now that c is nonnegative.4. = Ei l T c(Xt)dt.¢.so ¢ is bounded.
in discrete time . The jth column (9ij : i E I) is itself a potential. and in continuous time By Fubini's theorem we have 00 00 ¢i = L n==O lEic(Xn ) = L(pnC)i = (GC)i n==O where G = (9ij : i. and in continuous time Thus 9ij is the expected total time in j starting from i. Indeed. We have 9ij = lEi L n==O 00 lXn=j in discrete time. in continuous time ¢ = Gc. once we know the Green matrix.5 and 2. we have explicit expressions for all potentials of the Markov chain.11: we know that 9ij = 00 if and only if i leads to j and j is recurrent.1) and (4. with G= 1 00 P(t)dt. These quantities have already appeared in our discussions of transience and recurrence in Sections 1.2 Potential theory 145 Let us consider potentials with nonnegative costs c. The potential is defined by ¢i = lEi L c(X n==O 00 n) in discrete time. and without boundary.4. Thus.3). The Green matrix is also called the fundamental solution of the linear equations (4. j E I) is the Green matrix 00 Similarly.
= 1 00 e>. .. 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>. We call (R Q: E (0. and bility for j. for finite statespace we have Q : and We return to the general case. Any bounded function (¢i : i E I) for which ¢ = P¢ in D is called harmonic in D. Unlike the Green matrix the resolvent is always finite.1)) and (R>..\ E (0. with boundary aD. Indeed.t P(t)dt. Further theory where is the probability of hitting j from i.00)) the resolvent of the Markov chain.146 4. and the boundary aD.. Our object now is to examine the relation between nonnegative functions. harmonic in D. Here are two examples. : .
~ .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. the most general nonnegative harmonic function ¢ in D satisfies ¢=P¢ { ¢=f in D in aD where fa' fb 2:: 0... but with different boundary values.2. starting from i.  b Example 4.7 Consider the random walk (Xn)n~O on the above graph..2 Potential theory 147 .4. and this implies Thus the boundary points a and b give us extremal generators h a and h b of the set of all nonnegative harmonic functions. States a and b are absorbing. hg = o.. Let hi denote the absorption probability for a.~ a .. corresponding in an obvious way to the statespace. . where each allowable transition is made with equal probability. By the method of Section 1.... b}. Thus we can find two nonnegative functions ha and hb . . In fact. harmonic in D.. The linear equations for the vector h a read ha = Ph a { h~ in D = 1. We set aD = {a.
Let us consider the problem of determining for (Xn)n~O the set C of all nonnegative harmonic functions cP. cPi = A + B(l . at speed p . .(q/p)i) which is nonnegative provided A has general solution for i = 0. . 1. In the preceding example the generators of C were in onetoone correspondence with the points of the boundary ..2. which is fully developed i~ other works. .2. .8 4.the possible places for the chain to end up. nonnegative provided A' + B' ~ O. 2 . ~ +B O. ...q. . . starting from 0. .. the third equation cPi = A' + B' (1 . Similarly. In this example there is no boundary.2. . This forces A = A' and B + B' = O.. 2. In fact.2. .(q/p)t for i = 1. . .2 1 . for i = 1.. but the generators of C still correspond to the two possibilities for the longtime behaviour of the chain. .. To obtain a general harmonic function we must match the values cPo and satisfy cPo = (cPl + cPl)/2.(q/p)i) for i = 0. .(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. We must have cPi = PcPi+l + qcPil cPo = ~cPl + ~cPl. except that at o it jumps to lor 1 with probability 1/2. 2. 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 . is that the set of nonnegative harmonic functions may be used to identify a . cPi = qcPi+l + PcPil The first equation has general solution for i = 1.148 Example 4. .q. . 1. 2.. . For we have The suggestion of this example. f+ ~ 0 and where hi = h~i and +_ { ~ hi 1 + ~ (1 ..1. We choose p > q so that the walk is transient. It follows that all nonnegative harmonic functions have the form where f.
3 when the situation is more like Example 4. and since (4. any bounded solution is given by (4. Set h? = JP>i(T < 00) where T is the hitting time of aD. for example. Suppose from now on that JP>i(T < 00) = 1 for all i.6) has a unique bounded solution. with boundary values ¢i = Ii for i E aD.3. Amsterdam. Then. then. Indeed. by monotone convergence <Pi = lEi (J(XT )) = L jE8D hJI»i(XT=j). but we can draw some general conclusions from Theorem 4. (4. we showed more generally that this condition implies that ¢ = P¢ + c in D { ¢= f in aD has at most one bounded solution.2. We cannot begin to give the general theory corresponding to Example 4.2. Suppose we have a Markov chain (Xn)n~O with absorbing boundary aD. but more generally corresponds to the varieties of possible limiting behaviour for X n as n ~ 00.7. Hence if (4. harmonic in D.7) is the minimal solution. Markov Chains by D. 1984).2 Potential theory 149 generalized notion of boundary for Markov chains. if Pi (T < 00) = 1 for all i. as we showed in Theorem 4.6) { h8 = 1 in aD.2. See. Conversely. indeed <P = !i hi . Let ¢ be a bounded nonnegative function. Then by the methods of Section 1.3 we have h8 = Ph 8 in D (4. Note that hf = 1 for all i always gives a possible solution.2. L jE8D where . Revuz (NorthHolland.8. Hence every bounded harmonic function is determined by its boundary values and.6) has a unique bounded solution then hf = JP>i(T < 00) = 1 for all i. which sometimes just consists of points in the statespace.7).4.
2. Show that the 'l/J = P'l/J + c in 15_ { 1f. and that 11/" 0/'1.3 Let (Ci : i E I) be a nonnegative function. 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.2.7.2 Prove the fact claimed in Example 4. . for all i E I. Further theory Just as in Example 4. where D~ D. Can you find a similar reduction for continuoustime chains? 4.h. the hitting probabilities for boundary states form a set of extremal generators for the set of all bounded nonnegative harmonic functions.  < 0/'1.1 Consider a discretetime Markov chain (Xn)n~O and the potential ¢ with costs (Ci : i E D) and boundary values (Ii: i E aD). . Show that the Markov chain with transition matrix P is certain to hit aD. without boundary at all. This shows that a general potential may always be considered as a potential with boundary value zero or. Set ifn if n ~ T > T. Consider now a new partition linear equations (Xn)n~O D u aD.2.=0 in aD also have a unique bounded solution.150 4. Exercises 4.2. Partition I as D U aD and suppose that the linear equations ¢ = P¢ +c in D { ¢=0 in aD have a unique bounded solution.2. Show that (Xn)n~o is a Markov chain and determine its transition matrix.8 that 4. where T is the hitting time of aD and a is a new state. indeed.
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. In practice. j E I) with T'ij = T'ji. subject to given external conditions.4.3 Electrical networks 151 An electrical network has a countable set I of nodes. (4. Where no wire joins i to j we take aij = O. by Ohm's law. which determines the conductivity as the reciprocal of its resistance. so T'i = 9i for i E D.8) { ¢i = fi' for i E aD. and that a given current 9i enters the network at each node i ED. 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 wire between i and j having conductivity aij = aji 2:: o. These have the effect that each node i E aD is held at a given potential Ii. 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. but here it is not the current but the potential which is determined externally. each 'wire' contains a resistor. each node i having a capacity 1ri > O. The case where gi = 0 corresponds to a node with no external connection. . External connections are made at the nodes in aD and possibly at some of the nodes in D. The nodes are partitioned into two sets D and aD. Therefore. The first problem in electrical networks is to determine equilibrium flows and potentials.3 Electrical networks 4. In equilibrium. Given a flow the network: (T'ij : i. current may also enter or leave the network through aD . Some nodes are joined by wires.¢j) = 9i. There is a simple correspondence between electrical networks and reversible Markov chains in continuoustime. given by for i =I j. any equilibrium potential ¢ = (¢i : i E I) must satisfy for i E D LjEIaij(¢i .
4.152 4. and that aD is nonempty. (4. Further theory We shall assume that the total conductivity at each node is finite: ai = Laij < 00. pick one node k. because ct and f have the same physical dimensions. j#i Then ai = 7riqi = 7riqii. A 1 2 2 1 B 2 2 1 c D E F . In fact. 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. to keep matters simple here. The capacities 7ri are the components of an invariant measure. indicating the interesting possibility that there may be more than one equilibrium potential.9) where Ci = 9i/7ri. and replace the condition ~k = 9k by ¢i = O. that the network is connected. However. the case where aD is empty may be dealt with as follows: we must have or there is no possibility of equilibrium. The new problem is equivalent to the old. we shall assume that I is finite. the equilibrium potential is given by ¢i = Ei (iT c(Xt)dt + f(XT )) L9i=O iEI (4. by Theorem 4. and the symmetry of aij corresponds to the detailed balance equations. This is enough to ensure uniqueness of potentials. Then.10) where T is the hitting time of aD. set aD = {k}.2. but now aD is nonempty. We know that these equations may fail to have a unique solution. It is natural that c appears here and not 9.
= O. cPE = 1. is given by . (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.3. according to (4. ~eF = 1/2. The conductivities are shown on the diagram.cPB and cPD = 1.cPB) Hence. ~Be = 1/2. Let us arbitrarily assign to each node a capacity 1. (c) The charge X associated with ~.1 153 Determine the equilibrium current in the network shown on the preceding page when unit current enters at A and leaves at F. Then.cPe.4.cPF) + 2(cPe . Theorem 4. Let us set cPA = 1 and cPF = O. and the associated flow is given by ~AB = 1/2. by Ohm's law. = 1/2 and cPe = 1/4. we were lucky . Different node capacities result in different Markov chains. subject to XB = 0. but the same jump chain and hence the same hitting probabilities. This will result in some flow from A to F. flows and charges in terms of the associated Markov chain.cPE) + 2(cPB . and the associated Markov chain (Xt)t~o. the equilibrium potential is given by cPi = Ei (lxT=A) = JP>i(XT = A) where T is the hitting time of {A. (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. ~BE = O. By symmetry. Here is a general result expressing equilibrium potentials. Note that the node capacities do not affect the problem we considered. cPB = 0.cPe) 2(cPe . Then there is an associated Markov chain and. which we can scale to get a unit flow.10).3 Electrical networks Example 4. since the total current leaving Band C must vanish (cPB .2.no scaling was necessary. Consider a finite network with external connections at two nodes A and B.3. In fact.cPA) + (cPB . F}.
The formula for ¢ is a special case of (4. 00 We have roo = '""'1{. So.~n+l=). as The interpretation of potential theory in terms of electrical networks makes it natural to consider notions of energy.jEI i. Observe that if X o = A then if i = A if i ~ {A. j I(r) = l L . We define for a potential ¢ = (¢i : i E I) and a flow ~ = (~ij : i. Further theory Proof. by the lEA(rij) = LIPA(Y n=O 00 00 n = i.154 4. Set Xi = lEA 10 fTB l{Xt=i}dt Xi/1ri.jEI (<Pi .. n < NB) = i." LJ ~n'I.n = LIPA(Y n n=O < NB)1rij. j E I) E(<p) = lL i. We shall prove (b) and (c) together. D ~ is the equilibrium unit flow and X the associated charge.) _0.n< N} B '1. Yn +! = j.<pj)2aij .10).. where c = 0 and f l{A}.n < NB) 1rij = lEA(rij) n=O ('l/Ji 'l/Jj)aij = Xiqij  Xjqij = ~ij· Hence'l/J = ¢. and consider the associated potential'l/Ji = 00 Then Xiqij so = XiQi 1rij = LIPA(Yn = i.f aijl..B} if i = B so if ~ij = EA(r ij  = r ji ) then ~ is a unit flow from A to B. ." 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. required.
3 Electrical networks The 1/2 means that each wire is counted once.j E I) the equilibrium potential and flow. (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. j E I) with current sources ri for i E D and boundary potential zero is the unique solution to minimize subject to Proof. We can write any potential in the minimization problem in the form ¢ + c.3. by the network. i. The equilibrium potential and flow may be determined as follows. This characteristic of energy minimization can indeed replace Ohm's law as the fundamental physical principle.jEI (a) Denote by ¢ = (¢i : i E I) and by ~ = (~ij : i.¢j)rij = 2 L iEI ¢i'Yi. For any potential ¢ we have I (~ ) ~i = 9i for i E D.3. as heat.j E I) L (¢i .Ej)rij = 2 LEi'Yi = 0 i. = (¢i : i E I) and any flow ~ = (~ij : i. . We have ~i = 0 for i E D.Ej)(¢i . Moreover. we shall see that certain equilibrium potentials and flows determined by Ohm's law minimize these energy functions.j EI (Ei . Theorem 4. where c = (ci : i E I) with Ci = 0 for i E aD.4. Then L i.j EI iEI so E(¢ + c) = E(¢) + E(c) ~ E(¢) with equality only if c = o. When ¢ and by Ohm's law we have E(¢) = ~ 155 are related l L (¢i i.jEI ¢j)rij = I(r) and E( ¢) is found physically to give the rate of dissipation of energy.¢j)aij = L (Ei . = 9i (b) The equilibrium flow r = (rij : i.
a).4. 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. for all potentials I = (Ii : i E J).Ij) aij. for a potential I 8 = (8ij : i. We say that a = (aij : i. for all I.¢j )8ij = 2 L ¢i 8i = 0. there is always another network of wires joining the externally connected nodes alone. Then cP is the unique solution to minimize subject to E (¢ ) ¢ = f in aD.jEI 'Yij8ijai/ = L (¢i .¢j)aij : 0 { L(¢i . 2 1(8) = ~ L i.3. We have cPi = 0 for i E aD.J i. E J. Further theory (b) Denote by cP = (cPi : i E I) and by ~ = (~ij : i. equivalent in its response to external flows and potentials.156 4. where 8 = (8 ij : i. Corollary 4.jEI(¢i .j E I) is a flow with 8i = 0 for i E D. Then a is an effective conductivity if. Suppose that ¢ = (¢i : i E I) satisfies Q¢ = 0 in D { cP = I in aD. j E I) the equilibrium potential and flow.jEI iEI I(~) so I(~ + 8) = D + 1(8) ~ 1(8) with equality only if 8 = o. a) as for (I. given any network.jEJ 8fj u i?· .Ji) aij' jEJ For a conductivity matrix a on J. Then L i. j E J) we set  = (Ii : i E J) and a flow E(/) = 1 " (Ii 2 L. for i E J we have L. the external currents into J when J is held at potential I are the same for (J.jEJ . We know that I determines an equilibrium potential ¢ = (cPi : i E I) by for ~ ~ J cPi .¢j)aij JEI = :E(Ji . The following reformulation of part (a) of the preceding result states that harmonic functions minimize energy. Let J ~ I. In fact. We can write any flow in the minimization problem in the form ~ + 8.j E J) is an effective conductivity on J if. i.Ii for 'I.
o off J Proof. Given I = (Ii: i E J).4. J for i E J.5.3. ¢ solves minimize subject to We have. There is a unique effective conductivity a given by 157 aij where for each j E J. (4. q) = aij + L aik<P{ k~J = (¢~ : i E I) is the potential defined by = 0 ~kEI(<p1 . for i E J E (¢ ) ¢i = Ii for i E J. taking I == 1 we obtain Laij JEI = Laijo jEJ .4.3.J { Moreover. and also by the Thompson variational principle inf Oi==gi on J1(8) = "Yi== inf {J gi on I(~). and.3 Electrical networks Theorem 4. by Corollary 4.11) a is characterized by the Dirichlet variational principle <Pi==fi on J E(/) = inf E(¢). 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. Z:=aij<Pj = z:=aijfj + z:=z:=aik<p{fj = z:=aijfjo JEI jEJ k~JjEJ jEJ In particular.<p{)ai~ for i tf. ¢~ = 8ij for i E J.
Ii )Uij · jEJ Moreover.jEJ Finally. J.cPj)2 aij i. with jump matrix IT given by for i. This is really a transformation of the jump chain.jEI L ~2 1 v··a·· ~J ~J > L i.cPj)aij JEI = 2 L Ii LUi !i)Uij = L Ui _!i)2Uij .cPj)2aij i. 1'fij = 'lrij + L'lrik¢k k~J . i. then L "Yljai/ i.Ii )2 Uij = L gfjUi/. iEJ jEJ i. by Theorem 4.jEI = = L (cPi .3.jEJ i. for any flow 8 and bi = 0 for i ¢. Further theory Hence we have equality of external currents: 2)cPi JEI cPj )aij = 'r)1i .j E J.¢j )aij.3. Define the time spent in J At = it l{X s EJ}ds and a timechanged process (X t)t~O by X t = Xr(t) where r(t) = inf{s ~ 0 : As > t}.158 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.j E I) with 8i = gi for i E J i. we also have equality of energies: L (cPi .jEI L (Ii .jEJ so. and stopping the clock whilst (Xt)t~O makes excursions outside J. We obtain (Xt)t~O by observing (Xt)t~O whilst in J. By applying the strong Markov property to the jump chain we find that (X t)t~O is itself a Markov chain. if gij = (Ii  Ij )aij and ~ij = (¢i . we have = (8ij : i.jEI = 2L iEI cPi L(cPi .
G. and is also called the Wiener process.11). methods coming from one theory one provide insights into the other.4. it makes it reasonable to . The simple symmetric random walk (Xn)n~O on Zd is a Markov chain which is by now quite familiar. L. Also. For an entertaining and illuminating account of the subject. This provides an elementary way of thinking about Brownian motion.4. 4. Doyle and J. this shows that so (Xt)t~O is the Markov chain on J associated with the effective conductivitya. Snell (earus Mathematical Monographs 22.4 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. A discrete approximation to Euclidean space ]Rd is provided by where c is a large positive number. There is much more that one can say. See Example 1. 1984). It is named after a botanist who observed such a motion when looking at pollen grains under a microscope. Mathematical Association of America. The mathematical object now called Brownian motion was actually discovered by Wiener. Hence has Qmatrix given by Qij = qij (Xt)t~O + L qik¢{ k~J Since ¢i = (¢{ : k E I) is the unique solution to (4. you should see Random Walks and Electrical Networks by P.4 Brownian motion where 159 ¢{ = JP>k(XT = j) and T denotes the hitting time of J. Moreover.4. for example in tying up the nonequilibrium behaviour of Markov chains and electrical networks. We shall show that the scaleddown and speededup process X t(c)  c 1/2Xct is a good approximation to Brownian motion.
we will at least want IE[lxi ) 12 ] to converge to a nondegenerate limit. 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 squareroot of the timescaling? Well.:::o is called a Brownian motion if B o = 0 and for all 0 = to < tl < . Then. We begin by defining Brownian motion. that is to say. 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. for all bounded continuous functions f.00). < t n the increments . Further theory suppose that some properties of the random walk carryover to Brownian motion. and then show that this is not an empty definition. Brownian motions exist.:::o is said to be continuous if lP({w : t. The fundamental role of Gaussian distributions in probability derives from the following result. A realvalued 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}.160 4.1 (Central limit theorem). if c ) converges in some sense as c ~ 00 to a nondegenerate we hope that c limit. Theorem 4.. ••• be a sequence of independent and identically distributed realvalued random variables with mean 0 and variance t E (0. X 2 . Let Xl.. A continuous realvalued process (Bt)t.. For ct E Z+ we have xi so the squareroot scaling gives which is independent of c. A realvalued process (Xt)t.+ Xt(w) is continuous}) = 1. There are many introductory texts on probability which give the full details.4.
B r ) .Br = ~ (B s = ~(Bs  + Zt. < t n in D N the increments are independent Gaussian random variables of mean 0 and variance We suppose given. Brownian motion exists.Bt .2. Then (B t : tED) is a Brownian motion indexed by D. For t E Do = Z+ set then (B t : t E Do) is a Brownian motion indexed by Do. To put it properly..1 • For t E DN\D N .N so that s. a Brownian motion indexed by D N .00). .1. Theorem 4. Proof. Next we shall show that (Bt : tED) extends continuously to t E [0.. is uniquely determined. B s .2.2 (Wiener's theorem). the law of Brownian motion. . 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 < . However. t E D N . We need the following result. B t = ~(Br We obtain two new increments: + B s) + Zt· Br ) Bt . an independent Gaussian random variable yt of mean 0 and variance 1.1 ). and denote by D the union of these sets.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. Suppose we have constructed (Bt : t E D N .4. and finally check that the extension is a Brownian motion..1 set r = t . .1 and define Zt = 2(N+l)/2yt.N in [0. We shall show how to extend this process successively to Brownian motions (Bt : tEDN ) indexed by D N . For N = 0.00).4.N S = t + 2. which is a measure on the set of continuous paths.. denote by D N the set of integer multiples of 2. it is not obvious that there is any such process. for each tED.Zt.
For each N denote by (BiN))t~O the continuous process obtained by linear interpolation from (Bt : t E D N ). tE(DN \DN l)n[o.I . are therefore independent and of the required variance.I ) n [0.1 1 00 p.Xp.Xp1IP(IY11 > 'x)d'x = 2N . s).B t )] = = + 2(N+I) = 2. So for A > 0 we have For a random variable X ~ 0 and p > 0 we have the formula Hence 2P(N+l)/2E(M~) = 1 00 p.2(N+I) = o.N .l] There are 2 N  I points in (DN\D N .1E(IY1IP) . Moreover.1 IP(2(N+l)/2 M N > 'x)d'x ~ 2N . tE[O.BiNI). Also. Set MN = sup IziN)I. as required. we obtain a Brownian motion (B t : tED). ~2(NI) The two new increments. For t E DN\DN . by induction. by our construction we have with yt Gaussian of mean 0 and variance 1. being constructed from B s . we obtain MN = sup 2(N+I)/2Iytl. since (ZiN))t~O interpolates linearly between its values on D N .I we have zi ) = O. ~2(NI) . Further theory = E[(B s   B t )2] E[(Bt Br)(B s . they are certainly independent of increments over intervals disjoint from (r.B r and yt. Hence.I] Then. set zi N ) = BiN) . Hence (Bt : tEDN) is a Brownian motion indexed by D N.B r )2] 4. N For t E D N .162 We compute E[(Bt .1]. being Gaussian.
E(IY1IP)1/p ~ 00 L 00 (2(p2)/2 p )N < 00..?:o.3.. < t~ for all m and tf: ~ tk for all k. we have  E[f(Xi~).?:o is a Brownian motion. + zi N) converges uniformly in t E [0. (B t : tED) has a continuous extension (Bt)t.. Then. and by a similar argument uniformly for t in any bounded interval.4... Theorem 4.. But given 0 < t 1 < . N=O It follows that.t(f.?:o have the required joint distribution. It remains to show that the increments of (Bt)t. as N N=O BiN) = Bi O + zi 1 ) ) + . for all m. Let (Xn)n. as claimed. using continuity of (Bt)t.Xi~)] tE[f(aBh as c ~ 00. for any p > 2 00 00 163 ELMn= LE(MN ) N=O N=O : :. < t n we can find sequences (t''k)mEN in D such that 0 < t 1 < .t~  t~l· ~ 00 Hence. . L 00 E(MKr)l/P :::.?:o we can let m distribution for the increments to obtain the desired D Having shown that Brownian motion exists. Now BiN) eventually equals B t for any tED and the uniform limit of continuous functions is continuous. · · · . Set to = to = o. with probability 1.. very/much as the Gaussian distribution does for sums of independent random variables.?:O be a discretetime realvalued random walk with steps of mean 0 and variance 0'2 E (0. Therefore.t.··· .4. for all bounded continuous functions f : jRm ~ jR and all 0 ~ tl < . For c > 0 consider the rescaled process X t(c) .00).· .1]. we now want to show how it appears as a universal scaling limit of random walks.. . .4 Brownian motion and hence.. We know that the increments are Gaussian of mean 0 and variance tr .aBtm )] where (Bt).c 1/2Xct where the value of X ct when ct is not an integer is found by linear interpolation. < t m .
e I/2\('V:[et 1 ] +1. ..Bt).. .. Hence U~c) converges weakly to Zk. . m.164 4.L where Y n denotes the nth step of (Xn)n~O.. X(e)) . .1/ 2Nk(C)1/2)Nk(C)1/2(Yi + ..i~e) replacing xi ).(X(e) .. .L [et n] +1 'V:)\ t rn t1 t rn ..... as required.aB trn ) as c ~ 00. That was Wiener's theorem. we established a sort of convergence to Brownian motion. · . X(e))\ :::. . .X(e) .. By the central limit theorem Nk(e)I/2(YI + .. . Then.. In the proof we shall take for granted some basic properties of weak convergence. using the central limit theorem applied to the increments of a rescaled random walk. .1 / 2 Nk(C)1/2) . Consider now the increments (e) Uk . xi~) converges weakly to (a Btl..tk_l)1/2 Zk..B tkl ) increments are independent.t (tk . and (C. D To summarize the last two results. There now follows a series of related remarks. let us consider the JRdvalued process B t = (Bi./ [etk] L Yn rv (C. . .ide) = Bo = 0 it suffices to show that U~c) = 12 C. Then since both sets of = 1. Then \(xt(e) 1 . .. . Note the similarity to the definition of a Poisson process as a rightcontinuous integervalued process (Xt)t~O starting from 0.. 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.[etkI].U~)) converges weakly to (ZI. . . . But e (Ui ).X(e) tk tkl' for k Z k = a (B tk . . for each t ~ o. The right side converges weakly e to 0. .tk_l)1/2. First define (e) Xt  e I/2X[et] where (et] denotes the integer part of ct..Zm). + YN(c») n=[etk_l]+1 where rv denotes identity of distribution and Nk(e) = [etk] . .. so it suffices to prove the claim with . it suffices to show that U~e) converges weakly to Zk for each k.. using special properties of the Gaussian distribution..(Bt)t~o. . we have shown. Further theory Proof The claim is that (xi~). We call (Bt)t~o a Brownian . Given d independent Brownian motions (Bi )t~o.. + YN(e)) converges weakly to (tk . Since . . having stationary independent increments and such that X t is Poisson of parameter At for each t ~ O.
3. More generally. once the difference in variance is taken out. As a limit of Markov chains it is natural to look in Brownian motion for the structure of a Markov process. For any c > 0 the proces. with no essential change in the proof. The sense in which we have shown that (Xie))t~o converges to Brownian motion is very weak.4 Brownian motion motion in ]Rd. We might take (Xn)n~O to be the simple symmetric random walk in Z3. but rather about processes with independent increments. to anything else. Alternatively. we might take the components of (Xn)n~O to be three independent simple symmetric random walks in Z. By analogy with continuoustime Markov chains we look for a transition semigroup (Pt)t~O . The discussion to this point has not really been about the Markov property. Thus Brownian motion appears as a fixed point of the scaling transformation. Thus if (Xn)n~O is a random walk in ]Rd with steps of mean 0 and covariance matrix and if V is finite. (Bic)k. in the same sense.~o defined by B t(e)  C 1/2Bet is a Brownian motion.4. then V = ~I. which attracts all other finite variance symmetric random walks as c ~ 00.4. However. All other aspects of the step distribution become irrelevant as c ~ 00. the result shows that in the scaling limit they behave asymptotically the same. it is useful to know that on large scales all one needs to calculate is the variance (or covariance matrix).BO)t~o is a Brownian motion (starting from 0). given a random walk with a complicated step distribution. what we have proved is strong enough to ensure that (Xie))t~o does not converge. Here are two examples. in which case V = I.3 suggests the following scaling invariance property of Brownian motion (Bt)t>o. To remedy this we must first define Brownian motion starting from x: this is simply any process (Bt)t~o such that B o = x and (B t . which is also easy to check from the definition. 165 There is a multidimensional version of the central limit theorem which leads to a multidimensional version of Theorem 4. The scaling used in Theorem 4. and one can with effort prove stronger forms of convergence. Although these are different random walks. then for all bounded continuous functions as c ~ 00 we have f : (]Rd)m ~ ]R.4.
B s . a term we have not defined precisely.. x. This is the transition density for Brownian motion and the transition semigroup is given by (Ptf)(x) = ( p(t.166 4. x. Further theory and a generator G. x. This suggests. y) = (27rt)d/2 exp{ Iy . y) a2 ~x = Hence. y)f(y)dy JRd where p(t. y) where = !~xp(t. we have 8 at (Ptf)(x) = { !~xp(t.xI 2/2t}. .B s ))] = Ex [Ptf(B s )] = (PsPtf)(x) where we first took the expectation over the independent increment B s +t . . x. For t > 0 it is easy to check that :t p(t. y)f(y)dy JRd = ( JRd p(t. y)f(y)dy = lEx [f(Bt )]. x. x. 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. dYd JRd = ( p(t. by analogy with continuoustime chains. y)( !~J)(y)dy = Ex[(~~f)(Bt)] ~ ~~f(x) as t ! O. that the generator. y)f(y)dy = { !~yp(t. should be given by G=!~. 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 . if aXl2 + · · · + ax d 2· JRd a2 f has two bounded derivatives.
. set X (pt(N) f)(x) == IEx[f(Xi N ))]. . this aside.. 1993). C.. Volume 1: Foundations by L. is (N) /N N ( PI/Nf . Denote by (Xn)n~O the simple symmetric random walk in tl d and consider for N == 1.NIE x [f (X I(N) ) (x _ == If we assume that as N ~ 00. .I / 2 ) . But. t == 0. E N. f ((N))] Xo NIE N l/2 x [f(N.4.. 2nd edition 1994). We would like to explain the appearance of the Laplacian ~ by reference to the random walk approximation. .N. and a proper measuretheoretic basis for the probability. now there are functions f : jRd ~ jR. relative to the corresponding results for chains.f)(x) ~~f(x). continuous and differentiable. for example. such as measurability and differentiability. W.I / 2 )}. required to have various degrees of local regularity.f(N. .I / 2 ) == NI(~f(x) + o(N)). f(x .4 Brownian motion 167 Where formerly we considered vectors (fi : i E I). Roger.f ) ) .s and David Williams (Wiley.I / 2 ) so  2f(x) + f(x + N. such as measurable.an analytic view by D. f has two bounded derivatives then.2.. .I / 2X O)]  = (N/2){f(x .2/N. here is a result on recurrence and transience. Stroock (Cambridge University Press. liN.I / 2 X Nt .I/N. Probability Theory . now we have linear operators on functions: Pt is an integral operator.I / 271 d • The closest thing we have to a derivative in t at 0 for (pt(N))t=O.I / 2Xl) . For further details see. We finish by stating some results about Brownian motion which emphasise how much of the structure of Markov chains carries over. G is a differential operator. You might correctly guess that the proofs would require additional real analysis.N. For a bounded continuous function f : jRd ~ jR. They did not appear for Markov chains because a discrete statespace has no local structure. t N(pi. First. 2/N. the rescaled process N xi ) == N. G. You will notice some weasel words creeping in. Where formerly we considered matrices Pt and Q. Markov Processes and Martingales.2f(x) + f(x + N. by Taylor's theorem. Chichester. or Diffusions. the main ideas are very similar..Jf . These are various sorts of local regularity for functions defined on the statespace jRd.
f(x) for all z E Zd. + z) = 00. If we accept this latter notion of recurrence the correspondence extends to dimension two. ! .4. as t ~ we have t lEx[f(Bt )] and. So that we can state some results for the positive recurrent case.8.4.4. In dimension one this just means wrapping the line round a circle of circumference 1. then JP>({t ~ 0: B t (ii) If d = O} is unbounded) = 1.3 and 1. whereas in Z3 it is transient. as t ~ (iii) If d = 3.2. In dimension two we see the fact that for continuous statespace it makes a difference to demand returns to a point or to arbitrarily small neighbourhoods of a point. so that jRd and let f(x Then for all x E jRd. So the projected process is positive recurrent and we can expect convergence to equilibrium and ergodic results corresponding to Theorems 1. Let (Bt)t>o be a Brownian motion in f : jRd ~ jR be a continuous periodic function.6. Further theory jRd. Theorem 4. = 2.168 4. we shall consider Brownian motion in jRd projected onto the torus T d = jRd /Zd.l]d f(z)dz JI»x (~ it f(Bs)ds t 1 ast t 00) = 1. Let (Bt)t~o be a Brownian motion in (i) If d = 1. that in Z and Z2 the simple symmetric random walk is recurrent. Theorem 4. then JP>(Bt = 0 for some t but. for any € > 0) = 0 >0 JP>( {t ~ 0 : IBt I < €} is unbounded) = 1.5.10. moreover 1= [ J[O. The results correspond exactly in dimensions one and three. It is natural to compare this result with the facts proved in Section 1. The invariant measure for Brownian motion is Lebesgue measure dx. then for any N < 00 00 00) JP>(I B t I~ = 1. The invariant measure remains Lebesgue measure but this now has total mass 1. This has infinite total mass so in dimensions one and two Brownian motion is only null recurrent. The generator ~ of Brownian motion in jRd reappears as it should in the following martingale characterization of Brownian motion.
Then (i) ¢ if finite belongs to C 2 (D) n C(D) and satisfies in D in aD.2. then 'l/J ~ ¢. as we remarked in Section 4. then (4.3 for Markov chains. then (4.12) has no finite solution.4 Brownian motion 169 Theorem 4. (ii) for all bounded functions f which are twice differentiable with bounded second derivative.2. t and A E F 8 • We end with a result on the potentials associated with Brownian motion.4. the following process is a martingale: This result obviously corresponds to Theorem 4. (iv) if JPx(T < 00) = 1 for all x. and whenever s :::. a continuous time process (Mt )t2::o is a martingale if it is adapted to the given filtration (Ft )t2::o. if JEIMtl < 00 for all t. (4. (iii) if ¢(x) = 00 for some x. Set <jJ(x) = JEx [I T c(Bt)dt + f(XT )IT<oo] where T is the hitting time of aD.6.12) has at most one bounded solution in C 2 (D) n C(D). Theorem 4. In case you are unsure. 00) be measurable and let f : aD ~ [0. These potentials are identical to those appearing in Newton's theory of gravity.1.4.00) be continuous.4. . Write (Ft )t2::o for the filtration of (Xt)t~o.2.12) (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. Let (Xt)t~O be a continuous ]Rdvalued random process. corresponding very closely to Theorem 4. Let c : D ~ [0. Let D be an open set in ]Rd with smooth boundary aD. Then the following are equivalent: (i) (Xt )t2::o is a Brownian motion.7.
5.5 (virus). Exercise 1. In a realworld problem involving random processes you should always look for Markov chains. and for longrun behaviour via invariant distributions.we know. Markov decision processes and Markov chain Monte Carlo.1. Once a Markov chain is identified.3. from calculating the fair price for a random reward to calculating the probability that an absentminded professor is caught without an umbrella. References to books for further reading are given in each section.1. Some have already appeared to illustrate the theory.6 (octopus).1 Markov chains in biology Randomness is often an appropriate model for systems of high complexity. See Example 1. for example. queueing models. from games of chance to the evolution of populations. We are now going to give .5 Applications Applications of Markov chains arise in many different areas. that every state is either recurrent or transient. Example 1.4 (birthanddeath chain) and Exercise 2. There are also good computational methods . 5. In this chapter we shall look at five areas of application in detail: biological models. resource management models. such as are often found in biology.1 (bacteria). They are often easy to spot.for hitting probabilities and expected rewards. there is a qualitative theory which limits the sorts of behaviour that can occur . In each case our aim is to provide an introduction rather than a systematic account or survey of the field. We have already illustrated some aspects of the theory by simple models with a biological interpretation.
for n 2: 1 X n = Nf + . in the study of population growth.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. and j does not lead to i. The process (Xn)n~O is a Markov chain on I = {O. Suppose. each with the same distribution as N. Suppose at time n = 0 there is one individual. 1. . next. It should be recognised from the start that these models are simplified and somewhat stylized in order to make them mathematically tractable. We deduce that with probability 1 either X n = 0 for some n or X n ~ 00 as n ~ 00. epidemics and genetic inheritance. and also to the study of chain reactions in chemistry and nuclear fission. The solution to this problem is explained below. Example 5. by a random number of further offspring. i leads to j for some j > i.. If P(N = 0) = 0 then P(N 2: 2) > 0. Consider the probability generating function </J(t) = E(t N ) = :E tkJP(N = k==O 00 k). by setting X o = 1 and defining inductively. they wished to determine the probability that after n generations an individual had no male descendents. } with absorbing state o. who dies and is replaced at time n = 1 by a random number of offspring N.:)kEN. by providing quantitative understanding of various phenomena they can provide a useful contribution to science.. The basic branching process model has many applications to problems of population growth. that these offspring also die and are themselves replaced at time n = 2.5. hence i is transient in any case. having the same distribution as N. . Nevertheless. We can construct the process by taking for each n E N a sequence of independent random variables (N..1 Markov chains in biology 171 some more examples where Markov chains have been used to model biological processes.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. Further information on (Xn)n~O is obtained by exploiting "the branching structure. and so on.1. even in a growing population. so for i 2: 1. + N Xn _ • 1 Then X n gives the size of the population in the nth generation. Under the assumption that each male in a given family had a probability Pk of having k sons. and every state i 2: 1 is transient. each independently. The case where P(N = 1) = 1 is trivial so we exclude it.
since 0 is absorbing. We have shown that the population survives with positive probability if and only if Jl > 1. by induction. ¢(n)(o) ~ r for all n.1 = k) = lE(</>(t)xn . . and if ¢'(1) ~ 1 then since either ¢" = 0 or ¢" > 0 everywhere in [0. hence q ~ r. There is a nice connection between branching processes and random walks. so if X n = k then it takes k steps to obtain X n + l .1 ) . we have ¢(O) ~ r and. then ¢(r) = r by continuity.00 = ¢( q) so also q 2:: r. . we have q = P(Xn = 0 for some n) = lim ¢(n)(o). Some quantities are easily deduced: we have E(Xn ) = lim dd lE(t Xn ) = lim dd </>(n)(t) = (lim </>'(t)r = p.172 defined for 0 ~ 5. Suppose that in each generation we replace individuals by their offspring one at a time. In principle. where ¢(n) is the nfold composition ¢ 0 . also so. If ¢'(1) > 1 then we must have q < 1. n+oo Now ¢(t) is a convex function with ¢(1) = 1.1] : ¢(t) = t}.00 = lim ¢( ¢(n) (0)) n +. this gives the entire distribution of X n . Hence q = r. Let us set r = inf{t E [0. 0 ¢. we find that E(t Xn ) = ¢(n)(t). Since ¢ is increasing and 0 ~ r. by induction. . Applications t ~ 1. Hence. where Jl is the mean of the offspring distribution. 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 . though ¢(n) may be a rather complicated function.n. On the other hand q = lim ¢(n+l) (0) n +.1) we must have q = 1. til t til t til where Jl = E(N).
Harris (Dover. The classic work in this area is The Theory of Branching Processes by T. . so we deduce that ql is the smallest nonnegative root of the equation q = ¢(q).2 (Epidemics) Many infectious diseases persist at a low intensity in a population for long periods. 1989). in agreement with the generating function approach. However.1 Markov chains in biology 173 The population size then performs a random walk (Ym)m~O with step distribution N . Occasionally a large number of cases arise together and form an epidemic. but it is the simplest mathematical model to incorporate the basic features of an epidemic. as infectives either die or recover and are then resistant to further infection. for n 2: 0 Observe that X n = YTn for all n. The decline of an epidemic can also be explained by the eventual decline in the number of individuals susceptible to infection. New York.4. In an idealized population we might suppose that all pairs of individuals make contact randomly and independently at a common rate.1. These two possibilities have identical consequences for the progress of the epidemic.3 to see that. after which they either die or recover. (Xn)n>O hits 0 if and only if (Ym)m>O hits O. Define stopping times To = 0 and. E. individuals themselves become infective and remain so for an exponential random time. For an idealized disease we might suppose th~t on contact with an infective. these naive explanations leave unanswered many quantitative questions that are important in predicting the behaviour of epidemics. Moreover we can use the strong Markov property and a variation of the argument of Example 1.5. Example 5. whether infected or not. 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 nonnegative solution of this equation provides a nonnegative solution of the hitting probability equations. and since (Ym)m~O jumps down by at most 1 each time. This idealized model is obviously unrealistic.1. This behaviour is to some extent explained by the observation that the presence of a large number of infected individuals increases the risk to the rest of the population.
/lit starting from (so. say. In the idealized model. it) of the differential equations (d/dt)st (d/dt)i t = vstit = vStit .i)(si.~ Nl i=l 2 ' " =~ ~ 1 rv 210gN as N ~ 00. they in turn pass the rumour on to everyone they meet. We will not prove this result. i o). indeed all the communicating classes are singletons. It can be shown that as N ~ 00 the process (sf'. if') converges to the solution (St. Let us consider the proportions sf = St/N and if' = It/N and suppose that .i)(s. we effectively have a finite statespace. We assume that each individual meets another randomly at the jump times of a Poisson process of rate 1. then N . The expected time until everyone knows the rumour is then Nl i=l 1 Nl i=l N Nl(l i=l '" qi = '" ~(N . and the rate at which the rumour is passed on is qi = i(N . . and the absorption probabilities give the distribution of the number of susceptibles who escape infection. Here convergence means that E[I( sf'. of size N.i)/N.10 = 1. an asymptotic equivalence. Applications We denote the number of susceptibles by St and the number of infectives by It. X t = (St. if') . This is not a limit as above but. We can calculate these probabilities explicitly when So + 10 is small.(St. Consider now a sequence of models as N ~ 00 and choose s~ ~ So and i~ ~ i o.x = v/N. The epidemic must therefore eventually die out.O) for s E Z+ are all absorbing and all the other states are transient.174 5.i do not. It) performs a Markov chain on (Z+)2 with transition rates q(s. The states (s. How long does it take until everyone knows the rumour? If i people know the rumour. rather. but will give an example of another easier asymptotic calculation. 00 ). The fact that the expected time grows with N is related to the fact .x. q(s.il) = /li for some . This has the following interpretation: a rumour is begun by a single individual who tells it to everyone she meets. /l E (0. ~ ~ . where v is independent of N.i+l) = Asi.~) = '" . Since St + It does not increase. it) I] ~ o for all t 2:: o.x = l/N and /l = O. Of greater concern is the behaviour of an epidemic in a large population. N . Consider the case where So = N 1. ~ =~ 1) = +.
If X n denotes the number of alleles of type A in generation n. . some of type A and some of type a. so the possibilities are AA.. 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. for which we refer the interested reader to Mathematical Population Genetics by W. Then if the generation n is. all independent. 1. Ewens (Springer. They represent an attempt to understand quantitatively the consequences of randomness in genetic inheritance.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. 1979). AA aA AA AA aa. Berlin. (The word gene refers to a particular chromosomal locus. We suppose that each individual has two genes. the proportion of 'infectives' changes very slowly. Example 5. in sexual reproduction the choice of partner. the varieties of genetic material that can be present at such a locus are known as alleles. and in particular make no requirement that parents be of opposite sexes. This can be viewed as a model of inheritance for a particular gene with two alleles A and a. then (Xn)n~O is a Markov chain with the above transition probabilities. Aa and aa.3 (WrightFisher model) This is the discretetime Markov chain on {O.. The randomness here might derive from the choice of reproducing individual. as scientists have gained access to the genetic material itself. for example. We emphasise that we present only the very simplest examples in a rich theory.5. get aa aA Aa AA AA. or the choice of parents' alleles retained by their offspring. for example.) This sort of study was motivated in the first place by a desire to find mathematical models of natural selection. More recently. We have to allow that both parents may be the same. . then each gene in generation n + 1 is A with probability 7/10 and a with probability 3/10. The types of alleles in generation n+ 1 are found by choosing randomly (with replacement) from the types in generation n. and thereby to discriminate between various competing accounts of the process of evolution. The final two examples come from population genetics. . Let us take m to be even with m = 2k.m} with transition probabilities In each generation there are m alleles.1. many more questions of a statistical nature have arisen. We might. J.
that.i)jm)2 a(ijm)2 and the transition probabilities are Secondly. Firstly. . Some modifications are possible which model other aspects of genetic theory.1). as m ~ 00 lEpm(T) ~ 2m{(1 .i)jm 2 a(ijm)2 + (3i(m .p) log(l . aa have a relative selective advantage given by lX. alternatively hi = LPijh j . ..1} is transient. for p E (0.u) and + (m  i)v}/m .176 5.i)jm 2 + .I}... genetic diversity eventually disappears. Applications (Xn)n~O. Suppose A mutates to a with probability u and a mutates to A with probability v.((m . ~ + (lj2)(3i(m . The hitting probabilities for state m (pure AA) are given by This is obvious when one notes that one can check that (Xn)n~O m is a martingale.m . Aa. This means that the probability of choosing allele A when X n = i is given by 'l/J. known. States 0 and m are absorbing and {I.. Then the probability of choosing A when X n = i is given by ¢i = {i(l . (3. {m}. . it may be that the three genetic types AA. ~ > 0 respectively.p) It is + plogp} where T is the hitting time of {O. however. we may allow genes to mutate. The communicating classes of (Xn)n~O are {O}. so in a large population diversity does not disappear quickly. The structure of pairs of genes is irrelevant to the Markov chain which simply counts the number of alleles of type A. . {I. j==o According to this model. m}.m .
m} with transition probabilities Pi.. the basic Markov chain structure is the same. . . . we choose randomly one individual from the population at time n.1..m . with communicating classes {O}. There are some obvious differences from the WrightFisher model: firstly. We can also calculate explicitly the mean time to absorption . Pi. then we choose. .. Pii = (i 2 + (m  i)2)/m 2. so we obtain the population at time n + 1. The same individual may be chosen each time. so attention shifts from hitting probabilities to the invariant distribution 7r. The Moran model is reversible. . again randomly. is a martingale. in which case there is no change in the makeup of the population. if X n denotes the number of type A individuals in the population at time n. 1. absorbing states 0 and m and transient class {I.I}. Here is the genetic interpretation: a population consists of individuals of two types. . one individual from the population at time n and remove it. There is an exact calculation for the mean of 7r: we have p. {m }. so that JL = mv/(u + v). v > 0. the Moran model cannot be interpreted in terms of a species where genes come in pairs. in fact the chain is irreducible. or where individuals have more than one parent. Example 5. secondly in the Moran model we only change one individual at a time.m .. {I.i+l = i(m  i)/m2. and add a new individual of the same type. a and A. Now. and.i)V} 7ri = (1  u)p. then (Xn)n~O is a Markov chain with transition matrix P. = 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 .4 (Moran model) The Moran model is the birthanddeath chain on {O.5. like the WrightFisher model.I}. . . not the whole population. The hitting probabilities are given by IPi(Xn = m for some n) = i/m. + mv  vp.1 Markov chains in biology 177 With u. However.il = i(m  i)/m 2. both to give birth and to die. the states 0 and m are no longer absorbing.
. one is really interested in the case where m is large. m}. . as m Epm(T) ~ m 2 {(1 .m .p) j==1 L m_ ~ 00 mp 1 m1 ..( mj j j j(mj) which gives k. } j=1 j=i+1 J ~ · As in the WrightFisher model.k pm = (1. m2 .m . and i = pm for some P E (0. ..p) + plogp} which has the same functional form in p and differs by a factor of m/2.l jl).) m1. {(i/j)k. for i ~j k.. This factor is partially explained by the fact that the Moran model deals . is determined by m.p) + plogp}..plogp as m ~ 00... Then 2 m. Hence ki=Lkf=m L j=1 m1 { i ( m=z. So.p) 10g(1 .p) 10g(1 .1 so that . The simplest method is first to fix j and write down equations for the mean time spent in j.. For the WrightFisher model we claimed that Epm(T) ~ 2m{(1 .p) log(1...i+1 k t+1) for i = 1.j . Then.2 + . J +P j==mp+1 J L ~ 1 t (1. before absorption: kf kf = bij + (Pi. .k~ = . Applications where T is the hitting time of {O. kf where = for i ~ j ((mi)/(mj))k. . starting from i.1 kg = kin = 0.1).p) .178 5. + L m J .i1 k t1 + Piikt + Pi. for i = 1. = m..
. as compared to a type A individual. if X o = 1. of some other distribution. What is the probability that eventually the whole population is of type A? 5. In the case where the number of immigrants in each generation is Poisson of parameter A. so that the offspring has genotype AA.i)). by n X n = N 1 + . and the times taken to serve customers are also independent random variables. Suppose we begin with just one type A. in the notation of Example 5.1. The main . Aa and aa. and where P(N = 0) = 1 .P and P(N = 1) = p.1. 1/2 and 1/4.1. The basic mathematical model for. then nl k==O lE(t X n) = ¢(n) ( t) II 1/J (¢ (k) ( t) ) . n + Nx nl + In where (In)n'?:o is a sequence of independent Z+valued random variables with common generating function 'ljJ(t) = E(t 1n ). Thus in a population of size m containing i type A individuals. How long on average does it take to achieve a pure strain..2 A species of plant comes in three genotypes AA.1. on average? 5. find the longrun proportion of time during which the population is zero. 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 variables of the same distribution. 5. the probability that some type A is chosen to die is now i/(i + 2(m .5.2 Queues and queueing networks 179 with one individual at a time.1. whereas the WrightFisher model changes all m at once. Aa or aa with probabilities 1/4. AA or aa? Suppose it is desired to breed an AA plant.queues runs as follows: there is a succession of customers wanting service. A single plant of genotype Aa is crossed with itself. Exercises 5. Show that. What should you do? How many crosses would your procedure require.1 Consider a branching process with immigration. This is defined.2 Queues and queueing networks Queues form in many circumstances and it is important to be able to predict their behaviour. that is.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.
We shall find conditions for the stability of the queue.3. so we can answer many questions about the queue. In each example we shall aim to describe some salient features of the queue in terms of the given data of arrivaltime and servicetime distributions. Example 5. In cases where interarrival times and service times have exponential distributions. If the interarrival times only are exponential.7. This is always taken to include both those being served and those waiting to be served. Hence.J 1 is exponential of parameter JL and independent of J 1 . and XJl = i .2. This is explained in the final two examples.6.2. conditional on J 1 = A.I if T < A.1 and 3. Some further variations on queues of this type have already appeared in Exercises 3. Then the number of customers in the queue (Xt)t~O evolves as a Markov chain with the following diagram: Jl III( A Jl •• 111( A i i +1 •• i To see this.180 5. XJl = i + 1 if T > A. with probabilities Jl/(A+Jl) and A/(A+Jl) respectively. The case where i = 0 is simpler as there is no serving going on.1 (M/M/I queue) This is the simplest queue of all. We shall also look at the random times that customers spend waiting and the length of time that servers are continuously busy. Applications quantity of interest is the random process (Xt)t~O recording the number of customers in the queue at time t. Let us suppose that the interarrival times are exponential of parameter A. 3. which events are independent of J 1 . and the service times are exponential of parameter Jl.7. suppose at time 0 there are i customers in the queue. where > O. which is exponential of parameter A + JL. an analysis is still possible. 3. If we condition on J 1 = T. This is the context of our first six examples. conditional on XJl = j. by exploiting the memorylessness of the Poisson process of arrivals. then AJ1 is exponential of parameter A and independent of J1: the time already spent waiting for an arrival is forgotten. (Xt)t~O turns out to be a continuoustime Markov chain.1. (Xt)t~O .4. Similarly. Then the first jump time J 1 is A 1\ T. The code means: memoryless interarrival times/memoryless service times/one server. T . Denote by T the time taken to serve the first customer and by A the time of the next arrival. and a certain discretetime Markov chain embedded in the queue. and in the stable case find means to compute the equilibrium distribution of queue length.
\/{JL .~o is the claimed Markov chain. convergence to equilibrium.\ > Jl then (Xt)t~O is transient. 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. . once the queue size is identified as a Markov chain. and so on. Even in more complicated examples where exact calculation is limited. that is X t ~ 00 as t ~ 00.A. (Xt)t~O is positive recurrent with invariant distribution So when A < Jl the average number of customers in the queue in equilibrium is given by 00 00 lE7r {Xt ) = LJP>7r{Xt i=l .\). We deduce that if . this is (i + 1) I Jl. when A < Jl and the queue is in equilibrium. longrun averages. It follows that (Xt)t.::: i) = L{. The first calculation is exact but we have not fully justified the sec9nd. The MIMll queue thus evolves like a random walk. once the Markovian character of the queue is noted we know what sort of features to look for .A). Thus if A > Jl the queue grows without limit in the long term. i=l Also.5.transience and recurrence. Another quantity of interest is the mean waiting time for a typical customer. or we multiply the mean waiting time by the expected number of customers At. except that it does not take jumps below o. 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/(Jl .2 Queues and queueing networks 181 begins afresh from j at time Jl. Thus. Either way we get Atl Jl .\/JL)i = . Conditional on finding a queue of length i on arrival. This sort of argument should by now be very familiar and we shall not spell out the details like this in later examples.. When A < Jl. its behaviour is largely understood.
~o performs a Markov chain with the following diagram: •• ••• ••• 012 A Jl A 2Jl A SJl • s•• ••• s+l A SJl A So this time we obtain a birthanddeath chain. the queue size (Xt)t. Let us assume that the arrival rate is A and the service rate by each server is Jl. It is transient in the case A > SJl and otherwise recurrent. We emphasise that the queue size includes those customers who are currently being served. There are two cases when the invariant distribution has a particularly nice form: when S = 1 we are back to Example 5. . By an argument similar to the preceding example. S + 2.7.. Each arrival corresponds to an increase in X t .. (Xt)O~t~T . Let us suppose that A < SJl. The detailed balance equations hold and (Xt)t~O is nonexplosive.2 (M/M/s queue) This is a variation on the last example where there is one queue but there are S servers.182 5. so by Theorem 3. The first service time is therefore exponential of parameter iJl.../JL so that and the invariant distribution is Poisson of parameter AI Jl.1 and the invariant distribution is geometric of parameter AI Jl: When S = 00 we normalize 1r by taking 1ro = e). The queue is therefore positive recurrent when A < SJl. The number of arrivals by time t is a Poisson process of rate A. .1. so there is an invariant distribution. ..2.S = s + 1. and each departure to a decrease. To find an invariant measure we look at the detailed balance equations Hence for i for i = 0. Applications Example 5.3 for any T > 0. the first service is completed at the minimum of i independent exponential times of parameter Jl. The total service rate increases to a maximum SJl when all servers are working. Then if i servers are occupied. and consider the queue in equilibrium..2.
the longrun proportion of time that the exchange is full. Example 5. in equilibrium. in equilibrium.7. the number of departures by time t is also a Poisson process of rate A. additional calls are lost. Instead. is given by This is known as Erlang's formula. it turns out that the process of departures.2. and then by server . The maximum queue size or buffer size is s and we get the following modified Markov chain diagram: A • JL I( A • 2JL I( A • 012 sl s We can find the invariant distribution of this finite Markov chain by solving the detailed balance equations.5. where the maximum number of calls that can be connected at once is s: when the exchange is full. This might serve as a simple model for a telephone exchange. This time we get a truncated Poisson distribution By the ergodic theorem. as in the last example. It follows that. as one might imagine that the departure process runs in fits and starts depending on the number of servers working.2. Compare this example with the bus maintenance problem in Exercise 3. is just as regular as the process of arrivals.3 (Telephone exchange) A variation on the M/M/s queue is to turn away customers who cannot be served immediately.2 Queues and queueing networks 183 and (XTt)O~t~T have the same law.1. This is slightly counterintuitive. Example 5. and hence the longrun proportion of calls that are lost.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.
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 statespace I which performs a Markov chain with irreducible Qmatrix 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 statespace, 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 statespace 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 Qmatrix Q we define a function bi : I + I by
Thus bi adds a particle at i. Then for i =I j the nonzero 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 Nparticle 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 nonzero 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 Qmatrix Q on I U {8} with offdiagonal 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(l1ri), 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 servicetime distribution. This is desirable because it makes the queue size into a continuoustime Markov chain, but it is obviously inappropriate in many realworld 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 servicetime 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 LebesgueStieltjes integral: when T has a density function f(t) we can replace dF(t) by f(t)dt.) Then the mean service time Jl is given by
Jl
= 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 discretetime 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
eAt(lZ)dF(t) = £('\(1  z)).
Set p = E(Yn ) = AJl. 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
G(z) we must therefore have 1t"o = 1 .2.p) = p + A2£"(0+ )/2(1 .z) (lp)A(z) { (A' (z) 1) (1.1.z)A(z)/(A(z) . The fact that generating functions work well here is due to the additive structure of (5.2(1p)2 · Hence E(Xn ) = G'(l) = p + A"(l.)/2(1 .p) = (1  p)(l .z)/(l.5.p) = A/(Jl . E(T 2) = 2/ Jl2 and E(Xn ) = p/(l .A).2).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).z)G(z) (5.z) .3) (A(z) . so (A(z) .3) By I'Hopital's rule.z} . To obtain the mean queue length we differentiate (5.p) = p + A2E(T 2)/2(1  p).A(z)}. Since G(l) and = 1 = A(l). Since A is given explicitly in terms of the servicetime distribution. in principle. .A'(l) = 1.z) (A(z) _ Z)2 By l'Hopital's rule: lim (A'(z)l)(lz) zjl + A(z)z lim (A(Z)Z)2  zjl A"(z)(lz) _ _ _A_"_(l__) 2(A'(z)1) (A(z)z) .z) + A(z) .p. as we found in Example 5.l)G(z) = (1  p){ A'(z)(l . then substitute for G(z) to obtain G' (z) = (lp )A'(z) (1. rno = 1/(1 .p. (A(z) . as z i 1 + (A(z) .z)G'(z) = (A'(z) .z) 1. we can now obtain. the full equilibrium distribution.z). In the case of the M/M/1 queue p = AIJl.
z))L(A(l. X o is Poisson of parameter >.L(w))).t..WS IT = t)dF(t) 00 ewte>. .the queueing time of a typical customer and the busy periods of the server. Then.82 . Then conditional on T = t. +8N. as above. we have 8=t+81 + .A(Q+T)(lZ)) = M(A(l. and time T being served. and where 8 1 . Hence B(w) = = 1 1 00 E(e. which is Poisson of parameter At. Applications We shall use generating functions to study two more quantities of interest ..190 5. . are independent. Consider the queue (Xn)nEZ in equilibrium. with the same distribution as 8.. Differentiation and l'Hopital's rule.p)w/(w . Consider the Laplace transform Let T denote the service time of the first customer in the busy period. conditional on Q + T = t. Suppose that the customer who leaves at time 0 has spent time Q queueing to be served. since the customers in the queue at time 0 are precisely those who arrived during the queueing and service times of the departing customer.z)) where M is the Laplace transform On substituting for G(z) we obtain the formula M(w) = (1 .B(w))). 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..x(1.x(1 . Hence G(z) = E(e. where N is the number of customers arriving while the first customer is served.t(lB(w»dF(t) = L(w + .
X t is binomial of parameters nand p.. 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..8 (M/G/oo queue) Arrivals at this queue form a Poisson process. conditional on Nt = n.pt)k /k! L('\(1 . There are infinitely many servers. we can obtain moments by differentiation: E(S) = B'(O+) = £'(0+)(1 . so all customers in fact receive service at once.. Then P(Xt = k) = L P(Xt = k I Nt = n)P(Nt = n) n==O 00 = = k e>. .6. Suppose there are no customers at time O.p).5. t].2 Queues and queueing networks 191 Although this is an implicit relation for B(w).An. . Hence.4. service is incomplete at time t with probability 1 1 p=JP>(T>s)ds=tot it it 0 (lF(s))ds..k)! n==k 00 eAPt(Apt)k /k! So we have shown that X t is Poisson of parameter . We condition on Nt = n and label the times of the n arrivals randomly by AI. of rate A. The analysis here is simpler than in the last example because customers do not interact. . Service times are independent.AB'(O+)) = Jl(l + AE(S)) so the mean length of the busy period is given by E(S) = Jl/(l . with a common distribution function F(t) = lP(T ~ t). . For each of these customers.An are independent and uniformly distributed on the interval [0. .F(s))ds.p)tt. Then. say. AI. What. then. Example 5.\ it (1 . by Theorem 2.t(>./(n .
. . Chichester. Example 5. the expected unmet demand in period n + 1 is given by if i ~ m if m < i :s. We denote the residual stock at the end of period n by X n . which is Poisson of parameter . then (Xn)n~O is a Markov chain.1 (Restocking a warehouse) A warehouse has a capacity of c units of stock. for some threshold m.3. The statistical problem of estimating transition rates for Markov chains has already been discussed in Section 1. ••• are independent and identically distributed.3 Markov chains in resource management Management decisions are always subject to risk because of the uncertainty of future events. Kelly (Wiley. is irreducible on {O. perhaps on the basis of past experience.1 on the maintenance of unreliable equipment. 1978). If one can quantify that risk. For further reading see Reversibility and Stochastic Networks by F. . See also Exercise 3. Thus (Xn)n~O satisfies if X n ~ m ifm < X n ~ c. there is a demand for D n units of stock. D 2 . then the determination of the best action will rest on the calculation of probabilities. often involving a Markov chain. Applications Hence if E(T) < 00. and.7. Here we present some examples involving the management of a resource: either the stock in a warehouse.c}. Given that X n = i. 1..10.. or the water in a reservoir. c. Hence (Xn)n~O has a unique invariant distribution 7r which determines the longrun proportion of time in each state. The warehouse manager restocks to capacity for the beginning of period n + 1 whenever X n ~ m. Let us assume that D 1 . or the reserves of an insurance company. P. the queue size has a limiting distribution. 5. In each time period n. excepting some peculiar demand structures. which is met if possible.xE(T).192 Recall that 5.
Suppose that the profit per unit b = 1. .1.2. 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. 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. but once the distribution of the demand is known.2 are given.1/3.1. u(l) = 1/6. There is no general formula for 1r. 00 lE((D . (1/8. and that the demand satisfies P(D ~ i) = 2. respectively.i . i==O m Now as m increases. Hence (1/6.1/6.1/8.. We shall discuss in detail a special case where the calculations work out nicely.i)+) = LIP((D . u(O) = 1/4. k=l k=l The transition matrices for m = 0. The warehouse manager may want to compute these quantities in order to optimize the longrun cost ar(m) + bu(m) where a is the cost of restocking and b is the profit per unit. u(2) = 1/8 .i Then 00 for i = 0..1/3).1/2).1/4. so possible threshold values are m = 0. Suppose that the capacity c = 3. u(m) decreases and r(m) increases.2.1/4).5..1/4.i)+ 2: k) = LIP(D 2: i + k) = 2.1/4.1.3 Markov chains in resource management Hence the longrun proportion of demand that is unmet is u(m) = 193 L 7l"i i· U c i==O The longrun frequency of restocking is given by r(m) = L7l"i.
00 In fact.discrete time) We are concerned here with a storage facility. A simplifying assumption which makes some calculations possible is to assume that consumption in each period is constant. likewise B I . When the reservoir is empty. r(l) = 1/3. Example 5. whether or not E(A n ) < 1. . by the argument used in Example 5. whose transition probabilities may be deduced from the distributions of An and B n . We assume that newly available resources cannot be used in the current time period. So we would like to calculate 7r. Hence.c}.z) . of finite capacity c. then is positive recurrent and the invariant distribution 7r satisfies (Xn)n~O L where A(z) 00 7riZi = (1 . ••• . For example. ••• are independent and identically distributed. no water can be supplied.. Therefore. Then the infinite capacity model satisfies a recursion similar to the M/G/l queue: X n+1 = (Xn . B 2 .2 (Reservoir model .1)+ + A n+l . surplus water is lost. Hence we know that the longrun behaviour of (Xn)n~O is controlled by its unique invariant distribution 7r.. then (Xn)n~O is a Markov chain on {O. 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. the longrun proportion of time that the reservoir is empty is simply 7ro.z)A(z)j(A(z) .EA n )(1 . and that our units are chosen to make this constant 1. In each time period n. When the reservoir is full. A 2 . the equation lIiZi L i=O = (1 . If we assume that An. B n and c are integervalued and that AI.2. An units of resource are available to enter the facility and B n units are drawn off.z) i=O = E(zA n ).7. assuming irreducibility.194 and 5.z)A(z)j(A(z) . for example a reservoir. Applications r(O) = 1/4. if E(A n ) < 1. 1. if a ~ 1/4 r(2) = 1/2. . to minimize the longrun cost ar(m) 2 m = + u(m) we should take { 1 o if 1/4 < a ~ 1 if 1 < a.3.
arriving each time are assumed independent and identically distributed. so II must have infinite total mass. Note that (Wt)t~O can enter [0.3 (Reservoir model .3 Markov chains in resource management 195 serves to define a positive invariant measure v for (Xn)n~O. Hence. The quantities of water 8 1 . Hence c should be chosen large enough to make ° lIO/(lIo + . . multiply by A(z) .. by the strong Markov property. .c} through c... . 1.z and equate powers of z: the resulting equations are the equilibrium equations for (Xn)n~O: Vo = lIo(ao l/i + a1) + V1 aO + = l/i+l a O L j=O i l/j a ij+1.82 . 1. Note that (Xn)n~O can only enter {O. which is true if E(A n ) > 1. Example 5. The problem faced by the water company is to keep the longrun proportion of time 1ro(c) that the reservoir is empty below a certain acceptable fraction. supply will exceed demand. and the level c equation is redundant.xIE(Sn)).. . in the long run. .82 . To see this. The periods when the reservoir is empty correspond to idle periods of the queue.3. it is to be hoped that. +ve ). . € > say... For a reservoir of infinite capacity... the longrun proportion of time that the reservoir is empty is given by IE(Sn)/(l ... We assume that there is a continuous demand for water of rate 1. 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 . In fact. but we shall not pursue this here. we can deduce for the finitecapacity model that the longrun proportion of time in state i is given by vi/(vo +... (Xn)n~O observed whilst in {O. The next example is included. In the case where IE(A n) < 1.c} is simply the finitecapacity model.1. c] only through c.continuous time) Consider a reservoir model where fresh water arrives at the times of a Poisson process of rate A. c].5.. this is true in general as the equilibrium equations for the finitecapacity model coincide with those for v up to level c . because it illustrates a surprising and powerful connection between reflected random walks and the maxima . in part. + lie) < c which is always possible in the transient case.. for i ~ 1 where ai = P(A n = i). Hence in the positive recurrent case where AE(8n ) < 1. Then (Xn)n~O is transient. In reality. As in the preceding example we can obtain the finite capacity model by observing (Wt)t~O whilst in [0.
we have + X n+l )+. Then in the long run the company can expect to make a profit of 1 . which we now explain. · + X n . identically distributed random variables. X 2 . Applications of random walks.196 5. Let Xl. We choose units making this rate 1. where Zo = 0 and Zn+l = (Zn + Yn . But Zn is the queueing time of the nth customer in the M/G/1 queue with interarrival times Tn and service times Yn . The company pays claims at the times of a Poisson process of rate X. so Zn has the same distribution as M n where Example 5. By the strong law of large numbers as n ~ 00. M n has the same distribution as Zn. Denote by Sn the cumulative net loss following the nth claim.. Set p = XE(Yi) and assume that p < 1. where X n = Y n .7 that the queuelength distribution converges to equilibrium. Y 2 . Set Sn = Xl + .Tn and Tn is the nth interarrival time. • •• denote a sequence of independent.P per unit time. The maximum loss that the company will have to sustain is M= lim M n n+oo where By the argument given above. + X n and define (Zn)n~O by Zo = 0 and Zn+l = (Zn Then.T n )+. there is a danger that large claims early on will ruin the company even though the longterm trend is good. ••• being independent and identically distributed.3. Hence. We know by Example 5. by induction.4 (Ruin of an insurance company) An insurance company receives premiums continuously at a constant rate.2.. the claims YI. Thus Sn = Xl + . However.. so does the .
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. this makes it reasonable to pick the same value of p throughout. then i . 5. Any value of p E (0.2p) 00 Thus for c(p) = lip the choice p = 1/4 is optimal. Hence The probability of eventual bankruptcy is P(M > a). .. In principle.1] may be chosen. ¢(p) = { c(p)/(l .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. 1. The expected total cost starting from 2 is 2¢(p) since we must first hit 1. We have seen in Section 1. The general discussion which follows will make rigorous what we claimed was reasonable. } jumps one step to the right with probability p and one step to the left with probability q = 1 . and so on. then the choice p = 1 may be best. but incurs a cost c(p) = l/p.4. 2.7. where a denotes the initial value of the company's assets. Also by Example 5. Hence ¢(p) so that = c(p) + 2p¢(p) for p < 1/2 for p ~ 1/2. The question arises as to how best to do this to minimize our expected costs. we know the Laplace transform of the equilibrium queueingtime distribution.5. Starting from i we must first hit iI. the expected total cost starting from 1. this may now be obtained by inverting the Laplace transform. Given the lack of memory in the model. in the long run the only way to avoid an infinite total cost is to get to O. However.2 how to calculate in these circumstances the longrun average cost or the expected total cost. Example 5. The walker on reaching 0 stays there. with expected cost 8. If we are only concerned with minimizing costs over the first few time steps.10 and Section 4.2. incurring no further costs.1 A random walker on {O.4 Markov decision processes 197 queueingtime distribution.2. and seek to minimize ¢(p).p.. .
The minimum expected cost incurred before time n = 1 is given by VI (i) = inf c(i.. jE! . that is...Xn )). a) = ci(a) is incurred when action a is chosen in state i. A stationary policy u is a function u : I ~ A.Xn =i n ) =Pi n in +l(u n (i o . . .. . a transition matrix P(a) = (Pij(a) : i.2.. Then we associate to a policy u an expected total cost starting from i.Un(Xo. To get a process we must choose a policy. . n=O So that this sum is well defined. a policy U is a sequence of functions n=O. we assume that c(i. These are the data for a Markov decision process. Formally. . Define also the value function V*(i) = infVU(i) U which is the minimal expected total cost starting from i.in))... let us suppose given some distribution A = (Ai: i E I) and. Applications Generally. . a Then the minimum expected cost incurred before time n = 2 is V2 (i) = i~{ c(i. The basic problem of Markov decision theory is how to minimize expected costs by our choice of policy. a). given by 00 VU(i) =E U LC(Xn.. . a way of determining actions by our current knowledge of the process. (ii) PU(Xn+ 1 =in+11 X o =io. the probability law pu makes (Xn)n>O Markov. Each policy u determines a probability law pu for a process (Xn)n~O with values in I by (i) PU(Xo = io) = Aio . though so far we have no process and when we do it will not in general be Markov. a) ~ 0 for all i and a. a) + LPij(a)V1 (j)}.. with transition probabilities P"tj = Pij (u(i))· We suppose that a cost c(i.j E I) and a cost function c( a) = (Ci (a) : i E I). We abuse notation and write u also for the associated policy given by Under a stationary policy u. for each action a E A.198 5.1.
a) + LPij(a)VOOU)}. unless we can show that the inequality (5.a) + LPij(a)Vn(j)} jEJ . c(i.4 Define inductively Markov decision processes 199 Vn+l (i) = i~f{ c(i. j the functions Ci : A ~ [0. so Vn (i) increases to a limit Voo(i). jEI (5.4. (ii) for all i and all B < 00 the set {a : ci(a) ~ B} is compact.4) It is easy to see by induction that Vn (i) ~ Vn +l (i) for all i. i~{ c(i. Lemma 5. A simple case where (i) and (ii) hold is when A is a finite set.00) and Pij : A ~ [0. We have Vn+l(i) :::.5. Then Vn+l(i) = !~ {C(i. If Voo(i) = 00 there is nothing to prove. It is easy to check that the assumptions are valid in Example 5. u(i)) + LPij (u(i))VooU)· jEI (5. is in fact the value function V*(i). a) + LPij(a)VnU)}. There is a stationary policy u such that Voo(i) = c(i. ci(a) = l/a and a ifj=i+1 1 Pij ( a) = 0 . We assume that (i) for all i. Voo(i) :::.2. We make three technical assumptions to ensure this. This is not always true.1].a if j = iI { otherwise. possibly infinite. for all but finitely many j.4. with obvious exceptions at i = O.5) is actually an equality. (iii) for each i.a) + LPij(a)VnU) jEI for all a so. so let us assume that Voo(i) ~ B < 00. letting n ~ 00 and then minimizing over a.5) It is a reasonable guess that Voo(i).00) are continuous. being the limit of minimal expected costs over finite time intervals. with A = (0.1.6) Proof. for all a E A we have Pij (a) = 0. jEI (5.
3. .uo(i)) + :EPij(UO(i))vu[i](j) jEI where u[i] is the policy given by Hence we obtain VU(i) ~ i~{ c(i.6). Hence Voo(i) ~ V*(i) for all i. we obtain (5. a) + LPij (a)V* (j) } jEI and.Un (Xo.200 5.4) and (5.4. D Theorem 5. Applications where K is the compact set {a : c( i. Then by substitution in the right sides of (5.8) Certainly. the infimum is attained and Vn+l(i) = c(i. a) ~ B} and where J is the finite set {j : Pij ¢. Hence. on taking the infimum over u V*(i) ~ i~{ c(i. · " . We have for all i. VU(i) = = Ei L n=O c(Xn . By compactness there is a convergent subsequence u nk (i) ~ u(i). a) + LPij (a)V* (j) }. (ii) if u * is any stationary policy such that a (i) Vn(i) i V*(i) as n ~ 00 = u * (i) minimizes c(i. and.7) for some un(i) E K. on passing to the limit nk ~ 00 in (5.a) + :EPij (a)V* (j) jEI for all i.Xn )) c(i.8) we find Vn+ 1 (i) ~ V*(i) and the induction proceeds. jEI (5.un(i)) + :EPij(un(i))Vn(j) jEJ (5. then u* is optimal. Let us suppose inductively that Vn(i) ~ V*(i) for all i. say. O}. in the sense that v u * (i) = Proof. by continuity.7). Vo(i) = 0 ~ V*(i). For any policy u we have 00 V*(i) for all i.
4 Markov decision processes Let u* be any stationary policy for which 201 Voo(i) ~ c(i.3 we have vu* (i) ~ Voo(i) for all i. We have (i) VeU(i) ~ VU(i) for all i.a) + :Epij(a)Vu(j). (i) We have. (ii) VenU(i) ! V*(i) as n ~ 00 for all i. 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.u(i)) + LPij(u(i))VU(j) jEI ~ c(i. by Theorem 4. Given one stationary policy u we may define another Ou by the requirement that a = (Ou)(i) minimizes c(i. In practice we may know only an approximation to V*.2. We may then hope that. jEI We know such a policy exists by Lemma 5.2. (5.4 (Policy improvement). Then by Theorem 4.9) Proof.4. jEI Theorem 5.4. by choosing a = u(i) to minimize c(i. by Theorem 4. once this is known. for example Vn for n large.Ou(i)) + :EPij(Ou(i))vu(j) jEI so VU(i) ~ VeU(i) for all i. a) + :EPij(a)Vn(j) jEI we get a nearly optimal policy. even less that this policy would be stationary. An alternative means of constructing nearly optimal policies is sometimes provided by the method of policy improvement.3. For it was not clear at the outset that there would be a single policy which was optimal for all i.3 VU(i) = c(i. . provided that for all i. so Voo(i) = V*(i) = and we are done.5. part (ii) identifies an optimal stationary policy.2.u*(i)) + LPij(U*(i))Voo(j). part (i) gives an explicit way of obtaining the value function V* and.2. Moreover. But V*(i) ~ vu* (i) for all i.
1. 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. are transient.N the process nl M n = VONnU(Xn) + LC(Xk. This is because we will have V* (i) = 00 unless for some stationary policy u. . 1. We have been discussing the minimization of expected total cost. Hence if we assume (5..Xn )).Un(Xo. which is only relevant to the transient case. accessible from i. We have EU (Mn+ 1 I :Fn ) = LPXni (U*(Xn))VoNnlu(j) + c(Xn . i = X n and a = u*(Xn ).(i) = infV:(i)..U*(Xk)) k=O ~Mn where we used (5. n=O Define the discounted value function V.1). . c(i. u(j)) > 0.9).10) Fix N ~ 0 and consider for n = 0.a) + LPii(a)Vu(j) jEI for all i and a. the only states j with positive cost c(j.. .u*(Xn))) D asN~oo. Applications (ii) We note from part (i) that VOU(i) :::. . u*(Xn )) * jEI nl + LC(Xk. (5. U .10) with u replaced by (INnl u .U*(Xk))' k=O Recall the notation for conditional expectation introduced in Section 4.202 5. . then V 9N U(i) = IEy· (Mo) ~ IEY· (MN ) =Ef(VU(XN)) +Eu* ~V*(i) (~c(Xn. It follows that EU· (Mn +1) ~ EU· (Mn ) for all n. We now seek to minimize the expected total discounted cost 00 V:(i) = EiLOnC(Xn.
U) jEI for all i. for all i. (iv) For all stationary policies u we have as n Proof. .a (i) = 0 and. a) + a 2:Pij(a)V jEJ U U). inductively Vn+l. jEI (5.a.a(i) i VC:(i) as n ~ V. 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). With obvious notation we have ~ 00 for all i. Pia(a) = 1 .(i) = i~f{ c(i.5.U) }.11) (iii) Let u* be a stationary policy such that a = u*(i) minimizes c(i. Introduce VO. given a stationary policy u. ca(a) = O. define another Oau by the requirement that a = (Oau)(i) minimizes c(i. Theorem 5. Thus the new process follows the old until. at some geometric time of parameter a. it jumps to 8 and stays there. (ii) The value function VC: is the unique bounded solution to 00 (i) We have Vn.4. ci(a) = ci(a). Suppose that the cost function c(i. incurring no further costs.o:(i) = i~f {c(i. a) + a 2:Pij (a)Vn. Then u* is optimal in the sense that V:* (i) = VC:(i) for all i.5.4 Markov decision processes 203 In fact. a) + a 2: Pij(a)V. a) is uniformly bounded.o: (in jEJ and.a) +a 2:Pij(a)V.
by Theorem 4.a) ~ D 0 Hence (iv) also follows from Theorem 5. we know by the ergodic theorem that 1 nl . we do not know in general that the optimal policy is positive recurrent.3 and 5. u(Xn )) :::. Applications so parts (i). as n ~ 00.4. So for any stationary policy u we have 00 V:(i) and so = Ei:E o:nc(xn . B/(l . of We assume that Ic(i. .11). We have c(i. JEI Then V = V~.2. (ii) and (iii) follow directly from Theorems 5.u(j)) JEI as n ~ 00.5. JEI But. u(j)). This forces IV: (i) I ~ B for all n. for all i. = anEf* (V~(Xn)) ~ Ba n /(l.u(i)) +0: :Epij(u(i))V(j). although this is sometimes valid.204 5. Here we are concerned with the limiting behaviour.4. a) ~ B for some B < 00. except for the uniqueness claim in (ii). which is more general. a)1 ~ B < 00 for all i and a. In the case of a stationary strategy u for which (Xn)n>O has a unique invariant distribution 1ru .0:) n=O iEf* (VU(Xn )) as n ~ 00. Then (}au = U so (iv) will show that u is optimal and V = VC:.. or even stationary.4. But given any bounded solution V to (5. Instead. We finish with a discussion of longrun average costs. we use a martingale approach.U(Xk)) ~ L k=O 7r j c U. Pi almost surely.4.: LC(Xk. So ~ (i) does converge in this case by bounded convergence. with the same limit. but in general the sequence ~ (i) may fail to converge as n ~ 00. there is a stationary policy u such that V(i) = c(i.4. This suggests that one approach to minimizing longrun costs might be to minimize L 7rjcU.
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. nl 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.. . When u 2 sup i = u* we also have v::* (i) ~ V* + and hence (i). .6. Therefore So we obtain v* ~ V~(i) + 2 sup IW(i)l/n.. EU(Mn+l I F n ) = M n + {C(Xn .t 00 for all i.t V* as n .4 Markov decision processes 205 Theorem 5. for all u. Firstly. Suppose we can find a constant V* and a bounded function W(i) such that V* + W(i) = i~f{c(i.12) Let u* be any stationary strategy such that a = u*(i) achieves the infimum in (5. if u is a stationary policy for which (Xn)n~O has an invariant distribution 1r u . (5.a) + LPii(a)W(j)} jEI for all i. Then (i) (i) .4. Un) + LPXni(Un)W(j)} jEI (V* + W(Xn )) with equality if u = u*.5.u(i)) iEI + L1I"jW(j) jEI .12) for each i. Fix a strategy u and set Un = un(Xo. (ii) liminfn~oo (i) ~ V* for all i. v::* v:: Proof. Two further aspects also deserve comment.nV* Then +L k=O C(Xk' Uk). i This implies (ii) on letting n ~ 00.Xn ).
206 so 5. Then we can show that as a i 1 we have V.a). which for many purposes may be regarded as sample values of a sequence of independent random variables. 1970) and to H. u(i)) iEI with equality if we can take u = u* .12) on letting a i 1.1]: .U31 U32 U 33 written as decimal expansions of a certain length.Ull U12 U 13 Ulm U2m U3m U2 = U3 O. Chichester.11) we find v* /(1 = so a) + W(i) + 0(1 jEI a) i~f {C(i' a) + a LPij(a)(V* /(1.11. The interested reader is referred to S. San Francisco. Stochastic Models . Ross.an algorithmic approach (Wiley. Applications v* ~ L 1rfc(i.5 Markov chain Monte Carlo Most computers may be instructed to provide a sequence of numbers Ul = O. Applied Probability Models with Optimization Applications (HoldenDay. Tijms.(i) = V* /(1 . U21 U22 U 23 = 0. 1994) for more examples.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. C. 5. uniformly distributed on [0. results and references. Assume that I is finite and that P( a) is irreducible for all a. Secondly. On substituting this into (5. there is a connection with the case of discounted costs.
• •• is a sequence of independent random variables. P). . Nevertheless. U2. U2 . 1] ~ I by Go(U) =i if u E Ai.Xn = in) = JP>(Un +1 E Ainin+l) = Pi ni n+l so (Xn)n~O is Markov(A. 1] ~ I. U3. .. This simple procedure may be used to investigate empirically those aspects of the behaviour of a Markov chain where theoretical calculations become infeasible. more seriously. and then might exploit the observed properties of such processes. This makes it worth while considering how one might construct Markov chains from a given sequence of independent uniform random variables. U3 (w).5 Markov chain Monte Carlo 207 We are cautious in our language because. they are usually derived sequentially by some entirely deterministic algorithm in the computer.1] into disjoint subintervals (Ai: i E I) with lengths Similarly for each i E I. of course..5. and set X o = Go(Uo). if u E A ij . Since EiEI Ai = 1 we can partition [0. G : I x [0..1].1] into disjoint subintervals (A ij : j E I) such that Now define functions Go : [0.u)=j Suppose that Uo. lP(Xn +1 = i n +1 I X o = io. . U2 (w). G(i. are actually all integer multiples of 10. X n+1 Then = G(Xn ... We shall now describe one procedure to simulate a Markov chain (Xn)n~O with initial distribution A and transition matrix P.m and. U1. uniformly distributed on [0.. . Ul. the generators of such pseudorandom numbers are in general as reliable an imitation as one could wish of U1(w). we can partition [0. lP(Xo = i) = lP(Uo E Ai) = Ai. .. Un+1 ) for n ~ 0.
After a general discussion we shall give two examples.. Applications The remainder of this section is devoted to one application of the simulation of Markov chains. However.. 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). . k=l The strong law of large numbers guarantees that this is a good approximation as n ~ 00 and. An alternative approach would be to simulate a large number of independent random variables Xl. and to approximate (5. one can obtain error estimates which indicate how large to make n in practice. for each site mEA. making the statespace I very large indeed. 1] random variables.performing the sum (5. The essential point to understand is that A is typically a large set. We are given a distribution 7r = (7ri : i E I). and it is desired to compute the number (5. each with distribution 7r. moreover. known as Markov chain Monte Carlo. Markov chain Monte Carlo is sometimes the only way to simulate samples from 7r.. Then certain operations are computationally infeasible ..13) by 1 n . For recall that a computer just simulates sequences of independent U[O. It is the application which finds greatest practical use. statistical physics and computer science. the object of primary interest being the invariant distribution of the Markov chain and not the chain itself. Monte Carlo is another name for computer simulation so this sounds no different from the procedure just discussed. especially in statistics. unless 7r has product form 1r(X) = II 1r mEA m {x(m)). L!(Xk).13) for some given function I = (Ii : i E I). where.208 5.13) state by state for a start. . perhaps up to an unknown constant multiple. When 7r does not have product form. X(m) takes values in 8 m .Xn in I. simulation from the distribution 7r is also difficult. But what is really meant is simulation by means of Markov chains. . The context for Markov chain Monte Carlo is a statespace in product form I = 8m II mEA where A is a finite set.
which is constructed to have invariant distribution Jr. for example. except possibly at site m. not one in the much larger space I. Then. Theorem 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 statespace is a product. Let us write i ~ j if i and j agree. we know. by Theorem 1. j#i . where pij(m) = 0 unless i ~ j. j we want There are many possible choices for P(m) satisfying these equations. Indeed. We would like Jr to be invariant for P( m).8. The process (Xn)n~O is made to evolve by changing components one site at a time. and then pii(m) = 1. but we might. 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.3. When the chosen site is m.2 shows that with probability 1. A sufficient condition is that the detailed balance equations hold: thus for all i.10. 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 . Indeed. we simulate a new random variable X n + 1 (m) with values in 8 m according to a distribution determined by X n .5. The law for simulating a new value at site m is described by a transition matrix P( m). that as n ~ 00 the distribution of X n converges to Jr. and for k =I m we set X n+ 1 ( k) = X n ( k) . Thus at each step we have only to simulate a random variable in 8 m . make all components independent.5 Markov chain Monte Carlo 209 The basic idea is to simulate a Markov chain (Xn)n~O. assuming only irreducibility.2:Pij(m) ~ O. assuming aperiodicity and irreducibility.
if 7rj > 7ri. This is called the Gibbs sampler.1 :E P(m). then we adopt the new value. whereas if 7rj ~ 7ri we adopt the new value with probability 7rj/7ri. It is particularly useful in Bayesian statistics. This is called a Metropolis algorithm. mEA We shall stick with this second choice. This is called a Hastings algorithm. Then (Xn)n~O is itself a Markov chain with transition matrix P= IAI. we might choose a site randomly at each step. which is easy to ensure in the examples. then if Y n = j we set with probability (7ririj(m)/7rjrji(m)) 1\ 1 otherwise. i =1= j. A particularly simple case would be to take for i ~ j. So we simply resample X n (m) according to the conditional distribution under 7r. For definiteness we mention two possibilities. On taking rij(m) = rji(m) for all i and j we find for i ~ j. provided we keep returning to every site. generating a sequence of sites (mn)n~O. On taking for i ~ j we also find for i ~ j. Let us assume that P is irreducible. We know that . i =1= j rij(m) == l/(Nm .210 5. Then (m n . In practice this may not matter much. 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). We might choose to visit every site once and then repeat. This amounts to choosing another value jm at site m uniformly at random. where the analysis is simpler to present. given the other components. Xn)n~O is a Markov chain in A x I. There are two commonly used special cases.1) where N m == ISml. Alternatively. We have not yet specified a rule for deciding which site to visit when.
. J. but useful information of this type cannot be gained in the present general context. 1996). In practice one is concerned with how fast it works. For further reading we recommend Stochastic Simulation by B. cPo. P. which is the conditional density given the observations. Richardson and D. The parameters 00 . the computer output gives a good idea of how well we are doing. Higdon and K. Ripley (Wiley. Gilks.2. 7) f (y I /l. D.(Yi  p)2 /2 } T ao l+ n / 2 exp{ {jOT}. 0:0 and .80). so also 7riPij 211 = 7rjPji and so 7r is the unique invariant measure for P. We shall not pursue the matter here. j. .1 .1 exp{ . and Markov Chain Monte Carlo in practice by W. Then the prior density for (/l. Chichester. that is to say. The recent survey article Bayesian computation and stochastic systems by J.t 7rdi n k=O iEI as n ~ 00 with probability 1. One then seeks to draw conclusions about /l and 7 on the basis of the observations. London.807}.5 Markov chain Monte Carlo for all m and all i. 340. we have f(Xk) . . which it is reasonable to assume are normally disn tributed. The Bayesian approach to this problem is to assume that /l and 7 are themselves random variables. Besag. cPo 1 ). 7). Hence.80.80 are known. We finish with two examples. with a given prior distribution. Thus the algorithm works eventually. L 1 n1 L o The posterior density for (/l. .( 0 )2 /2} exp { T t.10. 7 I y) ex 7r(/l. It should also be emphasised that there is an empirical side to simulation: with due caution informed by the theory.. 7) ex exp{ cPO(/l. is then given by Bayes' formula 7r(/l. Green.5. R. Given more information on the structure of 8 m and the distribution 7r to be simulated. and 7 has gamma distribution of parameters 0:0 and . For example.1 (Bayesian statistics) In a statistical problem one may be presented with a set of independent observations Y1 . Spiegelhalter (Chapman and Hall. 1987). Example 5. /l is normal of mean 00 and variance cPo 1 . 1995) contains many interesting references. much more can be said. 7 rv r( 0:0. D. pp.Y . by Theorem 1. 7) is given by 7r(/l. 7) ex exp{ ¢o(p. 10 (1). .5. but with unknown mean /l and variance 7. S.O )2/2}7 ao . we might assume that /l rv N( 00. Mengersen (Statistical Science.
r) ex exp{ ¢o(p. with . we first simulate Jlk+1 from 7r(Jl I y.Jlk+1).J r(a n . but you may find it reasonable at an intuitive level. Nevertheless.(Yi ex r CYo l+ n / 2 exp { r (. Of course. To make the connection with our general discussion we set 1=81 X 8 2 = JR x [0.Tk+1). T) with density 7r(Jl. Tk) and then Tk+1 from 7r(T I y. say from the product form density 7r(Jl. then set Xk+1 = (Jlk+1.8n = .80 + 2)Yi i==l  p)2/2. This is not an immediate consequence of the ergodic theorem for discrete statespace. In any case the computer will work with finite approximations to JR and [0. . We wish to simulate X = (Jl. Applications Note that the posterior density is no longer in product form: the conditioning has introduced a dependence between Jl and T. numerical integration would also be feasible as the dimension is only two. Our final belief about Jl and T is regarded as measured by the posterior density. with a rate of convergence depending on the smoothness of 7r and f.80 p)2 /2 } I'.( 0)2/2} exp { r t. First we simulate X o. I Y. Tk).00). T I y). given X k = (Jlk. for all bounded continuous functions f : I + JR.t 00 1 with probability 1.(Yi  p)2 /2) } I'.J N(On. 00) are not finite sets does not affect the basic idea. Here the Gibbs sampler provides a particularly simple approach.8n) where n an = ao + n/2. p) + t. The fact that JR and [0.00). . and one can show that k1 ~ ~ f(X j ) .1). the full conditional distributions still have a simple form 1r(pl 1r(r Y. At the kth stage. T). We may wish to compute probabilities and expectations..t f(x)1r(x I y)dx as k . Then (Xk)k~O is a Markov chain in I with invariant measure 7r(Jl. ¢.212 5. 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. T I y).
normally distributed.. T I y) ex exp { ¢o ~(Jlj ..1 . with means jjj and common variance 7.8n = f30 + L L(Yij .. with Let us write jj = (jj1. . The prior density is given by and the posterior density is given by 1r(Jl.jjn). so the Markov chain approach is the only one available. . .m. . effect of speeding convergence to the equilibrium distribution. just as in the case m = 1 discussed above. as is direct simulation from the distribution. and j = 1. Note that.Jlj)2/2. where i = 1. remain independent.( 0 )2 /2} .Jlj)2 /2} TQoHmn/2 exp{ . Thus one can update all the means simultaneously in the Gibbs sampler. . ~(Yij Hence the full conditional distributions are where n m On = 00 + mn/2.5 Markov chain Monte Carlo 213 different means but a common variance. for j = 1. numerical integration of 7r(jj. . Thus there are mn independent observations }!ij. In cases where m is large.m.5.7 I y) is infeasible. i=1 j=1 We can construct approximate samples from 7r(jj. conditional on 7. 7 I y). . the means jjj.8oT}.. x exp { T t. n. We take these parameters to be independent random variables as before. This has the. by a Gibbs sampler method.. . ... .
As (3 ! the weighting becomes uniform. Consider the sets of even and odd sites A+ = {(ml' m2) A.2 (Ising model and image analysis) Consider a large box A = AN in 71 2 A with boundary 8A = {N.. where simulation is still possible by simple modifications of the methods presented here.= {(ml' m2) + m2 E A : ml + m2 E A : ml is even}.0. . whereas if sinh 2{3 > 1 there is a residual effect of the boundary values on X(O).x(m.5. First we describe a Gibbs sampler. This is one of the fundamental models of statistical physics..N}2 and the configuration space = AN\A N. In fact. A famous and deep result of Onsager says that if X has distribution 1t". . is odd} . 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. . m / } ~ A with 1m . . called the Ising model. the Ising model is rather well understood theoretically. For x E A define H(x) = ! I:: (x(m) ..1. Applications Example 5. the fact that X is forced to take boundary values 1 does not significantly affect the distribution of X(O) when N is large.m'l = 1. whereas.1 . if sinh 2(3 ~ 1.))2 where the sum is taken over all pairs {m. uniformly in N..214 5. We write I+ and for each (3 > ° = {x E I : x(m) = 1 for all m E 8A} define a probability distribution (rr(x) : x E I+) by 1t"(x) ex e(3H(x). Here we consider the problem of simulating the Ising model. or even to detect phenomena quite out of reach of the current theory. as (3 i 00 the mass concentrates on configurations x where H(x) is small. then ° In particular.1. Simulations may sometimes be used to guide further developments in the theory.
8 in the Ising model. for mEA+\8A s(m) = L Im'ml=l x(m'). to obtain X n+1 . 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. By varying the parameter . independently for each m E A+\8A. Both methods we have described serve to simulate samples from 1r.. Next we apply the corresponding transformation to Y n. Then inductively.5 Markov chain Monte Carlo and for x E I set 215 x± = (x(m) : m E A±).+l with distribution 1r(. where 1r has an approximate product structure on large scales. Given that X n = x. We may encode a digitized image on a twodimensional grid as a particular configuration (x(m) : mEA) E I. Let us call the resulting configuration Y n . The process (Xn)n~O is then a Markov chain in 1+ with invariant distribution 1r. we change the sign of Xt(m) with probability p(m. Convergence is fast in the subcritical case sinh 2. simulate firstly X~+l with distribution 1r(. I x+).5.I x+). given X. 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. We can again exploit the even/odd partition.( m) for the odd sites m E A\8A.x) = (1r(x)/1r(x)) 1\ 1 = e2 . the distribution of X n is approximately 1r.Bx(m)s(m) 1\ 1 where x ~ x with x(m) = x(m). Choose now some simple initial configuration X o in 1+. simulate X. = x.8 < 1. An alternative approach is to use a Metropolis algorithm. there is little to choose between them. In a Bayesian analysis of twodimensional images. Then according to our general discussion. we vary the tendency of black pixels . where x(m) = 1 for a white pixel and x(m) = 1 for a black pixel. Therefore. it is easy to simulate from 1r(x+ I x) and likewise from 1r(x. the Ising model is sometimes used as a prior. I x) and then given X~+l = x+. for large n.
2 . We describe the appropriate Metropolis algorithm: given that X n = x. Call the resulting configuration X n + 1 / 2 . x.1). which we choose according to the sort of image we expect. y) = (7r(x I Y)/7r(x I y)) = 1\ 1 e. y) and d(x. with probability p E (0. the same methods work. 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.y) where a(x. Next apply the corresponding transformation to X~+1/2 for the odd sites to obtain X n+ 1 . black or white. 'Cleanedup' versions of the observed image Y may now be obtained by simulating from the posterior distribution. the same for white pixels.y) (1 . .p)d(x. thus obtaining a prior 7r(x). Observations are now made at each site which record the true pixel.216 5. Thus (3 is a sort of texture parameter. Applications to clump together. independently for each m E A+\8A. Then (Xn)n~O is a Markov chain in /+ with invariant distribution 7r(. y) are the numbers of sites at which x and y agree and disagree respectively. Although this is not exactly the Ising model. I y). change the sign of X:(m) with probability p(m.6x(m)s(m)((1_ p)/pt(m)y(m) where x ~ x with x(m) = x(m).f3H (x)pa(x.
.6 Appendix: probability and measure Section 6. the monotone convergence theorem and Fubini's theorem. One crucial result which we found impossible to discuss convincingly without measure theory is the strong Markov property for continuoustime chains. .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. in Section 6. with or without a measuretheoretic background. In either case we can enumerate all the elements of I .. This is because the statespace is at worst countable. Finally. . we discuss a general technique for determining probability measures and independence in terms of 1rsystems.2 and 6.3. 6.6.or a bijection f : N ~ I. Two important results of measure theory.4. When interpreted in terms of measure theory. The proofs we have given may be read on two levels. the proofs are intended to be rigorous. This is proved in Section 6. are needed a number of times: these are discussed in Section 6. 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.5. which are often more convenient than aalgebras. The basic framework of measure and probability is reviewed in Sections 6.1 contains some reminders about countable sets and the discrete version of measure theory.
. then we can set where .J 't n=l n=l 00.218 6. for example tl n for any n. ~2. We need the following basic fact. for any two enumerations of I ~1. Lemma 6. if we allow Ai to take negative values. Any countable union of countable sets is countable. . Any finite cartesian product of countable sets is countable. ~3.1. we have 00 00 LAin n=l = LAin' n=l Proof.n} for some n E N: this just corresponds to a particular choice of the bijection f.J In L.1. The set of all subsets of N is uncountable and so is the set of real numbers JR. Let I be a countably infinite set and let Ai Then. Appendix: probability and measure where in one case the sequence terminates and in the other it does not. 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. . ••• . ~ 0 for all i E I. Any subset of a countable set is countable. Given any N E N we can find M ~ Nand N' ~ M such that Then N M N' """ A· n < """ A· < """ A· n L.. There would have been no loss in generality had we insisted that all our Markov chains had statespace N or {I.J 't L.
= iEI jEJ jEJ iEI The following two results on sums are simple versions of fundamental results for integrals.j2. . We take the opportunity to prove these simple versions in order to convey some intuition relevant to the general case. Then L (LAi j) = L (LAij). . Then as n ~ 00. Lemma 6. Then LAi(n) i LAi as n iEI iEI t 00. There is no difficulty in showing for Ai.j3. be an enumeration of J.1.. jji 2 0 that I)Ai + Pi) L Ai + LPi.. Suppose for each i E I we are given an increasing sequence (Ai(n))n~O with limit Ai.3 (Monotone convergence . Let I and J be countable sets and let Aij 2 0 for all i E I and j E J.discrete case).2 (Fubini's theorem .6. we have L (LAi j) L (LAij). and that Ai ( n) 2 0 for all i and n.1. iEI jEJ jEJ iEI Proof. D Lemma 6. for any finite set J and for 2 0.1 Countable sets and countable sums 219 allowing that the sum over I is undefined when the sums over I+ and Iare both infinite.discrete case). Let jl. = iEI iEI Aij iEI By induction. Hence and the result follows by symmetry. .
Here AC denotes the complement E\A of A in E. Thus £ is closed under countable set operations. Jl) is called a measure space. (iii) (An E £. then we say Jl is afinite. Let E be a set. (ii) A E £ =* AC E £.I) by setting In fact. £.1 Let I be a countable set and denote by I the set of all subsets of I. n E N with Un En = E and Jl(En ) < 00 for all n. so as n ~ 00. A aalgebra £ on E is a set of subsets of E satisfying (i) 0 E £. If there exist sets En E £. Example 6. Set 8i (1) = Ai(l) and for n ~ 2 set Then 8i (n) ~ 0 for all i and n.2 Basic facts of measure theory We state here for easy reference the basic definitions and results of measure theory. we obtain in this way all afinite measures Jl on (I.I). The pair (E. For such A we obtain a measure on the measurable space (I. (~8i(k)) t.8i(k)) = t. (~8i(k)) i = L (f 8i (k)) LAi = iEI k=l iEI o D 6.00] which has the following countable additivity property: The triple (E.1 if Ai E [0. by Fubini's theorem ~Ai(n) = ~ (t.00) for all i.2. . A measure Jl on (E. Recall that A = (Ai: i E I) is a measure in the sense of Section 1. £) is called a measurable space.220 6. Appendix: probability and measure Proof. £) is a function Jl : £ ~ [0.n E N) =* Un An E £.
a for all a. (3 ~ 0) ~ o:f + {3g E m£+. We denote by m£+ the set of measurable functions f : E ~ [0. Example 6. i It follows that. We denote by m£ the set of measurable functions f : E ~ JR.a < b}. (iii) (fn E m£+. This measure J. The aalgebra B generated by A is called the Borel aalgebra of JR. for a sequence of functions f n E m£+. £1) and (E2 . It can be shown that there is a unique map ji : m£+ ~ [0.t(a. When the range E 2 is a countable set I we take £2 to be the set of all subsets I by default.t on (JR. n E N) ~ ji(En fn) = En ji(fn). 0:. m£+ is closed under countable suprema: (fi E m£+. It can be shown that there is a unique measure J. The intersection of any collection of aalgebras is again a aalgebra. and so is limn fn when this exists. £) be a measllrable space. Let (E. b. b). £2) be measurable spaces.g E m£+. . b) = b .t(A) for all A E £. 9 E m£+ .3 In the preceding example take E = JR and A = {(a.00] such that (i) ji(lA) = J.b): a. When the range E 2 = JR we take £2 = B by default.2 Basic facts of measure theory Example 6.0:. where we take on [0. The collection of aalgebras containing A is therefore nonempty and its intersection is a aalgebra a(A). The set of all subsets of E is a aalgebra containing A. 00] the aalgebra generated by the open intervals (a.i E I) ~ SUpfi E m£+.t is called Lebesgue measure.6. Then m£ is a vector space. 00]. A function f : E 1 ~ E 2 is measurable if f1(A) E £1 whenever A E £2. {3 ~ 0. (ii) ji(o:f + (3g) = o:ji(f) + (3ji(f) for all f. which is called the aalgebra generated by A. both lim sUPn f nand lim inf n fn are in m£+.b E JR. Also. Let (E 1 .2 221 Let A be any set of subsets of E. B) such that J.2.2. Then m£+ is a cone (f.
To every nonnegative or integrable realvalued random variable Y is associated an average value or expectation E(Y). with distribution I Ai = P(X = i) = p({w : X(w) = i}). (ii) P(AI n A 2 ) = P(A I ) + P(A 2 ) for AI. set f± = (±f) V 0. This is simply a measure space with total mass P(O) = 1.3 Probability spaces and expectation The basic apparatus for modelling randomness is a probability space (0. F.f. Thus we have (i) E(IA) (ii) E(oX = P(A) for A E F.E m£+. 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}). which is the integral of Y with respect to P. + (3Y) = oE(X) + (3E(Y) for X. 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). Y E mF+.. with Un An = A.f. ~ Similarly.{3 ~ 0. (iii) P(A n ) i P(A) whenever An i A. 6. o. r jj. given a countable statespace I. In the case of Lebesgue measure one usually writes simply lXEJR r f(x)dx. .222 6. f = f+ . F) is called a random variable. then f+. a random variable X : 0 models a random state. We use random variables Y : 0 ~ lR to model random quantities.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. Appendix: probability and measure For f E mE.1] satisfies (i) P(O) = 1. P). In (iii) we write An i A to mean Al ~ An ~ . A 2 disjoint. A measurable function X defined on (0.. Thus F is a aalgebra of subsets of 0 and P : F ~ [0.
Proofs may be found.00] there is an explicit formula E(J(Y)) = L f(y)p(y)dy. 1991).y)Jt2(dy~Jtl(dx)=1yEE2 (rxEE f(X. ') J l l ') . in Probability with Martingales by D.1 (Monotone convergence). n E N. For a realvalued 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. Jt) be a measure space and let (fn)n~l be a sequence of nonnegative measurable functions.00] is £2 measurable. Jl1) and (E2.00] is £1 measurable. f : lR ~ [0. Then. (b) x ~ f yE E2 f(x.4 Monotone convergence and Fubini's theorem Here are the two theorems from measure theory that come into play in the main text. When X is a random variable with values in I and f expectation of Y = f(X) = foX is given explicitly by E(J(X)) = 223 : I ~ [0. £. Yn i Y) :::} IE(Yn ) i IE(Y). Theorem 6. Y)Jl2(dy) : E 1 ~ [0.2 (Fubini's theorem). £1.6. Let (E. 6.00] is £1 measurable for all Y E E 2. First we shall state the theorems. then we shall discuss some places where they are used.00] the LAdi iEI where A is the distribution of X. 00] satisfies (i) x ~ f(x.4. y)Jt1(dx) : E 2 ~ [0. Then (a) y ~ f(x. Let (E 1 .00] is £2 measurable for all x E E 1. for example.4 Monotone convergence and Fubini's theorem (iii) (Yn E mF+. £2. (ii) Y ~ IXEE 1 f(x. Williams (Cambridge University Press. y) : E 2 ~ [0. Suppose that f : E 1 x E 2 ~ [0.Y)Jtl(dx~Jt2(dY). y) : E 1 ~ [0. Jl2) be two afinite measure spaces.4. as n ~ 00 (fn(x) i f(x) for all x E E) :::} Jt(fn) i Jt(f)· Theorem 6. (c) r yEE2 JxEE (1 f(x.
10. We used monotone convergence in Theorem 1. Jt) is afinite: just take E 2 = {I.3.2 as a defining property of the integral. But if 0 ~ X n ~ Y and X n ! X then Y .5 Stopping times and the strong Markov property The strong Markov property for continuoustime Markov chains cannot properly be understood without measure theory. . They are powerful results and very easy to use. 2. £2.. provided that (E.. } and Jt2( {n}) = 1 for all n. We used monotone convergence in Theorem 2.X) and if IE(Y) < 00 we can deduce IE(Xn ) ! IE(X).224 6. + 9n. £1. This form of monotone convergence has already appeared in Section 6. There is an equivalent formulation of monotone convergence in terms of sums: for nonnegative measurable functions 9n we have To see this just take .X.LSn}) =E(J~= exp { . Fubini's theorem is used in Theorem 3.L Sn}). £. The problem lies with the . n~N In the last application convergence is not monotone increasing but monotone decreasing. Jt1) to be [0.fn = 91 +. So IE(Y .. 3. Jt2) to be the probability space with the measure Pi.1 to see that for a nonnegative random variable Y we have IE(Y) = N+oo lim IE(Y /\ N).L Sn}) n n~N =J~= E(exp { .2 to see that Thus we have taken (E 1. This is also a special case of Fubini's theorem.4. Appendix: probability and measure The measurability conditions in the above theorems rarely need much consideration.00) with Lebesgue measure and (E2.X n i Y .X n ) i IE(Y .2 to see that for random variables Sn ~ 0 we have E(LSn) = LE(Sn) n n and E(exp { . 6..
Let Sand T be stopping times of (Xt)t~o.s~t ({T~s}n{S>s})EFt D > T} E Fr.m ~ T < k2. which in measure theory is made precise as measurability with respect to some aalgebra. in what terms would you require the dependence to be exhibited? So in this section we shall give a precise measuretheoretic account of the strong Markov property. We have {S>T}n{T~t}= so {S U sEQ. We define for stopping times T FT = {A E F : A n {T ~ t} E F t for all t ~ O}.m ~ t and X k2 rn = X T .5. Then both X T and {S ~ T} are FTmeasurable. This turns out to be the correct way to make precise the notion of sets which 'depend only on {Xt : t ~ T}'.6. but then.5 Stopping times and the strong Markov property 225 notion of 'depending only on'. that is to say. for some k ~ 1.tl/n}EFt n forall t~O. Lemma 6.1. Proof. Without measure theory the statement that a set A depends only on (X s : s ~ t) does not have a precise meaning. Note that this certainly implies {T<t}=U{T::. on {T < t} there exists an n ~ 0 such that for all m ~ n. Since (Xt)t~O is rightcontinuous. Denote by F t the aalgebra generated by {X s : s ~ t}. Hence so X T is FTmeasurable. We say that a random variable T with values in [0.1)2. Let (Xt)t~O be a rightcontinuous process with values in a countable set I. if the dependence is reasonably explicit we can exhibit it. Of course. (k . and so {S ~ T} E Fr· . 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. in general.
We denote by Qm the aalgebra generated by yo. Then {Jm +! ~ t} for all t ~ = U sEQ. 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}. Jo = 0 is a stopping time. n {T < Jm+ 1 }.3. such that T = T m and lA = lA on {T < J m + 1 }. . both measurable with respect to Qm.5.226 6. Assume inductively that J m is a stopping time..s~t {Jm ~ s} n {X s =1= X J71J E F t D 0. Appendix: probability and measure ~ Lemma 6. For all m (Xt)t~o.Jm ~ s}) n{t< Jm+d so {X s = i} E At. 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 is At.··· . Am = then T m and Am are Qmmeasurable 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} . Obviously.Jk ~ s < Jk+l}U{Ym =i.2. For s ~ t we have {X s = = i} n {t < J m +1} (D\Y k=O k =i. Lemma 6. Let T be a stopping time of (Xt)t~O and let A EFT. .Y and 8 1 . Then for all m ~ 0 there exist a random variable T m and a set Am.8m . Tn Proof. 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.5. Fix t ~ 0 and consider Since Qm is a aalgebra. m that is. 0. so J m + 1 is a stopping time and the induction proceeds. Since these sets generate F t . So we can find Bm(t). the jump time J m is a stopping time of Proof.
4 (Strong Markov property). 8 1 > S1. X IF(A n {T < (} n {X T = i}). all io.. 81 :c: . Y n = in... By Lemmas 6. Yn = in.. Q) and let T be a stopping time of (Xt)(~o.. where T m and Am are Qmmeasurable... Let (Xt)(~O be Markov(A. . .1 and 6.3 we can write T = T m and 1A = 1A on {T < J m + 1 }. as shown in the diagram .2. .Sn ~ 0 IF( {Yo = io.:c: : 82 . for all A EFT. 81 > S1. . conditional on T < ( and X T = i.8n > sn} nAn {T < (} n {XT = i}) = lFi(YO = io. (XT+t)(~O is Markov(8i . Then. . .5.. 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..: o On {Jm ~ 8 m +1 : i T T < J m + 1 } we have. . {Jm ~ T} n {XT = i} E FT so we may assume without loss of generality that A ~ {Jm ~ T} n {XT = i}. .. We have to show that.in E I and all S1..6. . By Lemma 6. D Theorem 6. Q) and independent of FT. 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.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..5.5.5.
.. . .6.:F) be a measurable space.Y = in. If a(A) we say that A generates :F. by the memoryless property of the exponential Hence.228 6.J m and Am and. . n o 8 1 > 81. The constructive approach we have taken should make this seem obvious. F) which agree on a 7rsystem A generating :F. for example hitting probabilities.1.8m+ n > 8 n } n Am n {8m+ 1 > T m .J m ). by the Markov property of the jump chain P( {Yo = io.6 Uniqueness of probabilities and independence of aalgebras For both discretetime and continuoustime Markov chains we have given definitions which specify the probabilities of certain events determined by the process. conditional on Ym = i. = :F Theorem 6. 81 > 81. but it is illuminating to see what has to be done. Let PI and P 2 be probability measures on (0. . D 6.· . Let (O. Then PI = P 2 · Proof. that our definitions determine the probabilities of all events depending on the process.8n > 8 n } nAn {Jm ~ T < Jm + 1 } n {XT = i}) = p( {Ym = io. In this section we shall show. Let 0 be a set. . in measuretheoretic terms. 8m+ 1 > 81 + (Tm . Consider . A 7rsystem A on 0 is a collection of subsets of 0 which is closed under finite intersections.Yn = in. 8 m+ 2 > 82. 8 m+ 1 is independent of gm and hence of T m . From these specified probabilities we have often deduced explicitly the values of other probabilities. Ym+n = in. thus We denote as usual by a(A) the aalgebra generated by A.8n > 8 n )P(A n {Jm ~ T < Jm + 1 } n {XT = i}) as required.J m }) = Pi(Y = io. Appendix: probability and measure Now.
because V is a dsystem. Let Al be a 1rsystem generating F 1 and let A2 be a 1rsystem generating F2. V has the following properties: (i) 0 E V. so we may without loss assume that V is the smallest dsystem containing A. since PI and P 2 are probability measures. You may easily check that any dsystem which is also a 1rsystem is necessarily a aalgebra. this shows VI = V. Since A generates F. Since A is a 1rsystem. Then a(A) ~ V.6. Since VI = V. . Suppose A ~ V. Consider first VI = {A E V : A n B E V for all B E A}. E V. (ii) (A. Suppose that (0. A ~ VI.6 Uniqueness of probabilities and independence of aalgebras 229 We have assumed that A ~ V. so it suffices to show V is a 1rsystem. Suppose that Then Fl and F 2 are independent. D The notion of independence used in advanced probability is the independence of aalgebras. Theorem 6.1. Any collection of subsets having these properties is called a dsystem. This we do in two stages. the result now follows from the following lemma.6. Moreover. An i A) :::} A E V. P) is a probability space and F 1 and F 2 are subaalgebras of F. You can easily check that V 2 is also adsystem. 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. B E V and A ~ B) :::} B\A (iii) (An E V. D Lemma 6. Since V is the smallest dsystem containing A. Next consider V2 = {A E V : A n B E V for all B E V}. A ~ V 2 .2 (Dynkin's 1rsystem lemma). Proof.3. Any intersection of dsystems is again a dsystem.6. You may easily check that VI is adsystem . But this shows V is a 1rsystem. Hence also V 2 = V. F. Let A be a 1rsystem and let V be a dsystem.
2 we claimed that for a rightcontinuous 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. Next fix Al E :F1 with P(A 1) We have assumed that P(A) = P(A) for all A E AI.\ 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 .such as the event that (Xn)n~O visits a set of states A. so.1.230 6. Now events of the form {Xto = io. by Theorem 6. our definition determines (in principle) the probabilities of all events in this aalgebra.Xtn = in} form a 1rsystem which generates the aalgebra a(Xt : t ~ 0).1 justifies (a precise version) of this claim. so.Xn = in} form a 1rsystem which generates the aalgebra a(Xn : n ~ 0). > 0 and consider the probability measure We showed in ~e first step that P(A) = P(A) for all A E A2. Hence:F1 and :F2 are independent.. ..3 are relevant.1 we showed that our definition of a discretetime Markov chain (Xn)n~O with initial distribution . .6. In our general discussion of continuoustime random processes in Section 2.6. An argument given in . Appendix: probability and measure Proof. D We now review some points in the main text where Theorems 6. by Theorem 6.1 and 6.. First fix A 2 E A 2 with P(A 2 ) the probability measure > 0 and consider jp> = P on :Fl.1.6. We note now that the events {X o = io. is not necessarily measurable with respect to a(Xt : t ~ 0). .1. So Theorem 6.6.1. There are two steps. P =P on :F2 . Hence. In Theorem 1.6. . The point about rightcontinuity 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. by Theorem 6.6..
By T~eore~ 6.x and generator matrix Q may be read as stating that.6. . Finally.Yn = i n . Let us take F = a(Xt : t ~ 0).· .6.A'tO"'tO'tl \. C I'fr. for all i E I {Xt = i} = U {In ~ t < In+d n {Yn = i} E g. n~O so also F C g. Consider now the method of describing a minimal rightcontinuous process (Xt)t~O via its jump process (Yn)n~O and holding times (Sn)n~1.·.Yn = i n .Xt = i)JP>(A for all C E F and A E FT.Sn > sn}.4. .5.2 shows that this event is measurable in the rightcontinuous case..5. .x.5. • eqio81 ••• eqin18n • Then.2 show that (Yn)n~O and (Sn)n~1 are Fmeasurable. A useful1rsystem generating 9 is given by sets of the form B = {Yo = i o. We conclude that.. .4.6 Uniqueness of probabilities and independence of aalgebras 231 Section 2. by Theorem 6. Theorem 6. . this definition determines JP> on 9 and hence on F.XT = i) = JP>(C I T < (. X T 9 = a((Yn)n~O' (Sn)n~O). Then Lemmas 6. without some assumption like rightcontinuity. 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 aalgebras on n. · . Set B = {Yo = i o. Our jump chain/holding time definition of the continuoustime chain (Xt)t~O with initial distribution . On the set = {T < (} define Xt = X T +t and let j = a(Xt : t ~ 0). and that JP>(C n A I T < (. for such events l1J)(B) . Assume that (Xt)t~O is Markov(.3 it suffices to prove the independence assertion for the case C = B. which is what we did in the proof of Theorem 6.6.. On the other hand.1. and coincide by the same argument as = g..1 and 6. ••• "'tnl't n I'fr.5. general continuoustime processes are unreasonable. Then the conclusion of the strong Markov property states that = i) = lPi(B) IT < (. JP>(B I T < (.Sn > sn}. we consider the strong Markov property. · .XT = i) with B as above.. Thus 9 ~ F where 9 = a((Yn)n~O' (Sn)n~1).S1 > S1. Q) and that T is a stopping time of (Xt)t~o.S1 > S1.
Chichester. Besag. Williams. Chapman and Hall. T. Springer. Markov Chains with Stationary Transition Probabilities. Higdon and K. 1970. Gilks. K. . The Theory of Branching Processes. Applied Probability Models with Optimization Applications. Mathematical Association of America. Markov Chains. This may provide a number of starting points for your exploration of the vast literature on Markov processes and their applications. 340. L. F. Berlin. Stochastic Simulation. B. Dover. P. HoldenDay. Berlin. P.Further reading We gather here the references for further reading which have appeared in the text. Freedman.E. Bayesian computation and stochastic systems.D. Wiley. D.C. Kelly. Revuz. New York. Markov Chains.G. Chung. 2nd edition.R. S. 1984. 2nd edition. London. Chichester. Vol 1: Foundations. Mengersen. San Francisco. San Francisco. Statistical Science 10 (1) (1995). J. D. Doyle and J. Carus Mathematical Monographs 22. NorthHolland. Mathematical Population Genetics. Ewens. D. S. Wiley. HoldenDay. Harris. 1984. 1967. Green. Spiegelhalter. Random Walks and Electrical Networks. 1979. 1971. Amsterdam.J. Ross. Richardson and D.J. 1987. Chichester. Rogers and D. Diffusions. Markov Chain Monte Carlo in Practice.G.P. Snell. Springer. Ripley. W.L. Wiley. 1978. 1994. W. Reversibility and Stochastic Networks.L. Markov Processes and Martingales. 1996. 1989.M.
D. Stochastic Models . Tijms. 1991.an Algorithmic Approach. Probability with Martingales. H. 1994.C. Cambridge University Press. Cambridge University Press. Probability Theory . Williams. Chichester. .An Analytic View.Further reading 233 D.W. Wiley. Stroock. 1993.
111 absorption probability 12. 121. 111 closed migration process 184 communicating class 11. 9. 96 Bayesian statistics 211 biological models 6. 82. 97 transition probability definition 94. 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 birthanddeath 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 conditional expectation 129 conductivity 151 continuoustime Markov chains 87 construction 89 infinitesimal definition 94 jump chain/holding time definition 94. 97 continuoustime random process 67 convergence to equilibrium 41. 16.Index absorbing state 11. 112 action 198 adapted 129 alleles 175 aperiodicity 40 average number of customers 181 backward 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. 222 integral form of the backward equation 98 integral form of the forward equation 101 interarrival times 180 invariant distribution 33. 118 J. expected time in i between visits F n .97 Markov chain continuoustime 88 discretetime 2 Markov chain Monte Carlo 206. 145 harmonic function 146 Hastings algorithm 210 hitting probability 12 hitting time 12. 115 flow 151 forward equation 62. 208 Markov decision process 197 expected total cost 198 expected total discounted cost 202 longrun average costs 204 Markov property 3 for birth processes 84 for continuoustime chains 93 for Poisson process 75 martingale 129. 126 mi. 141. filtration 129 fair price 135 filtration 129 finitedimensional distributions 67 first passage decomposition 28 first passage time 19. statespace 2 infective 173 integrable 129. P) 2 Markov(:A. 124 discounted value function 202 distribution 1 lE. Q) 94. 118 explosion for birth processes 83 for continuoustime chains 90 explosion time 69 explosive Qmatrix 91 exponential distribution 70 Gibbs sampler 210 gravity 134. 117 computation of 40 irreducibility 11. expectation 222 E(:A). 111 holding times 69 235 I. 168 Erlang's formula 183 excursions 24 expectation 222 expected hitting time 12. 176. 169 Green matrix 144. 97 to j 118 Markov(:A. 113 expected return time 37.t{. 126. expected return time 37. 117 ergodic theorem 53. exponential of Q 62 effective conductivity 156 electrical network 151 energy 154· epidemic model 173 equilibrium distribution 33. expected time in i between visits to j 35 GaltonWatson process 171 gambling 131 Gaussian distribution 160 generator 166 generator matrix 94. 204 . 111 Ising model 214 jump chain 69 jump matrix 87 jump times 69 last exit time 20 longrun proportion of time 53.Index detailed balance 48. exponential distribution of parameter :A 70 eQ .
order notation 63 Ohm's law 151 open migration process 185 optional stopping theorem 130 IP.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 Qmatrix 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 nonnegative solution 13 minimal process 69 monotone convergence 223 discrete case 219 Moran model 177 mutation 6. 125 rightcontinuous 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 statespace 1 . 176 nonminimal chains 103 null recurrence 37. nstep transition probability 5 II. jump matrix 87 1rsystem 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. probability 222 P. 195 resolvent 146 resource management 192 restocking a warehouse 192 return probability 25 reversibility 48. 118 Q. 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. transition matrix of reversed chain 47 P(t). 167 recurrence relations 57 reflected random walks 195 reservoir model 194. transition semigroup 96 P(t). generator matrix of reversed chain 124 qi. rate of leaving i 61 qij. transition matrix 2 [>. 114. rate of going from i to j 61 queue 179 MIGll 187 M/G/oo 191 MIMll 180 M/M/s 182 queueing network 183185 queues in series 183 o(t).
211. explosion time 69 . 117 stationary increments 76 stationary. 167 transition matrix 2 irreducible 11 237 maximum likelihood estimate 56 transition semigroup 165 truncated Poisson distribution 183 unit mass 3 Vi(n).Index stationary distribution 33. 123 transience 24. 227 successrun chain 38 susceptible 173 telephone exchange 183 texture parameter 216 time reversal 47. 93.policy 198 statistics 55. number of visits to i before n 53 valency 50 value function 198 weak convergence 164 Wiener process 159 Wiener's theorem 161 WrightFisher model 175 (. 215 stochastic matrix 2 stopping time 19 strong law of large numbers 52 strong Markov property 19. 114.
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