Stat 205B Lecture Notes #1

Lecturer: Yuval Peres, Scribe: Bhaskara Marthi January 22, 2002

Disclaimer: These lecture notes have been only lightly proofread. Please inform peres@stat.berkeley.edu of errors.

In this lecture, we introduce branching processes and begin the proof of the theorem about survival of Galton-Watson processes. First, here is some intuition. Consider a process in which there is an initial ancestor or root that has a certain number of children according to some distribution. Each child in turn has children according to the same distribution. If the number of children has a positive probability of being 0, we are interested in the probability of survival, i.e., that the total number of children at some generation is never 0. More formally, we have random variables given by P( = k) = pk for k 2 f0; 1; 2; : ::g. To rule out the trivial case, we assume that p1 < 1. The distribution given by fpk g is called the o spring distribution. We consider a family of random variables f i(n)g for positive integers i and n, where i(n) is understood to represent the number of children in generation n of the ith individual in generation n 1. Finally, de ne Z0 = 1 Zn 1 X (n) Zn = i ; n 1
i=1

where an empty sum is taken to mean 0. Zn represents the number of individuals \alive" in generation n. If Zn = 0 for some n, we say the process dies out, or becomes extinct. Otherwise, we say that the process survives. Obviously, if p0 = 0, the probability of survival is 1. Information about the probability of survival for general distributions is given by the following theorem. Theorem. Let m = E 1. There are three cases: If m < 1 (subcritical case), P(survival) = 0. If m = 1 (critical case), P(survival) = 0. If m > 1 (supercritical case), P(survival) > 0. 1

We rst prove the subcritical case. We begin by showing that EZn = mn . First of all, EZ1 = m by de nition. De ne n o Fn = i(k) j i 1; 1 k n Clearly Zn 2 Fn ; combined with linearity of conditional expectation, this yields E(Zn+1 jFn) = Zn E = mZn By the tower law, it follows that E(Zn+1 ) = E(E(Zn+1 jFn)) = E(mZn ) = mEZn and so, by induction, EZn = mn . Since Zn is a positive integer, 1 X P(Zn = k) P(Zn > 0) = <

1 X
1 1

kP(Zn = k)

= EZn = mn For the process to survive, Zn > 0 for all n. The probability of this happening is less than mn , for every n 1. Since m < 1, the survival probability is therefore 0. This completes the proof of the rst case. To handle the second case, we will use a martingale. Zn Lemma. Assume 0 < m < 1. Then mn is an fFng-martingale. Proof: Integrability and fFng-adaption are immediate. Using the result from the previous case, 1 Z E mn+1 j Fn = mn+1 E(Zn+1 jFn) n+1 mZn = mn+1 Z = mn n Zn and so mn is an fFng-martingale. Zn Also, mn is nonnegative. By the convergence theorem for nonnegative martingales, it converges a.s. In the critical case, where m = 1, we therefore have 2

that Zn converges a.s. Since each Zn is a positive integer, the limit is either 0, a positive integer, or 1. We will show that the second and third possibility have probability 0. By Fatou's lemma, E(limZn ) = E(liminf Zn) liminf EZn = 1 Since its expectation is nite, P(limZn = 1) = 0. Next, x an integer k. The event that Zn converges to k is the union of events f(8n M) Zn = kg over all positive integers M. We will show that for any xed M, the probability is 0. To see this, note that p0 > 0 (because p1 < 1 and E = 1), and so for any k 0, P(Zn+1 = kjZn = k) So and 1 P(Zn+1 = 0jZn = k) = 1 pk 0 < 1

P(ZM = k; ZM +1 = k; : : :; ZM +` = k) < (1 pk )` 0 P((8n M) Zn = k) = P

1 \

= `lim P(ZM = k; : : :; ZM +` = k) !1 lim (1 pk )` 0 `!1 = 0 where the second step used continuity from above. Now, by countable subadditivity over M, it follows that P(limZn = k) = 0. Next, by countable additivity over integers k > 0, P(limZn > 0) = 0. So, P(limZn = 0) = 1. This proves the critical case.

`=0

! fZM +` = kg