Aldous 1999 - Deterministic and Stochastic Models For Coalescence (Aggregation and Coagulation) A Review of The Mean-Field Theory For Probabilists

Deterministic and Stochastic Models for Coalescence (Aggregation and Coagulation): A
Review of the Mean-Field Theory for Probabilists

Author(s): David J. Aldous
Source: Bernoulli , Feb., 1999, Vol. 5, No. 1 (Feb., 1999), pp. 3-48
Published by: International Statistical Institute (ISI) and the Bernoulli Society for
Mathematical Statistics and Probability
Stable URL: https://www.jstor.org/stable/3318611
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Bernoulli 5(1), 1999, 3-48
Deterministic and stochastic models for

coalescence (aggregation and coagulation):
a review of the mean-field theory for
probabilists
DAVID J. ALDOUS
Department of Statistics, University of California, Berkeley, CA 9

aldous@stat.berkeley.edu internet: http://www.stat.berkeley.edu/us
Consider N particles, which merge into clusters according to the follo

and a cluster of size y merge at (stochastic) rate K(x, y)/N, were K
Marcus-Lushnikov model of stochastic coalescence and the underlying
given by the Smoluchowski coagulation equations have an extensi
mathematical literature (Kingman's coalescent in population genetic
graphs) implicitly studies the special cases K(x, y) = 1 and K(x, y) = xy
survey. General kernels are only now starting to be studied rigorou
problems appear.
Keywords: branching process; coalescence; continuum tree; density-de

gelation; random graph; random tree; Smoluchowski coagulation equat
1. Introduction
Models, implicitly or explicitly stochastic, of coalescence (i.e. coagulation, gelati

aggregation, agglomeration, accretion, etc.) have been studied in many scientific discipl
but have only tangentially appeared in the "applied probability" literature. T
paradoxical, in that the "dual" process of splitting or fragmentation is, in an anal
mean-field model, very close to the classical topic of branching process in ap
probability. The purpose of this survey is to bring the existence of this large body of scie
literature to the attention of theoretical and applied probabilists. We shall provide pointe
the science literature, outline some of the mathematical results developed therein, com
on the duality between coalescence and branching processes and pose some mathem
problems. That an opportunity arises to outline recent work of the author and colleagu
of course, purely coincidental.
1350-7265 ? 1999 ISI/BS

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
4 DJ Aldous
1.1. Verba
Clusters wit
say) are suf
mass x + y. A
diffusive rat
Such models
following. W
particles of
spatially stat
time t, the
volume in t
clusters of m
kernel K(x, y
cluster of m
cluster of m
the constant
(x, y) -+ x +
average num
=in(x, t)n(y, t)K(x, y). (1)

The idea is that the details of the local motion and local coalescence rule, which aris
the physics of what is being modelled, are subsumed into the rate function.
continuous setting there is an obvious analogue of (1): in(x, t)n(y, t)K(x, y) dx
average number of coalescences with masses in (x, x + dx) and (y, y + dy). On th
this, we can write down differential equations (2) and (3) for the densities n(x, t), a
is the starting point of Section 2. A physicist would call this the "infinite-volu
field theory".
Next we make some minor comments.
(i) K(x, y) is not a "pure rate" because it has dimensions volume/time inste
1/time.
(ii) We may assume K to be symmetric: K(x, y) = K(y, x).
(iii) By scaling time, we can eliminate a multiplicative constant from the kernel; so we
talk about, for example, K(x, y) = xy instead of K(x, y) = cxy for constant c.
(iv) Throughout the paper, time t is always a continuous variable; discrete and
continuous refer to cluster masses.
Table 1 gives examples of kernels used in the physical chemistry literature. The table is
taken from Smit et al. (1994), who cite references to each case. Most of these examp
and others, have been explained by Drake (1972, Section 4.3). Note that we parametrize the
"size" of clusters by mass x rather than length 1; these kernels are often written in terms o
I oc x1/3 instead of x.

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Stochastic coalescence 5
Table 1. Some specific ke
K(x, y) Comment
(xl/3 + y1/3)(X-1/3 + y-1/3) Brownian mo

(xl/3 + y1/3)2(X-1 + y-1)1/2 Brownian mo
(x1/3 ? y1/3)3 Shear (linear vel
(x1/3 ? yl/3)7/3 Shear (nonlinear
(x1/3 + y1/3)2X1/3 - y1/31 Gravitational
(xl/3 + y1/3)2X2/3 _ y2/31 Inertia and gr
(x - y)2(x + y)-l Analytic approxima
(x + c)(y + c) Condensation and/or branched-chain polymerization
(xl/3 + y113)(xy)1/2(X + y)-3/2 Based on kinetic theory
1.2. Why should probabilists care?
Section 2 reviews the deterministic Smoluchowski coagulation equations which forma

this is the aspect of coalescence which has been most intensely studied in the sc
literature. This aspect is not "probabilistic", but the remainder of the survey is. Sect
gives "probabilistic" interpretations of some deterministic results about the Smoluch
coagulation equations, using duality with branching-type processes. However, our ma
(Sections 4 and 5) is on the "finite-volume mean-field theory" of the Marcus-Lu
process. This is a N-particle stochastic model, and we seek to understand its la
behaviour. In Section 4 we emphasize the three simplest specific kernels K (constant,
and multiplicative), for which a rich and fairly explicit theory exists, with connecti
other parts of mathematical probability (Kingman's coalescent, discrete and con
random trees; random graphs). Section 5 discusses general kernels, where open p
outnumber rigorous results.
1.3. Digression: theorem-proof and scientific modelling mathemat
To ask "what is known" in this subject leads inexorably to philosophical issues con
pure and applied mathematics. A typical paper (Friedlander and Wang 1966; Ern
Wetherill 1990) we cite from the scientific literature would be described by a la
"mathematics" rather than "science"; it is devoted to analysis of a mathematical mod
than to a description of experimental or observational results, although some referenc
latter is made in motivation and conclusion. I call this scientific modelling (SM) math
as opposed to theorem-proof (TP) mathematics, which is the style of all "pure" and m
what is called "applied" mathematics. In SM mathematics, models may be incomp
inconsistently specified; the focus is on obtaining conclusions about the model,
appeals to physical realism, unquantified approximations, and arguments by analogy.
mathematics, one is supposed to have explicit assumptions and conclusions, as w
rigorous argument linking them. A lively recent debate on these matters can be found

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
6 D.J Aldous
discussion of Jaffe
not been studied sy
of matters which m
1.4. Fields of a
Where possible I cit

paper in a field.
By far the largest
(i) Aerosols (Drake

(such as smoke, smo
(ii) Phase separati
(iii) Polymerizatio
The kernels shown
(iv) Astronomy: th
1978); the formatio
and Bastien 1995);
(v) Biological enti
(vi) Bubble swarm
In all these setting

studied as SM math
of TP mathematicia
(vii) Mathematical
Here the entities a

sample of genes in
4.2). An area of TP
(viii) Random grap

implicitly been stu
In addition to the
literature (see, for
devoted to mathem
discuss here. When
referring to that
(1981) as a standar
1.5. One specif

In some of the appl
regarded as old fa

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
However, to show that th

work of White and Wilt
(e.g. olive oil and alcohol)
detail does separation occ
point? At some point, mi
that these droplets tend t
that two droplets which
process of pure droplet
critical temperature this
critical temperature the
forms. An alternative the
slowly and that the domi
meet, and repeated coa
"Brownian motion-cont
experimental results show
the diffusion and coalescence model.
2. Deterministic models
2.1. The Smoluchowski coagulation equations
Equation (1) and its continuous analogue can be rewritten without words as the diffe
equations
d x-1 00oo
dt
n(x, t) K(y, x -
y= 1 y= 1
(2)
dt n(x, t) = K(y, x - y)n(y, t)n(x - y, t) dy - n(x, t) K(x, y)n(y, t) dy (continuous x).
(3)
We shall refer to (2) and (3) jointly as the Smoluchowski coagulation equations. (Note that
the phrase "Smoluchowski equation" is used in a different context, diffusion under a
potential.) These equations have been studied in great detail in the SM community, and we
outline some of their results. Note that from the verbal description of the model we expect
solutions to have the property that mass density is preserved:
ml(t) Zxn(x, t) or xn(x, t)dx is constant in t. (4)

x--1
We shall also use the cluster density mo(t) and the second moment m2(t) defined in the
continuous case as

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
8 DJ Aldous
mo(t) =
m2(t) -= x2n(x, t) dx.

Clearly mo(t) is decreasing and m2(t) is increasing.
The standard reference is the 1972 de facto monograph by Drake (1972). This cites 250
papers from the SM literature and provides a very clear exposition of both the science
background and the (fairly unsophisticated) mathematics being used at that time. I have not
found any similarly wide-ranging survey of subsequent research. The 1994 monograph by
Dubovskii (1994) focuses narrowly on mathematical issues of existence and uniqueness of
solutions. Snapshots of recent research results and interests are provided by the introductions
to the papers by Smit et al. (1994), Trizac and Hansen (1996) and Sheth and Pitman (1997).
We now give a quick overview of three aspects of the Smoluchowski coagulation
equations: exact solutions, gelation and self-similar solutions.
2.2. Exact solutions
It has long been recognized that three particular kernels K(x, y) are mathematically t
1, x + y and xy. Table 2 gives, for each of these three kernels, a special solution to
(3). In the discrete case this is the ("obviously unique") solution with the mono
initial configuration n(x, 0) = 61(x); in the continuous case it is a solution arisi
infinitesimally small initial clusters (where uniqueness is hardly obvious). Some invo
Borel distribution (Consul 1989, Section 2.7), which for our purposes is best regarde
total population size ZA in a Galton-Watson branching process with one progen
Poisson (A) offspring distribution. Explicitly,
(AX)x-1 e-x
B(A, x) - P(ZA = x) x = 1, 2, 3,..., O < 1 < 1. (5)
Table 2. Formulae for n(x, t)
n(x, t)
K(x, y) = 1 K(x, y) = x + y K(x, y) = xy
Discrete 1 + ( t e-tB(1 - e-t, x) x-' B(t, x)

0 - t< 0 0 t<o00 0 - t
(Smoluchowski 1916) (Golovin 1963) (McLeod (1962)
Continuous 4t-2 e-2x/t (27)-1/2 e-t X-3/2 e-e-2'x/2 (23n)-1/2X-5/2 e-

0< t<oo -oo< t<oo -oo< t<0
(Schumann 1940)

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We included the conve

rediscovered many time
the corresponding discr
solutions are more impl
has ml(t)= 1 but infinit
and ml(t) infinite and
interpretation.
There has also been
K(x, y) = A + B(x + y)
available (Trubnikov 1
2.3. Gelation
Consider the second moment of cluster mass m2(t) = o7 x2 n(x, t) dx. Because a co
{x, y} - x + y increases the sum of squares of masses by 2xy, the continuous Smo
coagulation equation implies that
Sm2(t = xyK(x, y)n(x, t)n(y, t) dx dy

and analogously in the discrete case. Now consider the assumption
K(x, y) t ko(1 + x + y). (7)

Inserting into (6),
dt m2(t) < ko{2m2(t)mi(t) + m2(t)}.
For an initial configuration with mo(O) and m2(

decreasing and ml(t) is constant)
dt m2(t) < ko{2m2(t)m(O) + m2(0)},

implying that m2(t)< 00 for all t < 00.
It is not difficult to make this type of argume
Heilmann (1992) for the discrete case, and Dubov
continuous case (in the more general setting of
extensive references to the literature. The exact resul
case but can be summarized informally as follows
Principle 1. For a kernel K satisfying (7) and extra

case, and an initial configuration n(x, 0) such that
m1(t) = 1, mo(t) < c, m2(t) < oo, (8)

holds for t = 0, the Smoluchowski coagulation equation has a u
solution satisfies (8) for all 0 < t < o.

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10 D.J Aldous
In contrast, conside
d
mz2(t) = (m2(t))2 (9)
in both discrete and continuous cases. Thu
we have
m2(t) = (1 - t)-', O < t < 1,

while in the continuous case we have
m20(It)
(m2- (0)
t , m2(0)
O t < I
Note that the continuous case special solution in Table 2 has m2(t) = 1l/
consistent with (9).
As discussed by numerous workers, this kernel xy is the prototype exam
process exhibits a phase transition, typically called gelation in the context
models. As the reader may know from a casual acquaintance with percolation t
is a tendency in the scientific literature to define such concepts via moment b
one could say gelation occurs, or K is a gelling kernel, if the discrete m
monodisperse initial condition has no solution with
m2(t) < oo, O < t < 00. (10)

Then one can define a critical time tc as the largest time s
and seek, for example, firstly proofs that, for discret
configuration has a solution satisfying (10) and secondly
terms of the initial configuration.
Mathematically, it is more natural to define critical times
of the Smoluchowski coagulation equations which have t
Tgel is the largest time such that the discrete model with
has a solution with mi (t) = 1 for all t < Tgel. The SM litera
two definitions are equivalent. The physical interpretation o
time, a strictly positive proportion of mass lies in infinite
model post-gelation behaviour by explicitly modelling (Ziff
gel and the sol (finite-mass clusters), but in this survey w
behaviour, except for brief comments on the K(x, y) = xy
For probabilists, the interpretation of gelation in terms
question, to be discussed in Section 5.2.
In discussing general kernels, we shall often assume th
with some exponent y:
K(cx, cy) = cyK(x, y), O < c, x, y < oc. (11)

In fact, one could use a weaker notion of asymptotic homogeneity:
lim c-7~K(cx, cy) =K(x, y), O < x, y < oo. (12)

?---}OC

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Note that all except one of

1, A. Principle 1 says that
widely accepted in the SM l
kernel is gelling. The first
1997), who showed that Tge
3y > 1, 0 < cl, c2 < 00
Moreover it is believed th
Precisely, an argument giv
Costa (1992) in the discrete
3y > 2a > 2 such that
2.4. Self-similarity
Consider the continuous set

some exponent y. It is natu
similar (also called self-pres
n(x, t)(s(t))
= s-2(t) ,()) (13)
where p(x) > 0 satisfies
JxP(x) dx= 1. (14)

Here the 1 is a normalization convention. As in
be constant in time, which explains the s-2 ter
is that clump mass scales with time as s(t).
Following van Dongen and Ernst (1988), he
substituting into (3), routine manipulations sh
K(y, x - y)'(y)4(x - y) dy - y(x) K(x
for some constant w 0, and we may take s(
s'(t) = wsY(t). (16)

In fact the integrals may diverge at zero,
integrated version (the r = 2 case of (20) lat
s(t) cc tl/(1-Y), -oo < y < 1,

(17)
s(t) oc ewt, = 1.
The SM literature tends to take for granted the existence and uniqueness (up to scaling) of
solutions of (15) and proceeds to speculations (see Section A.1) on the asymptotic (x - 0,

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
12 D.J Aldous
x 0 oc) form of V(x). Ap
the exact solutions. The
and (17), with p(x) = e-
also of the form (13)
connection, it has long b
similar solution satisf
Knight (1971) respective
If a unique self-simila
similarity from rather
K(x, y) = 1.
It has long been noted b
1 (e.g. K(x, y) = (x1/3 +
self-similar solutions wh
(1994) and Koutzenogii
literature that this is
large) predominate. I h
assertion; see Section A.4
For the record, let us s
sections.
Open Problem 1. Consider a homogeneous kernel K with exponent y < 1. Give rigorous
proofs, under explicitly stated extra hypotheses, that the following hold.
(a) There exists a unique Ip satisfying (14) such that (13), (17) is a solution of the
continuous Smoluchowski coagulation equation.
(b) For y < 1 we have o" p(x) dx < o00.
(c) The solution n(x, t) of the discrete Smoluchowski coagulation equation with
monodisperse initial configuration is asymptotically self-similar, in the sense that
sup s2(t)n(x, t - to) - ? 0 as t - oo, for some to. (18)
(d) (18) remains true for initial configurations n(x, 0) satisfying specified "not too
spread-out" conditions, in continuous and discrete space, assuming aperiodicity of n(x, 0)
in the discrete case.
In (18) we have asked for local (as in the local central limit theorem (CLT)) convergence
of densities, but proving the weaker notion of convergence of distributions would be just as
welcome.
For gelling kernels, we can seek self-similarity as t T Tgel. The continuous solution in
Table 2 for K(x, y) = xy can be written as the special case
-(X) = (2t)-1/2X-52 e-x/2, s(t) = Itj-2, t ,

of the general form

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n(x, t) = s-(t) , -oo < t<0. (19)
In this case f xip(x) dx = oo00, i.e. the mass density is inf

gelling case) use conservation of mass density to s
Smoluchowski coagulation equation shows that (19) is a
the analogue of (15) with r in place of 2 but, to avoid div
(15) by its integrated version
w {rx((x) + x2ip'(x)} dx = -J dxJ dy xK(x, y)p(x)ip(y). (20)

van Dongen and Ernst (1988) give a non-rigorous analysis of the gelling case, and we
incorporate their conclusions into the following open problem.
Open Problem 2. Consider a homogeneous kernel K with exponent 1 < y < 2, and suppose
that 0 < Tgel < 00. Give rigorous proofs, under explicitly stated extra hypotheses, that the
following hold.
(a) There is a unique (up to scaling) solution Ip of (20), and for this solution
r = (3 + y)/2. Moreover fo" xi(x) dx = O while fo x2ip(x) dx < oo.
(b) The solution n(x, t) of the discrete Smoluchowski coagulation equation with
monodisperse initial configuration is asymptotically self-similar as t T Tgel, in the sense
that for some a
n(x, t) ' a(Tgel - t)(3+y)/(1-y)(X( Tgel - t)2/(y-1)) as t T Tgel, (21)

uniformly on {x(Tgel - t)2/(y-1) > X0}.
(c) (21) remains true for initial configurations n(x, 0) satisfying specified "not too
spread-out" conditions, in continuous and discrete space, assuming aperiodicity of n(x, 0)
in the discrete case, and where Tgel now depends on the initial configuration.
To connect (b) with (a), the conclusion of (a) implies (by setting up and solving the
equation analogous to (16)) that
n(x, t)= Itl(3+y)/(1-y)V(x tj2/(y-1)) (22)

is a self-similar solution of the Smoluchowski coagulation equation.
2.5. Other aspects of the Smoluchowski coagulation equations
(a) For the record, we mention some other aspects of the Smoluchowski coagulation
equations which we shall not pursue in this review.
(i) General polydisperse initial conditions. The solutions presented in Table 2 are the
special solutions. Much of the literature studies solutions of the Smoluchowski coagulation
equations from general ("polydisperse") initial configurations. Some explicit solutions for
the three special kernels in Table 2 and the general bilinear kernel K(x, y)=

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
14 D.J Aldous
A + B(x + y) +
(1968), Drake
Shirvani and R
tractable initia
n(x, 0) = x-P, x
given by Drak
(ii) Time to ap
(iii) Numerica
al. (1996) for M
(iv) The inver
observational d
(b) This paper

literature consi
(i) Fragmentat
(ii) Removal of
Ziff 1985).
(iii) Continuous addition of new particles (Smit et al. 1994).
In fact, much of the literature we cite relating to existence of solutions of the

Smoluchowski coagulation equations deals with such more general settings. Whittle (1986)
provides a mathematical introduction to reversible mean-field models of coalescing and
fragmentation, and Ernst (1983) relates this topic to broader topics in statistical physics.
(c) There has been much study, mostly using Monte Carlo simulation, of fractal structure
of cluster-cluster aggregation models, in the spirit of the well known DLA model of cluster
growth by adding single particles. See Vicsek (1992, Chapter 8) for a survey. In the setting
of the Smoluchowski coagulation equations this possibility has classically been ignored (in
specifying rate kernels, it is often assumed that clusters are spherical), but an assumed
fractal exponent could be built into the kernel.
2.6. Hydrodynamic limits and reaction-diffusion processes
From the viewpoint of TP mathematics, the verbal description of the Smoluchowski

coagulation equations in Section 1.1 is just motivation; we can use the Smoluchowski
coagulation equations as starting point for mathematical analysis, but we have not attempted
to say that they arise as part of a more detailed rigorous stochastic model. To establish these
rigorously as a limit of the type of model in Section 1.1 is a topic called hydrodynamics or
propagation of chaos. Lang and Nguyen (1980) study a model of discrete particles
performing Brownian motion in three dimensions, coalescing when they approach within a
fixed distance, the diffusion rate of clusters being unaffected by cluster size. In an appropriate
limit they justify that the cluster-size distribution does converge to the solution of the
Smoluchowski coagulation equation with K(x, y)= 1. Undoubtedly more general results of
this type can be proved, although there is a conceptual problem. Derivation of specific rate

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
kernels K often presuppo

mathematical may limits
Conversely, there is SM
models in the spirit of
provide satisfactory solut
A more substantial body
for reaction-diffusion p
produce new particles, b
finite number of types (
our size asymptotics in ir
3. Stochastic stru
coagulation equa
One answer to the questio
coagulation equations and
in Section 2.6. However, w
model involving coalescen
equations appear as ergodi
are special constructions,
"physical space" of Sect
"artificial" spatial structu
deterministic Smolucho
equations, which can be
processes. This idea of co
constructions of Secti
constructions for general
3.1. Special construc
Construction 1. K(x, y)
Take the line L = (-oo,

marks on L, with rate r
I I I I I I I I II t= 2
- 1 unit
I I I I I t=4
Figure 1. Construction

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
16 D.J Aldous
as t varies in
with probabili
At time t th
"mass" for "l
per cluster is
n(x, t) = r2(t)exp(-xr(t)}. (23)

As t increases, a mark disappears at rate -r'(t)/r(t); so a tagged cluster of
merge with a neighbouring cluster of some mass y with rate
-r'(t) -r'(t) n(y, t)

r(t) r(t) r(t)
Here the 2 comes from the two end-points, an

segments have independent lengths, as a prop
r(t) = 2t-' to
continuous solve r'(t) =coagulation
Smoluchowski --r2(t) makes thiswith
equation rate K(x,
equal
y) n(y, t). So
= 1, and the
(23) n(x,density
is the t) satisfy
in the
Table 2.
Remarks. Here L = (-oo, oc) is our "artificial space". Construction 1 describes a stochastic
model with extra structure (an ordering of intervals) and incorporating this extra structure
gives a coalescing model rather different from the Smoluchowski coagulation equation, but
the point is that the "ergodic densities" n(x, t) in the model do indeed satisfy the
Smoluchowski coagulation equation, even if this is not a priori obvious.
Construction 2. K(x, y) = 1; discrete (Figure 2).
This is the discrete analogue of the previous construction. Put unit mass at each integer
-oo < i < oo. Let an edge from i to i + 1 appear at a random time T with P(T> t)=
2/(t + 2) = G(t), say, independently for different edges.
o o o o o o o o o o o t=O
-o o o o o o - o- o - o t= 2
o-o-o o o o -O-O-o o -o - t= 4
o o o0-0 o0o O- -0 o0 tO- f= 00
Figure 2. Construction for K(x,

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At time t a connected cluster has mass x with probability pt(x) =

(1 + t/2)- { t/(t + 2)}x-1 and hence the density of mass-x clusters per unit length
n(x,t) 1+ x 1, 2, 3,.... (24)
Arguing as above, a tagged cluster of mass x

mass y with rate
-(d/dt)P(T > t)
2 pt(y) = n(y, t).
P(T > t)
So the n(x, t) satisfy the discrete Smoluchowski coagula

(24) is the density in Table 2.
The general solution for K(x, y) = 1 is obtained as foll
to show that for any initial configuration (discrete o
mo(O) = 1 we have asymptotic self-similarity in the fo
at
t n(x, t)dx- 1 - e-a/m, (0)as t-* oo, O<a <oc. (25)
Start at time t = 0 with a stationary renewal process of marks on L = (-oo, oc), with inter-
renewal density n(x, 0). Let the marks disappear at independent times T with
P(T > t) = 2/(t + 2) = G(t). At time t the marks form a renewal process with some inte
renewal distance Lt. Writing the density of Lt as n(x, t)/G(t), the analysis above shows tha
n(x, t) satisfies the Smoluchowski coagulation equation. Classical (and easy) results o
thinning of renewal processes (see, for example, Daley and Vere-Jones (1988, Prop. 9.3.
imply that G(t)Lt converges in distribution to the exponential{ 1/mi(0)} distributio
establishing (25).
Without this easy probability argument, rather tedious analysis (Kreer and Penrose 1994
seems needed to prove (25).
Remark. The key feature of these two constructions is that there is an "invariance" proper
(stationarity under shifts of the line) which enables us to define the deterministic quantit
n(x, t) as ergodic averages. The next constructions have more sophisticated invariance
properties, which we shall not attempt to say precisely, but which enable the n(x, t) to be
defined rigorously as ergodic averages.
Construction 3. K(x, y) = x + y; discrete (Figure 3).
Take unit mass at positions 0, 1, 2, ... and connect with edges (i, i + 1). Make each o
these atoms the progenitor of a Galton-Watson branching process with Poisson(1) offspring
distribution, and draw the individuals as unit masses and the parent-child relationships as
edges. This construction gives a random infinite tree, with root * at position 0, illustrated in
the bottom part of Figure 3. Grimmett (1980) first described this tree and showed that it
arises as a n - oo limit of uniform random n-vertex trees. The finite-n property that "the

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
18 D.J Aldous
0
O
000
00 0 00
t=2
0 000 000 0
?-0-0 0-0-0-0-0-0-0-0-0 0-0
0
000
0 0 0 00
t= \/\/ I
0 0 00 000 00
I \/ I \ / I \/T0I
?-0-0-0-0-0-0-0-0-0-0-0-0-0
Figure 3. Construction for K(x, y) = x + y; discrete.
tree has the same distribution relative to each verte

Aldous (1991a) for one statement of this invarian
appearing at a random time T with exponential(l) di
edges. At times 0 < t < oo we see a configuration
vertex nearest the path to infinity. By invariance, th
the distribution of the cluster rooted at *, given th
just the size of total population in a Galton-Watson branching process with
Poisson(1 -e-t) offspring distribution. This total population has mean et, and so the
density of clusters of size x is
n(x, t) = e-tB(1 - e-t, x), x = 1, 2, 3,.... (26)
A computation (Aldous 1997b, Lemma 3.2(b)) shows that the way

example follows the Smoluchowski coagulation equation with K(x,
elaborates this construction.
Construction 4. K(x, y) = x + y; continuous.
It is natural to regard Construction 1 as the continuous limit of Construction 2. It is true,

but less obvious, that we can take an analogous continuous limit in Construction 3. Recall
the t = oo random graph in Construction 3. We viewed each vertex as having mass 1, and
each edge as having length 1. It turns out that the number of vertices within distance d of a

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
Root
Figure 4. The SSCRT.
specified vertex grows as

1/n and each edge to have
a specified point is boun
limit is called the self-si
rigorously in Aldous (199
(statistical) self-similarity
Figure 4 are part of the
For our purposes here, t
Construction 1. Take the
process of marks on the sk
as t varies. Cutting the SSC
n(x, t) for the density o
Construction 3 with t' de
n(x, t) = (2a)-1/2 e-t
the formula that we recorded in Table 2.
Construction 5. K(x, y) = xy; discrete (Figure 5).
This construction, was used for different purposes by Aldous (1992).

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
20 D.J Aldous
M31.\6 3.6F23
m 2.5 M 1.7
22 1.4 1.3 5.3 1.7 1.8

M21____0.?6 /.8 0
2.9 W2.4 EI
0.
.1 0.3
Fil
Figure
Start
points of awith a distinguished
Poisson edge on
(rate 1) point process between vertices
R+, create 0 and1,p.2,Let
new vertices 0 <create
... and rl <
r4 < ... be the
edges (0, i) with edge-weights 4r. Recursively, for each created vertex v let
0 < r' < ,r < ... be the points of a Poisson (rate 1) point process on R+, create new
vertices vl, v2, ... and create edges (v, vi) with edge weights rv. (Figure 5 shows only the
first three children and early generations.) Repeat for descendants of . Finally, give the
distinguished edge a weight chosen from the uniform (Lebesgue) measure on (0, oc). This
construction yields a a-finite measure on the space of all edge weights. As explained
rigorously by Aldous (1992), we can view this random object as a n -+ oc limit of a
process of i.i.d. random edge weights on the complete bipartite graph on 2n vertices, and
the finite-n invariance property extends to an invariance property for the limit object; "the
tree has the same distribution relative to each vertex".
At each time t> 0 we may consider the subgraph consisting of only those edges wi
weight of t or less, and let the clusters at time t be the connected components of th
subgraph. Figure 6 illustrates t = 0.75.
The cluster containing a specified vertex at time t < 1 is a Galton-Watson branchin
process with Poisson(t) offspring and so has size distribution B(t, x) given by (5). This
the size biasing of the cluster-size density n(x, t), and so
n(x, t) = x-1B(t, x).

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
F23
F7221 M222
121
31 13
__ 71
F1111
F 1] F 111
Figure 6. Constructio
For a cluster of size

the rate of merging
xB(t, y) = xy
So the n(x, t) satisf
Remark. In contrast
limits to obtain a c
ideas are needed (s
Remark. There is a
models in the theor
the Smoluchowski c
clear discussion has
same spirit as the
notion of "ensemble
finite invariant mea
evolve as the Smolu
3.2. Dual splitti
In the spirit of the

down deterministic

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
22 D.J Aldous
discrete case is ana
cluster of mass I spl
ordering of {x, I -
average number of c
pure fragmentation
d I 1
n(l;
dt ' t)
oo-n(l; t) St(l
where we have more
Consider now the du
n(x, t)n(y, t)Kt(x, y) = 2n(x + y, t)St(x + y; x). (28)

The duality relationship is as follows. If n(x, t) is a solution of the Smolu
coagulation equation with time-dependent kernel Kt, then (reversing the direction o
n(x, t) is a solution of (27) for St defined at (28), and conversely. As we shall see
typically changes a time-independent kernel to a time-dependent kernel. Table 3 giv
dual splitting kernels for the special solutions in Table 2. In these examples, the dual s
kernel has the form St(l; x)= a(t)S(l; x) and so the time dependence can be remo
deterministic time change.
Write b(i) = ii-2/i!.
Given a splitting kernel S, there is a natural stochastic model of fragmentat
Markovian branching-type process where different clusters fragment independently a
to the rate kernel S. There is a simple connection between the stochastic process
deterministic equations (27); the mean frequency of cluster-masses in the stochastic
evolves exactly as (27). (We mention this because the analogous assertion f
coalescence is false; cf. Section 4.1.) The issue of self-similar solutions (clearly analog
stable-type structure (Nerman and Jagers 1984) for supercritical branching processe
pure fragmentation was studied by Brennan and Durrett (1987). We summarize their
in Section A.3. An initially promising idea is to use branching process theory with t
special splitting kernels to obtain, via the duality relation (28), explicit solution
Smoluchowski coagulation equation for further kernels K, but unfortunately (see (A
leads to time-dependent kernels. Section A.4 explores this idea further.
Table 3. The dual splitting kernel St(l; x)
S,(l; x)
K(x, y) = 1 K(x, y) = x + y K(x, y) = xy
2 e-t x(l - x)b(x)b(l - x) 1 x(l -x)b(x)b(l - x)

Discrete
t(t + 2) 2(1 -e-t) b(l) 2t b(l)
0 < t<0 0 t < t< 0 < t 11
Continuous 2t-2 (8;)-1/2 -t 15/2x-3/2(l -
0 < t < oo -oo < t < oo -oo< t < O

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
3.3. General constructions
In this section we outline one approach to the problem of defining abstract probabi
structures which encode the solutions of the Smoluchowski coagulation equation for a g
kernel K. This approach is closely analogous to the theory (Aldous 1991a) of asymp
fringe distributions. We consider the discrete case, and abstract the idea of Construction
Figure 7 illustrates the construction, where we imagine the initial t = 0 configuration h
a single mass-i particle at each integer position -oo < x < 00. At a typical time t w
clusters, each cluster being an interval of particles (pictured as the particles bet
successive vertical lines). Mathematically, such a process is succinctly represented
sequence (?i; -oo < i < o0), where ij > 0 indicates the time at which the cluster ending wi
particle i coalesces with the cluster beginning with particle i + 1.
Time
t=0-5
0 -4
I 0
-3o 0 -1
-2 0 0
0 102 0
3 0 o 607o8 0
4 5 9
Figure 7. A general construction.
It can be shown that such a co

property.
(*) At each time t the left end-points of clusters form a stationary ergodic process with
cluster-size distribution ml(t)n(x, t).
In other words, the chance that particle 0 is the first particle in a size-x cluster is n(x, t).
To outline the construction, fix to and create at time to a stationary renewal process with
inter-renewal distribution ml(to)n(x, to). Then run time backwards from to to 0, and split
each cluster according to the dual splitting kernel (28), independently for each cluster. This
defines a process with property (*) on 0 < t < to, representable as (?(to)), where t'O)= 0
if i is the final particle in a time-to cluster, and otherwise is the time at which particles i
and i + 1 are split into distinct clusters. We now let to --- o and define (?i) as a
subsequential weak limit of the ( tO)). It is not hard to check that property (*) remains true
in the limit.
One might hope that we could arrange that the left end-points of the clusters formed a
renewal process at each time t, but the following argument shows that this is impossible in
general. Consider the kernel with K(1, 2)> 0 and K(x, y) = 0 otherwise. Take an initial
configuration with clusters of masses 1 and 2. Suppose that this process was represented as

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
24 D.J Aldous
a renewal proc
masses 1, 2 an
not be a renew
We pictured th
trees by speci
vertex from ea
vertex 0 in Fig
merger might
Figure 8. The ge
We may defin
vertex 0 at tim
coalescences co
detailed stud
(1997b).
The construction extends without essential change to the continuous setting. Here the
property (*) becomes as follows.
(*) At each time t there is a stationary ergodic point process on the line, in which the
inter-point distances have density ml(t)n(x, t).
The tree process Y(t) becomes a process of "continuum trees" in the spirit of
Construction 4.
4. Stochastic models: the finite-volume setting

4.1. The stochastic coalescent
The Smoluchowski coagulation equations provide an infinite-volume mean-field des

coalescence in terms of deterministic equations. The corresponding finite-volume m
description is intrinisically stochastic. In the discrete setting, fix N and consider a s

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
consisting of unordere
summing to N. So x repr
now define a continuous-t
each pair {xi, xj}, j : i coalesces into a cluster of mass xi + xj at rateK(xi,

N (29)
xj)
The elementary way to formalize this idea is by taking the state space as n=
(ni, n2, ..., fnN), where nx represents the number of mass-x clusters and Exnx = N. Then
the transitions are of the form
(nl, ..., nN) --+
(ni, ..., ni-1, n - 1, ni+l,..., nj-1, nj- 1, nj+1, ..., ni+j-1, ni+j+ 1, ni+j+1, ..)
with rate K(i, j)ninj/N. This model was perhaps first introduced by Marcus (1968) and re-
introduced by several workers (Gillespie 1972; Tanaka and Nakazawa 1993) and in particular
by Lushnikov (1978a) as a model of gelation. We call it the Marcus-Lushnikov process
ML(N)(t). The state of this process at time t may be written in two equivalent ways. We may
write ML(N)(x, t) for the (random) number of mass-x clusters. Alternatively, we may write
MLIN)(t) for the mass of the ith largest cluster. The Marcus-Lushnikov process is the natural
stochastic analogue of the discrete Smoluchowski coagulation equation, when we study only
finite-sized clusters (see Section 5.1).
For developing a mathematical theory, a slightly different formulation is more convenient.
For any model of coalescence with finite total mass, the total mass is conserved over time;
so we may rescale and assume the total mass equals 1. So consider the state space
consisting of finite or infinite configurations x = {xi} with x,1 X2 ... >0 and Eixi - 1.
Define the stochastic coalescent with kernel K to be the Markov process X(t)=
(Xi(t); i > 1) on this state space whose time dynamics are described informally by
each pair {xi, xj1}, j f: i coalesces into a cluster of mass xi + xj at rate K(xi, xj). (30)
This differs from (29) in that the coalescence rate is does not depend on N, but note that for a
homogeneous kernel, i.e.
K(cx, cy) = cyK(x, y), 0 < c, x, y < oo,
the Marcus-Lushnikov process and the stochastic coalescent are the same process up to
time-space rescaling:
Xi(t) -= N-'MLN)(tNI-y). (31)

Thus for a homogeneous kernel, whereas the Marcus-Lushnikov process i
different process with different state space for different N, (31) permits rephrasin
a single process with a single state space, the stochastic coalescent. In par
stochastic coalescent provides a natural setting for studying N -- oc asymptotic
Lushnikov-type processes. Our discussion deals with homogeneous kernels for si
one expects the same asymptotic behaviour to hold for asymptotically hom
kernels, using the limit K to specify the stochastic coalescent.

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
26 D.J Aldous
We defer to Section
coalescent. In the f
stochastic processes
kernels 1, x + y and
convention). These s
those of Section 3,
processes. The SM l
methods, briefly rev
4.2. Kingman's c
Since
We start by giving a construction. Take independent (k
exponential, rate ), RVs (2k, k 2).
E k- 1 2 =2
E k=kk=2 k= 2
we can define random times 0 < ... < T3 <T2 <Tl < oo by Tj = - E'j+I1k. Take
independent uniform on (0, 1). For each j, draw a vertical line from (U., ~j) down
(Figure 9). The vertical axis shows time. At time t the construction splits the un
(0, 1) into j subintervals, where j is defined by ij < t < rj_1, and where the end-p
subintervals are {0, 1, U1, ..., Uj1 }. Figure 9 illustrates t = 0.5, with five su
Writing X(t) for the lengths of these subintervals, the process X is a version of th
coalescent with K(x, y) = 1, and this version is called Kingman's coales
construction goes back to Kingman (1982). Kingman's coalescent has been used
T2
T3
t = 0.5 -
T15
rio
Figure 9. Kingman's coalescent.

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
in mathematical population
"lines of descent" (clusters
emphasis is rather differe
It is easy to show (see Se
the K(x, y) = 1 stochastic
X1 (t) = max Xi(t) -+ 0 a.s. as t t 0. (32)
In our terminology, (32) singles out X as the standard K(x, y) = 1 stochastic coal
connection with the K(x, y) = 1 Marcus-Lushnikov process is that, if the initial
satisfy
N-'ML(N)(O) 0 as N -+o, (33)

then
(N-'ML(N)(Nt), < t < 00) (X(t), O < t < oo) (34)

in the natural sense of weak convergence of l1-valued processes on the time interval (0, 00).
Note that
E =Z (k)} 2 = , Vi )2} 4
k=j+l ) k=j+l3j3
and that tj satisfies the assumptions of the (non-identically distributed) CLT for independen
sums. As in the CLT for renewal processes, it follows that N(t), the number of clusters at
time t, is asymptotically normal(2/t, 2/3t) as t 1 0. From this, and standard results about
i.i.d. uniform order statistics, it is routine to derive various t 1 0 asymptotics for Kingman'
coalescent. Writing C(x, t) for the number of clusters of mass x or less at time t,
sup C(xt t) (1 - e-2x -* 0 a.s. (35)

Ox<ooc t
The first-order N -, oo asymptotics of the

initial assumption (33) are now rather clear. Fo
Marcus-Lushnikov process at time Nt has a fin
approximately as NX(t), and (35) implies that,
consists of about 2/tN clusters with empirical
(mean, NtN/2). How fast can tN decrease, for
the following natural condition is sufficient: th
clusters is negligible, i.e.
N- ML(N)(x, 0) 0, each c
x>eNtN
It is interesting to observe that a Gaussian lim

of X(t) as t 1 0 follows from classical result

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
28 D. Aldous
as a limit of empirical
F:
N-1/2 l(nx) -
Now the N spacings o

distributed as (ril/S,.
1lyri. It follows that
A(x, N) = numbe
satisfies
N-1/2A , N
This is classical (see,

we find that
1/2 2-e-2x d +2 1/2 x)Z,

(2 C(xt, t) - t(1 - e-2x) B0(1 -
where Z is standard normal, independent of BO.
Variance calculations of this type for the constant-rate
made by van Dongen (1987a) and Donnelly and Simons (1
explicit connection with Kingman's coalescent.
There is a simple connection between Kingman's coales
exhibited the solution of the continuous Smoluchowski coag
via a process of coalescing intervals on the infinite line)
rescale the unit interval [0, 1] to the interval [-m/2, m
(mrj). Then the m -* oo limit is the process in Construc
of the exponential distribution in (35) fits in with its appe
of the continuous Smoluchowski coagulation equation.
conjecture for general non-gelling kernels.
4.3. The additive coalescent and the continuum random tree
Cayley's formula (see, for example, van Lint and Wilson (1992, Chapter 2)) says there
NN-2 trees on N labelled vertices. Pick such a tree T, at random. To the edges e of
attach independent exponential(l) RVs ,e. Write F(t) for the forest obtained from T,
retaining only the edges e with fe < t. Write Y(N)(t) for the vector of sizes of the tr
comprising F(t). It can be shown that (Y(N)(t); 0 t <o00) is the Marcus-Lushnik
process associated with the additive kernel K(x, y) = x + y, with monodisperse init
conditions. This construction was apparently first explicitly given by Pitman (1996), althoug
various formulae associated with it had previously been developed in the combinator

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
literature (Yao 1976; Pavl

examples of simple form
D(N)(t) - 1 bino
The cluster sizes (in ra
(ryi; 1 i d |= d~d i = N
Construction 3 was the d
the solution of the discr
this limit. We can make
take the construction ab
edge to have length 1/N
and has been described ri
the root is attached to an
similarly to Construction
on the skeleton, with rat
10 illustrates the CRT and
it into subtrees of finite
Then (as we expect by analogy with the discrete case above) the process
(X(t), -00 < t < 00) evolves as the stochastic coalescent for K(x, y) = x + y. This process,
the standard additive coalescent, has been studied in detail by Aldous and Pitman (1997a).
4.4. Random graphs and the multiplicative coalescent
In the random graph model 3(N, p), there are N vertices, and each of the (N possible
edges is present with probability p, independently for different edges. Study of this model
goes back to Erd6s and Renyi (1960; 1961), and the monograph by Bollobais (1985) surveys
results up to 1984. Sizes of the connected components have been a classical topic of study. A
moment's thought shows that for the kernel K(x, y) = xy the Marcus-Lushnikov process
ML(N)(t) with monodisperse initial configuration is exactly the process of component sizes in
e(N, 1 - e-t/N). Recall from Table 2 that n(x, t) = x- B(t, x) is the solution of the
Smoluchowski coagulation equation for K(x, y) = xy in the discrete setting. The fact that
expectations behave like the deterministic solution in the pre-gelation interval, i.e. that
N- EML(N)(x, t)(t) -+ n(x, t) as N -+ 0 for fixed x > 1, t < 1 (37)

is classical (Erd6s and R6nyi 1960) and easy (relative to a given vertex, the random graph
looks locally like a Galton-Watson branching process). Barbour (1982) proved the CLT; for
fixed x,
N-1/2{ML(N)(x, t)(t)- Nn(x, t)} normal[0, n(x, t){1 + (t- 1)x2n(x, t)}] (38)
and Pittel (1990) established joint convergence to the mean-zero Gaussian process with
covariances

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
30 D.i Aldous
-46----
I "r-
Figu
(t - 1)xyn(x, t)n(y, t), y = x. (39)

(Note that these results are stated in the literature for tree
0(1) vertices are outside tree components (Bollobais 1985,
and Ernst (1987a) had previously given (39) and its extens
context of the multiplicative Marcus-Lushnikov process.

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
It is interesting to probe
"critical time" correspond
detailed rigorous results
We give a probabilistic
mass of the largest clust
component of ,(N, 1 - e-t/N). It is classical (Erd6s and R6nyi 1960, Bollobas 1985) that
(O(logN) , t<1,
ML(N)(t) = O(N2/3) , t- 1,
8(N) , t>1.
The next step is the idea that the giant component emerges over t
1 + O(N-1/3). That is, for large s, at time t = 1 - sIN'/3 there are nu
whose sizes are small constants times N2/3, and no larger componen
t = 1 + sIN'/3 there is a unique component whose size is a large multiple
components whose sizes are small constants times N2/3. Bollobais (1985, C
some aspects of this idea, via s -+ 00 asymptotics. It was subsequentl
natural to study emergence of the giant component by studyi
(ZN(t): -o0 < t < oc), where ZN(t) is defined to be N-2/3 times the ve
sizes of '(N, N-' + tN-4/3). Aside from a negligible time change, ZN
stochastic coalescent, started at time -N-1/3 with N clusters of masses N
now let N -+ 00, and it turns out (Aldous 1997a) that
ZN - Z, (40)
where the limit process

coalescent. The novel featu
(1997a), the natural state s
remarked in Section 3.1,
solution in Table 2 for the
n(x, t) = (
So it is surprising that the
or at least of its distribut
reflecting Brownian motio
the vector of lengths of
simple corollary of this re
B(s) initially stays close to
that the "giant component
standard multiplicative coa
h(x, t) dx = E(number
Then, as t -+ -oo, the fun

defined by

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
32 D.J Aldous
? n(x,t) x =a,
xa(t)
then
? h(x, t)dx -+ a. (42)

In particular,
max Zi(t) -+ 0 a.s. as t -+ -oc. (43)
It is natural to guess that the standard multiplicative coalescent

"essentially unique" version of the multiplicative coalescent on -oo < t
the precise result has been proved by Aldous and Limic (1997).
The convergence (40) extends to polydisperse Marcus-Lushnikov
For r = 2, 3 write or(N) = i{ML'N)(o)}r, and write c(N) = .{o3(N
appropriate scaling is
ZN(t) = c1/2N(N)ML( N) t + 12(N) '

and Proposition 4 of Aldous (1997a) shows that the conclusion
ZN -+ Z
remains valid provided that
MLN)(0) = o{o/3 (N)}. (44)

Note that in the case where ML(N)(x, 0) Np(x) for some p(x) not dep
p(x) = x-P+o(1) as x -+ oc, the condition > 4 is enough to imply (44
Turning to the SM literature, the solution (41) of the Smoluchowski co
is usually called "unphysical" because the total mass density mi
description of the multiplicative coalescent illuminates what is going on
mass relative to the size of large clusters at the critical time, rather tha
The Smoluchowski coagulation equations with K(x, y) = xy have b
times in the SM literature. In particular, Ziff et al. (1983) and Ernst
that (41) arises as a "scaling limit" as t T 1 for the monodisperse ini
discuss the extent to which this remains true for more general initial c
discuss different models of post-gelation behaviour. McLeod (1964) s
initial configuration n(x, 0) = a e-ax the continuous Smoluchowski coagul
the explicit solution
a e-(t+a)x Ii(2xal/2X1/2)
n(x, t) = x2 t1/2
on 0 < t < a, where II is the modified Bessel function. In the stochastic s
and Ernst (1987a) gave a detailed study of the multiplicative Marcus

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
They derived the varianc

heuristic discussion of the
the Gaussian approximation
graph theory was made in
1991. Conversely, even pres
mention of the Smoluchow
Let us briefly discuss po
n(x, t) derived as the limit
are no longer solutions of
graph model the gel and th
in a Flory model of gelation
Stockmayer model in whic
solution has the surprising
n(x, t) = n(x, 1)t

which goes back to Stock
literature, but a probabilist
4.5. Combinatorial ap
A different approach to t
down and to exploit a com
P(ML(N)(x, t) = nx, x > 1).
process) this is easy becau
involve analysing time evol
p(n; t) - N! 1 (1q(k, 1 - e-t/N)e-tk(N-k)/N)nk

p(n; t) - N! nk! k! '
where q(k, p) is the chance that K(k, p) is connected, and q(k
elementary recurrence formula (Bollobais 1985, Exercise 7.1).
Similarly, there is a discrete reformulation of the construction
which enables one to write down a partition function (Bayewit
In the additive case, such results go back to Lushnikov (1978b
different extensions. Hendriks et al. (1985) gave an expression for
the kernel K(x, y) = A + B(x + y), and implicit in the work o
Hendriks et al. (1985) and Buffet and Pule (1990) for clearer ex
result.
Lemma 1. Consider the Marcus-Lushnikov process with K(x, y) = xf(y) + yf(x) for some f
with monodisperse initial configuration. Then
p(n; t) = N! (bk(tnk
k nk!

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
34 D.J Aldous
where (bk(t)) are the
d k-1
dt bk(t)
i=1
= if(k - i)bi(t)bk-i(t) - (N - k)f
with bk(O)= l(k=l)-
van Dongen (1987a) and van Dongen and Ernst (1987a) gave the most detailed SM
treatment of the special cases of the stochastic coalescent (see also Tanaka and Nagazawa
(1993; 1994).
5. Stochastic coalescence with general kernels

In Sections 4.2-4.4 we saw that the behaviour of the Marcus-Lushnikov process and the
stochastic coalescent for the three special kernels is mostly well understood. In contrast, very
little is rigorously known about general kernels. Our main purpose in this section is to pose
explicit open problems for general kernels.
5.1. The weak law of large numbers for the Marcus-Lushnikov process
In looking at the SM literature from a TP viewpoint, perhaps the most striking feature is the
lack of attention paid to the fundamental "weak law of large numbers" (WLLN) issue: does
the discrete Smoluchowski coagulation equation really represent a limit in the Marcus-
Lushnikov process? We state this in the simplest setting of monodisperse initial
configurations, although there are parallel problems in the polydisperse and the continuous-
space settings. To see why the problem arises at all, note that (in contrast with the setting of
pure fragmentation (Section 3.2)) the mean frequencies N-'EML(N)(x, t) in the Marcus-
Lushnikov process do not evolve exactly as the discrete Smoluchowski coagulation equation.
Open Problem 3. For a general kernel K, let n(x, t) be the solution of the discrete
Smoluchowski coagulation equation and let ML(N)(t) be the Marcus-Lushnikov process,
each with monodisperse initial conditions. Prove that, as N - o00 for fixed t,
N-'ML(N)(x, t) + n(x, t), x > 1, (45)

provided that either of the following hold.
(a) K(x, y)= o(xy).

(b) t< Tgel.
This problem is closely related to the question of uniqueness of the solution n(x, t),
which in Section 2 we implicitly assumed, but in fact the only general result (Heilmann
1992) proving uniqueness assumes that K(x, y) = O(x + y), which implies non-gelling. In
case (a), recent results of Jeon (1996; 1997) imply (45), assuming uniqueness. Norris (1997)

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
gives improved results on

(45) fails for t > Tgel = 1
Open Problem 3 is related
(Ethier and Kurtz 1986, Ch
of "molecules" which react
being constant in time. F
approximations (see Sect
essential, and hence in our
standard results can seld
truncation arguments to a
has the special property
other words, we can lump
results do imply Gaussian
van Dongen and Ernst (1
5.2. Gelling kernels
Perhaps the most interesti

terms of stochastic mod
dealing with post-gelation
Open Problem 4. In the set

e(t) > 0 such that
lim lim supP N-
In words, after gelation s

whose size is not 0(1).
Open problem 4 is one we
speculation concerning h
multiplicative coalescent
three known properties of
(a) At time t > Tgei the

(b) At time t> Tgel the
(c) The times TN (or T
(T - TN)/TN - 0.
Property (c) is too we
K(x, y) = x + y. I conject
gelling kernels with exp
gelation is as follows.
A unique "giant cluster"

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
36 D.J Aldous
More precisely, th
Open Problem 5. If
sup -+ 0,
t> TNML(N)()
N- ML N) (TN) P 0.
Lemma 1 suggests one approach to studying the issues in Open Problems 4 and 5 for
kernels of the special form K(x, y) = xf(y) + yf(x). An alternative special form of kernel
(noted by Ziff (1980)) is
2 f (x)f (y)
K(x, y) = 2f(x)f(y(46)
f (x + y) - f (x) - f (y)' (46)
where f(1) = 1 and f(x + y) > f(x) + f(y). Co
Smoluchowski coagulation equation for such a
and consider
s(t) = f(x)n(x, t).

x
It is easy to check (d/dt)s(t) = s2(t) and hence s(t) = (1 - t)-', O < t < 1. This suggests
(but does not quite prove) that Tgel = 1. It was shown by Aldous (1996) that for kernels of
this special form (46) one can use stochastic calculus to analyse the Marcus-Lushnikov
process and to prove the conclusion of Open Problem 5.
5.3. Dynamical scaling and entrance boundaries
We digress to mention an issue of mathematical formulation. When studying stochastic

processes, a natural way to take limits is as time increases to infinity or to a critical point, as
in Open Problems 1 and 2, which in the language of statistical physics assert dynamical
scaling under the monodisperse initial distribution, and assert universality when the same
behaviour holds in the polydisperse setting. In the context of a finite-volume stochastic model
such as the Marcus-Lushnikov process, as t -4 oc the mass ultimately forms a single cluster;
the interesting question to study is how this happens. For an N -4 00 limit stochastic
coalescent process, this question asks for the behaviour at small times rather than at large
times. We saw in Sections 4.2-4.4 the existence of a standard stochastic coalescent for the
three special kernels 1, x + y and xy, which originates with the mass in infinitesimally sm
clusters. Parts of Open Problems 7 and 8 below seek generalizations of this behaviour. In th
language of theoretical stochastic processes, we are seeking the entrance boundary for the
general stochastic coalescent. Physically, the underlying story from Section 1.1 will typical
make sense only when cluster masses are in some finite range [xo, xil]; so neither of the limi
procedures (xo I 0 or xl T o00) corresponding to small-time and large-time limits seems mo
natural than the other.

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
5.4. Open problems f
Intuitively, the state spa

unordered sets {xi} of cl
several ways, e.g. firstly b
that the state space becom
with the measure Exi6x,
Evans and Pitman (1996)
involved in formalization
particular cluster at time
the state space. To use the
some regularity property,
at a fixed time t varies co
prove the Feller property
K(0, 0) = 0, |K(xl, yl) -
This condition holds for s

satisfied by all nine kerne
K(x, y) is a symme
Open Problem 6. Prove t

Feller process on 11.
This is conceptually just

problems, representing t
F(x, t) = ZXi(t)1
for the total mass in clust

Write X(N) for the stocha
rescaling (31) of the mo
analogues of convergence
Open Problem 7. Consid

there exists a unique VI sa
continuous Smoluchowsk
y < 1, Tiit = -oo if y = 1. G
the following.
(a) There exists a version (X(t), Tinit < t < oc) of the stochastic coalescent such that
sup F(xs(t), t)- Jyp(y)dy -~ 0 a.s. as t Tinit,

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
38 D.J Aldous
and so in particula
max Xi(t) -4 0 a.s. as t Tinit. (48)
(b) If y < 1, then the version in (a) is the unique version satisfy
(c) As N -+ o00,
(X(N) s(N) + t; s-() < t < 00) (X(t); Tinit < t< 00)
for some to, where s-1 is the inverse function of s(t).
For Kingman's coalescent, these results are straightforward and indeed contained (in
slightly different form) in our discussion in Section 4.2. For the additive coalescent see
Aldous and Pitman (1997a).
Note that Open Problems 3 and 7 involve the behaviour of the Marcus-Lushnikov
process for non-gelling kernels over different time regimes. Specifically, for a homogeneous
kernel with y < 1, Open Problem 3 involves t = Q(1) whereas Open Problem 7 involves
t = Q(N'-Y). The corresponding conjecture for intermediate times, that is for tN -+ 00 with
tN = o(N'-Y), is that
sup N-1 x'ML'N)(x', tN) - yp(y) dy -0 as N -- oc. (49)

x x' >xs(t) x
The next open problem see

coalescent. Recall that the m
Open Problem 8. Consider

that 0 < Tgel < 00, and supp
Give rigorous proofs, und
version (X(t); -oc < t < 00)
properties.
(a) Writing X(t) = (X(l)(t), X(2)(t), ...) in decreasing order of cluster masses,
X(l)(t) -+ 0 a.s. as t t -oo,
X(l)(t) -+ c00 and X(2)(t) -+ 0 a.s. as t t 00.
(b) There is a self-similar solution (22) of the Smoluchowski coagulation equation
n(x, t) = tl(3+y)/(1-y)V(XIt[2/(y-1))
which satisfies the analogue of (42).
(c) As N - c00
( 1/Yx(N)(tN+Nt); tN t< ~ ) (X(t);-oo < t < 00)

for certain constants tu and aN.

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
One expects the consta

depending on y, but it
obtained from the expon
critical point. Uniqueness
even in the multiplicati
1997a); so we hesitate to
5.5. Gaussian fluctuations
The WLLN (Open Problem 3) asserts that the solution of the Smoluchowski coag
equation gives the first-order approximation of the Marcus-Lushnikov process for la
is natural to seek a second-order approximation involving Gaussian fluctuations o
N1/2. As noted in Section 5.1, in the restricted case where there are only a finite nu
different cluster sizes (so the limit Gaussian process takes values in some Rd), such a re
part of the general weak convergence theory of Ethier and Kurtz (1986, Chapter
presumably the conclusions continue to hold without that restriction, at least under m
assumptions.
Open Problem 9. In the setting of Open Problem 1 (with perhaps extra reg
hypotheses), show that
N-1/2{ML(N)(x, t)- Nn(x, t)} !d Z(x, t)
in the sense of weak convergence of R"-valued processes, where (Z(x, t); x = 1

O < t < Tgel) is the mean-zero R"-valued Gaussian diffusion specified by
dZ(x, t) = - K(x, y)Z(x, t)n(y, t)dt + Z{K(x, y)n(x, t)n(y, t)}1/2 dB{x,y}(
y y
where t
See van
Problem 9.
Another way to think about Gaussian approximations is in the context of the (continuous-
space) stochastic coalescent at small times; cf. (36) for the case of the constant kernel.
Open Problem 10. Suppose, as in Open Problem 7 (a), that (X(t), Tinit < t< oo) is the
standard version of the stochastic coalescent for a kernel K which is homogeneous with
exponent y < 1. Prove that, as t I Tinit,
( ((t F(xs(t), t) - (y) dy ; 0 < x < o f (Z(x); 0 < x < oo)

where Z(x) is a certain mean-zero Gaussian process.

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
40 D.J Aldous
As stated, this invo

indexed Gaussian pr
WLLN (49) there is
limit Gaussian pro
covariance structu
6. Envoi
With gross oversimplification, we can point to two waves of interest in our topic. The fi
was the deterministic theory developed by physical chemists in the 1960s and surveyed b
Drake (1972). The second was the stochastic theory developed by statistical physicists in t
early 1980s, culminating in the work of van Dongen, Ernst, Hendriks and others. Perhaps t
open problems in this survey and concurrent technical work such as Aldous (1997a), Evan
and Pitman (1996) and Jeon (1997) will stimulate a third wave of interest amongst theore
probabilists.
Acknowledgements
This survey has benefited enormously from ongoing discussions with Jim Pitman, Ravi Sheth
and Steve Evans. Thanks are due to Peter van Dongen for extensive comments on the first
draft, and to Intae Jeon for letting me see preprints.
This research was supported by the National Science Foundation under Grant DMS96-
22859.
Appendix 1
A.1. Self-similarity and tail behaviour
In the settings where one expects self-similar solutions of the Smoluchowski coagulation
equation (Section 2.4), there is some SM literature by Lushnikov (1973), van Dongen and
Ernst (1985), van Dongen (1987c), and van Dongen and Ernst (1987b) (surveyed by van
Dongen and Ernst (1988)) on the t -+ oo behaviour of n(x, t) for fixed x, or for x(t) > s(t).
To illustrate the type of result, in the homogeneous setting, van Dongen and Ernst (1987b)
argued that, for fixed t < Tgel, as x + oc
n(x, t) r A(x, t) e-xz(t)
where
(v < 1) A(x, t) r A(t)x-o

and when v = 1 there is also the possibility that
A(x, t) ,~ exp{-d(t)x }, for some 0 < fi < 1.

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
Here v is the "balance" pa
K(1, y) y+O(() as
This result is derived from
that
n(x, t) r A(x, t)e-x z(t)
is not possible for w - 1.

It is generally believed that these "large-deviation" results reflect x - 0 or oc behaviour
of the presumed self-similar solution Ip(x). This is far from clear from the TP viewpoint.
See Krivitsky (1995) for numerical results for the kernels (x + y)r and (xy)y/2.
A.2. Synthesizing self-similar solutions
A way of synthesizing self-similar solutions has been described by Drake (1972, Section 6.4)
and attributed to Wang (1966). Write
F(x, y)
K(x, y)= (Al)
and substitute into (15). Then (1
F(y, x - y)dy - JF(
Thus, if we start with some arbitr

p which can be normalized to (14
coagulation equation with kernel
A.3. Self-similar solutions
We summarize the results of B

Consider a splitting kernel which
S(cl; cx) = ca-1S(l; x

for some a > 0. Then the pure frag
n(x, t) = t2/alp(xtl/a)
where Vp is defined as follows.

stationary renewal process with in
P( Vi+1- Vi c dv) = e-
Let q be the probability density f
Y=
m=O Z m exp(-aVm)

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
42 D.J Aldous
where the (gm) are ind
= (x) = axa-2
Moreover in the speci
a exp(-xa)
F(2/a)
This looks promising, suggesting that by duality we can get coalescing kernels K with these
Ip as self-similar solutions. Unfortunately, applying the duality formula (28) gives
2F(2/a)(x + y)a-1
Kt(x, y) - at2/a exp{(xa + ya _ (x + y)a)t} (A3)
and we cannot time-change to a time-independent kernel, except in the case a = 1 which
corresponds to the familiar kernel K(x, y) = constant.
A.4. Constant-rate interval splitting
Recall from Section 3.2 the notion of dual splitting kernel St(l; x). Here is another example.
Take [0, 1] as our "artificial space". At time t = 0 we see the unit interval; as t increases, the
interval is split into subintervals according to the rule; each interval [a, b] splits at rate 1 at a
uniform random position. Thus the splitting kernel is
St(l; x) = 1-1. (A4)

Write Lt for the size-biased interval length densit
In(l, t)
ft(
a(t) l) > , (A5)
where a(t)= f ln(l, t) dl. It is easy to see that log Lt has exactly the distribution of
HQ- log _i, where Qt has Poisson(t) distribution and ?i has the "size-biased uniform" density
2x on 0 < x < 1. So for large t the distribution of log Lt is approximately normal(--t, a2 t)
for certain constants y and a. Combining with (A5) gives an approximation
a( t)x-2 (Ut + log x)2

n(x, t)a(27ut)1/2
f (tlexp -2o2t
. I
Combining with (A4) and substituting into (28) shows that the dual coalescen
approximately of the form b(t)K(x, y) for
K(x, y) = x2y2(x + y)-3. (A6)

This calculation suggests that kernel (A6) may have a self-simi
approximately log-normal.

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
A.5. Embedding the
A special feature of th
Lushnikov process can b
exactly, let us consider
Section 4.2, and let X(
(xik), 1 < i < k), where
Zx(k) = 1. (A7)
Recall the definition of Tk. At time Tk we attach the weights (x k)) to the k clusters of X(Tk),
in random order, and then define X(k)(t) to be the weights of the clusters of X(rk + t). This
provides an embedding of X(k) into X. Now recall the functional WLLN for sampling
without replacement.
Lemma 2. Suppose that (x(k)) satisfies (A7) and maxix k) --0 as k -- oc. Let
S(k)(t) S(k)(t)
supo<t<l = i kt:- tI(i)(k)
p 0. where ;r is a uniform random permutation of {1, ..., k}. Then
Applying the lemma to the embedding, we deduce (34) and the uniqueness property (32)
of Kingman's coalescent.
A.6. Variance calculations
Open Problem 10 involves a Gaussian process (Z(x); 0 <x < oc) intended to rep
fluctuations of cluster-size counts in the intermediate-time regime. For the th
kernels, explicit description of this process is most easily done exploiting the special
(36) and (39). For a general K, a direct approach is to write down the differential eq
implied by (50) for E Z(x, t)Z(y, t), pass to the continuous-space limit and then to u
presumed scaling invariance to derive an equation in the spirit of (15) for the c
function of Z(x).
A different approach to variance calculations is to use the general construction in
3.3, in which cluster sizes at time t in a certain model are represented as a stationa
dimensional process. Perhaps one can use a suitable CLT for stationary processes
a rigorous Gaussian limit in this model, and then relate this model to the M
Lushnikov process featured in Open Problem 9.
A.7. What was new in this paper?
As befits a survey, little in this paper is new. In the big picture, the general viewp
Section 3 does seem rather novel, as does the sketched general construction in Sect
details, the sketched "slick proofs" of (25) and (36) seem novel.

147.156.148.9 on Mon, 15 Jan 2024 12:24:11 +00:00
44 D.J Aldous
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Aldous 1999 - Deterministic and Stochastic Models For Coalescence (Aggregation and Coagulation) A Review of The Mean-Field Theory For Probabilists

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Aldous 1999 - Deterministic and Stochastic Models For Coalescence (Aggregation and Coagulation) A Review of The Mean-Field Theory For Probabilists

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Deterministic and Stochastic Models for Coalescence (Aggregation and Coagulation): A

Review of the Mean-Field Theory for Probabilists

Stable URL: https://www.jstor.org/stable/3318611

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Deterministic and stochastic models for

Department of Statistics, University of California, Berkeley, CA 9

Consider N particles, which merge into clusters according to the follo

Keywords: branching process; coalescence; continuum tree; density-de

Models, implicitly or explicitly stochastic, of coalescence (i.e. coagulation, gelati

1350-7265 ? 1999 ISI/BS

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=in(x, t)n(y, t)K(x, y). (1)

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Table 1. Some specific ke

(xl/3 + y1/3)(X-1/3 + y-1/3) Brownian mo

1.2. Why should probabilists care?

Section 2 reviews the deterministic Smoluchowski coagulation equations which forma

1.3. Digression: theorem-proof and scientific modelling mathemat

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Where possible I cit

(i) Aerosols (Drake

The kernels shown

In all these setting

Here the entities a

(viii) Random grap

1.5. One specif

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However, to show that th

2.1. The Smoluchowski coagulation equations

dt n(x, t) = K(y, x - y)n(y, t)n(x - y, t) dy - n(x, t) K(x, y)n(y, t) dy (continuous x).

ml(t) Zxn(x, t) or xn(x, t)dx is constant in t. (4)

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m2(t) -= x2n(x, t) dx.

2.2. Exact solutions

Table 2. Formulae for n(x, t)

K(x, y) = 1 K(x, y) = x + y K(x, y) = xy

Discrete 1 + ( t e-tB(1 - e-t, x) x-' B(t, x)

Continuous 4t-2 e-2x/t (27)-1/2 e-t X-3/2 e-e-2'x/2 (23n)-1/2X-5/2 e-

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We included the conve

Sm2(t = xyK(x, y)n(x, t)n(y, t) dx dy

K(x, y) t ko(1 + x + y). (7)

dt m2(t) < ko{2m2(t)mi(t) + m2(t)}.

For an initial configuration with mo(O) and m2(

dt m2(t) < ko{2m2(t)m(O) + m2(0)},

Principle 1. For a kernel K satisfying (7) and extra

m1(t) = 1, mo(t) < c, m2(t) < oo, (8)

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m2(t) = (1 - t)-', O < t < 1,

m2(t) < oo, O < t < 00. (10)

K(cx, cy) = cyK(x, y), O < c, x, y < oc. (11)

lim c-7~K(cx, cy) =K(x, y), O < x, y < oo. (12)

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Note that all except one of

3y > 1, 0 < cl, c2 < 00

3y > 2a > 2 such that

Consider the continuous set

JxP(x) dx= 1. (14)

K(y, x - y)'(y)4(x - y) dy - y(x) K(x

for some constant w 0, and we may take s(

s'(t) = wsY(t). (16)

s(t) cc tl/(1-Y), -oo < y < 1,

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