Some Results on Multitype Continuous Time Markov Branching Processes Author(s): Krishna Balasundaram Athreya Reviewed work(s): Source:

The Annals of Mathematical Statistics, Vol. 39, No. 2 (Apr., 1968), pp. 347-357 Published by: Institute of Mathematical Statistics Stable URL: http://www.jstor.org/stable/2239026 . Accessed: 19/03/2013 06:39
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The Annal8 of Mathematical Statistics

1968,Vol. 89, No. 2, 347-357

SOME RESULTS ON MULTITYPECONTINUOUSTIME MARKOV BRANCHINGPROCESSES1 BY KRISHNA BALASUNDARAM ATHREYA StanfordUniversity 1. Introduction. Of late therehas been a lot of interestin multitypecontinuous It was recentlynoted that there is a time Markovbranching processes(MCMBP). fundamentaland yet simple connection between classical urn schemes like Polya's and Friedman's,etc. and multitype continuoustime Markovbranching processes(see [1]).Problemson urn schemeshave theircounterparts in branching processesand it is while attemptingto solve these that the authorfelt the need for a systematicstudy of the MCMBP. The presentpaperis a partialanswerto this need (see also [1], [2], [3]).
In this paper we develop in a systematic way some basic properties of multi-

type continuoustime Markovbranching process.Althougha few of these properties are elementaryand not entirelynew in contentwe presentthem here for the sake of completeness. But there are two very importantresultswhich we believe arenew. We provethem underminimalassumptions. (See Section2 for notations and preliminaries.) Let {X(t); t _ O}be a MCMBP andlet A be the infinitesimal of the meanmatrix semigroup generator {M(t); t > O}whereM(t) = ((mi1(t))) and mij(t) = ((E(Xj(t) I Xr(O) = 83ri, r = 1, 2, ... , k) ))and 8ij are Kronecker
deltas. Assuming positive regularity and nonsingularity of the process we establish the following: 1. Needingnothingmorethan the existenceof thefirst moments,we THEOREM

have
limtoo

X(t,

w)eXlt

W(w)u

exists

wp 1

where W( w) is a nonnegative numerical valued random variable, Xi is the maxi-

normalized mal real eigenvalue vectorsatisfying of A and u is an appropriately

u*A = Xiu* whereu* is the transposeof u. 4. Let Xi > 0 so thatP{X(t) = 0 for some t} < 1 for any nontrivial THEOREM makeup and assume secondmomentsexist. Then limt,- P1O < xl

<

W _ x2 < oo, (v.X(t)

=

- eXltW)(v.X(t))-T1y}
P{O < Xl < W < x2 <
00}((y/cf)

wherev is an appropriatelynormalizedvectorsatisfying Av = X1v,2 an appropriate

and 1i(x) is thenormaldistribution constant function.

Here is an outline of the rest of the paper. In Section 2 we describe our set up and construct some martingales. Section 3 establishes Theorem 1. Assuming the
Received 18 October 1967. 1 Research supported in part under contracts N0014-67-A-0112-0015 and NIH USPHS 10452 at Stanford University. 347

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348

KRISHNA BALASUNDARAM ATHREYA

existence of second moments we study in Section 4 the growth behavior of E It X(t) 12 wheret is an eigenvectorof the matrixA. The last sectiondevelopsa representation for X(t) - eXltWu and uses it to proveTheorem4. This paperformsa minorpart ofthe author'sdoctoralthesisat the Department of Mathematics,Stanford.The authoris much indebtedto his adviserProfessor S. Karlinfor help and encouragement. 2. The set up, mean matrixand martingales. 2.1. Thesetup. We start with a strongMarkov,continuoustime k dimensional (2 < k < oo) branchingprocess {X(t); t > 0} definedon a probabilityspace (0, i, P). That is, {X(t, w); t > O}is a stochasticprocesson (Q, i, P) such that (i) The state space is the nonnegativeintegerlattice in k dimensions. (ii) It is a Markov chain with stationarytransitionprobabilities and strong
Markov with respect to the family gt of a-algebras where gt = a{X(u, w); U < t} and a{D} stands for the sub a-algebraof 5f generatedby the family D of real

randomvariableson (Q, 5) (iii) The transitionprobabilities Pi,j(t) satisfy

(ZEPi,j(t)s )
where
i-(il
i2

Jk_l ( Zj Pe,ij(t)si)ir
es =

ik),

(a,

Xi2

8ik)

8zj = 1
=0

if i = j
if is
j.

Let the associatedinfinitesimalgeneratingfunctionsbe (1) ui(s) = ai[hi(s)

-

si]

for i = 1, 2,

..

, k,

whereO < ai < oo, s = (Si, S2, * , Sk), O ? si ? 1 and h(s) is a probability generatingfunction.We make the followingbasic assumption.
ASSUMPTION 1.

(2)

< oo for all i Ohj(s)/Osj I8=(1,...j,)

and j.

Under (2) it can be proved using either the theory of branchingMarkov processesdeveloped by Ikeda, Nagasawa and Watanabe [9] or the theory of minimalprocessesas in Chung [5]that a branching process{X(t); t > O}of the exists. Also from the same theory one could take the sample above specification paths to be right continuousin t wp 1. , Xk(t)) as the vector deIt is very suggestiveto think of X(t) = (Xl(t), noting the sizes of the populationat time t in a system with k types of particles where (i) a tvpe i particlelives an exponentiallength of time with mean a-l' and to a distribution whosegenerating on death createsparticlesof all types according functionis given by hi(s), (ii) all particlesengenderindependentlines of descent. This propertyis the basic featureof a branching process.

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MULTITYPE CONTINUOUS TIME MARKOV BRANCHING PROCESSES

349

A moment's reflectionis enough to justify the following representationof

X(t + u, co) as

(3a)

X( t + u, co) - t=i

ZX5w

(u,

c)

where {Xt'(u, w), u > 0} is the vector denotingthe line of descentfrom the jth particleof type i living at time t. Without loss of generality (see Chapter6 in to be "big"enoughto makeXt'(u, c) a 5:-measurable [8]) one can assumeQand 5Y function and conditionally(conditionedon X(t)) mutually independent. In terms of generatingfunctions(3) becomes
(3b) where f(s, t + u) = f(f(s, u), t) f(s, t) = (fi(s, t), f2(s, t),I ..., fj(s, t) =

(3c) and

fk(s, t)) IX(O) = ei)

E(siX1(t)S2X2(t) ...

SkX(f)

One relates the ui(s) to f(s, t) as follows:The Kolmogorovforwardand backwarddifferential equationsfor Pi j(t) lead to the followingin terms of f(s, t).
(3d) (3e) (forward) (backward) ofi(s, t)/Ot = Ej=, ( afi(s, t)/asj)uj(s), afi(s, t)/Ot = ui(f(s, t)), i = 1, 2, i = 1, 2,
ky.,

k k k.

the initial conditions for both the systems being fi(s, 0) = si, i = 1, 2, *,

2.2. Meanmatrix.From (2) it follows(see Chapter5 in [8]) that (4)

mij(t) = E(Xj(t) I X(O) = ei)

is finite for allO _ t < oo,i andj. If we set (5)

(6) M(t + u) M(t)
= ((mij(t)))kXk,

for t > 0
0.

we get, using (3b), the semigroup property

=

M(t)M(u)

for all t, u

>

We also have using (3d) or (3e) the continuitycondition

(7)
limt,oM(t) = I.

Let
(8)
1) bij = chi(s)/dsjfs=(l,l,... aij= -bij,

aibij

= ((aij))kxk

for

1 < i, j ? k.

Then it is well knownthat M(t) has the representation (9) M(t)=el for t 2 0.

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350

ATHREYA KRISHNABALASUJNDARAM

We next make the basic assumptionof positiveregularity,viz., that there exists to > 0 and finite such that
(10) mij(to) > 0 for all
i,j.

in [10]),thereexists theoryofpositivematrices(see appendix By Frobenius-Perron a strictly positive eigenvalue p1(to) of M(to) whose algebraic and geometric multiplicitiesare both one and any other eigenvalue p(to) of M(to) satisfies Ip(to)I< pi(to). This implies that the eigenvaluesXI, X2, *.., Xk of A can be
and taken to be such that X1is real, pi(to) = eXitO

(11) Furtherif u and v satisfy (12) then they also satisfy

(13)
satisfy

Xi1>ReXi
u*A = Xiu*, Av = Xiv,

for if 5-l.

u*M(to) = pi(to)u*,

M(to)v

pi(to)v.

theory of positive matricesu and v can be taken to By the Frobenius-Perron

(14)
ui > 0, v; > 0

for all i, j,

ZD=iu=

1.

2.3. Martingales.For any collectionD of randomvariableson (Q, i, P) we denote by a(D) the smallesta-algebracontainedin 5, with respect to which all membersof D are measurable. Set
(15) 3t = a{X(u, w) u < t}, Y(t)
=

X(t)eCA,

Y(t) = (Yl(t),

Y(t))

of the well known martingaleresult Then we have the followinggeneralization of the simplebranching process. , k, thefamily I Y(t); Tt ; t _ 01 is a 1. For everyi = 1, 2, PROPOSITION martingale. Trivial using Markovproperty,(3) and (6). q.e.d. PROOF. The same argumentalso yields
2. Let t by any right eigenvectorof A with eigenvalue X. Then the PROPOSITION family {I X(t)eXt; gt; t > 0} is a martingale (possibly complexvalued).

We have the followingimportant 1. Let v be as in (12). Then COROLLARY

(16)
lim t-.
v-X(t)e-Xt =

exists wp 1

and E(W) ? v, if X(O) ei.

; ; t > 0} is a nonnegative PROOF. Immediate since the family {v-X(t)e7't; martingale and Fatou's lemma applies. q.e.d.

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MULTITYPE CONTINUOUS TIME MARKOV BRANCHING PROCESSES

351

3. Almost sure convergence of X(t)eCX". To avoid trivial degeneracies we

henceforthexclude the singular case

hi(s) = Ek=1pijsj,

where pij {1, 2,

...

0, Dj=i pij = 1. It is easy to see that in the singular case {X(t); t > 0} with EZo Xi(O) = 1 is essentiallya Markovchainwith state space
,

k}, transition probabilities pi jand the sojourn time in i exponential

with parameterai. Using a recentresultof Kesten and Stigum [9]on discretetime Galton-Watson processwe establishthe following:
THEOREM

1. Under positive regularity and nonsingularity

(17) (12).

limto X(t,

W)eXlt

W(w)u

exists wp 1

where W(w) is a nonnegativenumerical valued random variableand u is defined by

PROOF. Step 1. For V6 > 0 the discrete skeleton {X(nb); n = 0, 1, 2, is a discrete time Galton-Watson processwith mean matrixM(a). By (16) and (10), if 8no(b) > to, then M(no(5)5) = [M(5)]"O"' >> 0. Furtherthe processis nonsingular. Now appealingto Kesten and Stigum'sresult [9] we concludethat

there exists Aa e 5F such that P(A,) = 1 and X e As =* X(n5, W)eC1n1 -* W(WI, a)u. It follows that lim 0 v X(nb, w)e-NI = W(w, 6) since v*u = 1. But by Corollary 1 we know limft0 v.x(t, w)eClI = W(w) exists wp 1. Thus

we have W(w, 6) = W(co),wp 1. Hence given any sequenceof bi we conclude that 3 A 313P(A) = 1 and
(18)
STEP X weA

for ViX(n5i, w)eX 1"iW(w)u

as n
=

oo.

of this proof. We write X for Xi in the remainder

2. Let D = {co:W(w) > 0}. Then on DClimv.X(t)e-t Xi(t)e-t--+ 0 wp 1.

0 wp 1. But

vi > 0 for all i. This implieson D',

(19)

It is knownthat P{D} = 0 if XI_ 0. So we shall consideronly the case XI> 0. To establish( 17) in this case we have to examinenow only D. We shall use ( 18) to show that on D wp 1,
(20) lim inf Xj(t, c)e-t
> ujW(w)

for all j.

However, (21) }imsup Z, But by (16) lim Ek=i viXi(t)e-Xt = W(co)

wp 1.

viXi(t)eXt > ( S,j lim inf viXi(t)e-t)

+ lim sup vjXj(t)e-Xt.

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352

KRISHNA BALASUNDARAM ATHREYA

Thus (14), (20) and (21) =* wp 1 on D forall j. limsupXj(t)e-t < ujW(w) Putting (19), (20) and (22) togetherwe get (17). It remainsonly to establish(20) and this is our STEP3. By (16) P{W < oo} = 1. Let D, = {w:1/r < W(w) < r}. Then D7 T D. To establish(20) it sufficesto show V r wp 1. on D, lim inf Xj(t)e-t > ujW(w). (23) (22) Fix 5 > 0 and V t > 0 definen(t) Fix j and let N(t) -N(t,
N(t, w) = 0 if

n(t,5) by

n(t)5 _ t < (n(t) + 1)S.

w) be definedas
Xj(n(t)5) = 0 Xj(n(t)5) that split during

= number among the [n(t)5, (n(t) + 1)51.

Clearly
(24) Xj(t) > Xj(n(t)5)
-

N(t).

We need only to show

many n} = 0 (25) P{w:weDr; e%fX(nS, w) > p(S) for infinitely for somep( 5) ->0 as 5 I 0, becausewe then coulduse ( 18) to get (23) from (24) and(25). To prove (25) notice
limn Xj(nl5)e -n = ujW(w) wp 1.
772 >

Therefore, by Egoroff's theorem [7] Vf11 > 0,

P(AC) <

0,

3 A e 5f such that

rnand
WCEA,n> N= lXj(n5)&e -ujW(w)j
< n2.

Let E. = {w: e D,:e-XnN(nS, w) > p(S) } where p(5) will be specified later and E = { we E. for infinitely many n}. Now P(E) = P(EAc) + P(EA). For n > N, P(EnA) ? PgEn,An}where

(26) But
(27)

An

{w:w Dr, Xj(nb)e~'

-ujW(W)j

<

2721.

P{EnAn} < Pw:w EAn,N(n5)/Xj(n5)

> (p(b)
-

g(5)

g(b)Xj(nt))e-n')/(Xj(n5)exna)}

where
g(a) = 1 --aj

= P{a type j particle splits in [n5, (n + 1)5)1 it is alive at n5}.

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MULTITYPE

CONTINUOUS

TIME MARKOV BRANCHING

PROCESSES

353

Now on An (28) (p(8) -g(8)Xj(n5)e-A8)1Xj(n5)e-n5 > (p(6) if we choose p() =2g(6)(ujr From (27) and (28) +
712)

- g(8)(ujr +
12 will

72))/(ujr +

X2)

= g(a)

where

be specified in (31).

_ g(?)} (29) P(EnAn) _ P{c; we An, I(Xj(nb))Y'Zx'n" (Ur - g(W))I

where
n= 1 if the

rth particle among the Xj(nb)

splits during [n6, (n + 1)8)

0 otherwise. But on A. (30)

X.(nb)e-x"n > (ujr-

712)

Now choose X72> 0 such that (31)

ujr -12-C > 0.

Then by Chebychev's inequality (29), (30) and (31) yield (32) P(EnAn)
<(Cg2(5))-Je-nS

Since (32) holds for n > N we get El' P(EnAn) < oo and hence by BorelCantelli we have P(EA) = 0. But P(EAC) < ql and 711is arbitrary. This establishes (25). Notice p( 8) -* 0 as 8 0 since 72 does not depend on 6, r is fixed and 4, 0.q.e.d. g()O->Oas8 , k be random variables , (ik) for i = 1, 2, * (i2, I * * A REMARK. Let {i- (l with generating lattice integer nonnegative the k-dimensional on values taking that be shown it can Then functions respectively hi(s). (33) if and only if (34) E(Xj(t)logXj(t)IX(O) = ei) <
oo

E(tijlogtij)

< c

for all i

and j

forall

i,j

and t.

Now again appealing to Kesten and Stigum's result [12] yields the following: THEOREM 2. Either (35a) or (35b) P{W(w) = OIX(O)
=

W(co)

ei} = qi,

E(W(w)IX(O)

= ei)

v,

whereqi = P{X(t) = Ofor some t I X(O) = ei} for i = 1, 2, *** k are the extinction probabilities and the unique root in the unit hypercube { x = 0 ?< Xi < 1} satisfying ui(x) = 0 for i = 1, 2, * - , k and (X1 , - * *Xk);

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354

KRISHNA

BALASUNDARAM

ATHREYA

xi F 1 for at least one i. We have (35b) if and only if (33) holds. Further if (33) holds W( w) has an absolutelycontinuous distributionon (0, oo). 4. Second moments. In the rest of this paper unless stated explicitly to the contrary (or is clear from the context) we make the following additional assumptions.
3. ASSUmPTION

(36a)
ASSUMPTION

xl

> 0.

4.
2hi(s)/osjasks==(9,S,...,l)

(36b)

<
=

for all

i, j
O

and

k.

It is known that X1 > 0 meais P{X(t) shown (36b) implies E(Xj(t)Xj(t) IX(O) Let (37)

= 0 for some t} < 1. Harris [8] has

eC)

<

for all i, j, r and t > 0.

C,Vj(t) = coV (Xi(t), Xj(t)I X(O) = er).

Using (3) we can assert

(38)
CT(t + 8) = (I())

*Cr(t)V(8)

+ Z=1 mri(t)Ci(s)

where CG(t) = ((Crt3(t))) and (M(s))* is the transpose of M(s). Let

(39) Drtj(t) = E(Xi(t)Xj(t)IX(0) = er).

From (38) it will follow that (40) Dr(t + s) = (M(s))*Dr(t)MI(s) + Z$=l mri(t)Ci(s).

This yields the differential equations

(41)

Dr'(t) = A*Dr(t) + Dr(t)A + ZS=i mri(t)CO(0)

where ' denotes differentiation. It can be verified that the unique solution of (41) is (42)
Dr(t) = (M(t))*Dr(O)(11/i(t))

+
Let (43)
t

.f'(M(t -

,r) *(Z$=imri(r)Ci'(0)) (M(t -r)) dr.

= =

be an eigenvector of A with eigenvalue X, i.e., At = Xt. Let

Vr(t) -

X(O) E( It X(t)12X1

er)

t*Dr(t)t.

Using (42) we conclude that

(44) Vr(t) = e

{ + Zk=i ci( ft

e2a(t-)mi(r)

di)

where ci = t*Ci'(O) , a = Re X.

Now appealing to Frobenius-Perron theory [10] we conclude

(45) limt-o M(t)e-Xlt
=

P = vu*.

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MULTITYPE

CONTINUOUS

TIME

MARKOV

BRANCHING

PROCESSES

355

Hence we get the following: 3. With the above notations PROPOSITION

(46a)
(46b)

linmtVr(t)e2at
=

It

c0fo

e(2a-1)rntri(r)e-\1r

d-

if 2a
if 2a

> X,7

limt

Vr(t)e

tt
=

vr(DZ=i

Ciui)

=X,

(46c)

liMt Vr( t)e-,\ t

=

Vr(DI=uici)(Xi

2a)>

if 2a <

X1.

This leads us to the following: THEOREM 3. Let t be any vectorsuch that At = X) and let a = Re X be > X1/2. t; t > O} satisfies (for any initial set Then the martingale {Y(t) = t*X(t)e-t; up), I 00
supt

E Y( t) 12 <

and hence thereexists a random variable Y such that

(47) Y(t) tends to Y wp 1 and in means square as t -oo.

Immediate from (43), (46a) and Doob's convergence theorem [1]. We PROOF. make use of (42) in [2], [3]. 5. A Representation of X(t)
-

e"'tWu. In Section 3 we saw

e-Xt

limtX(t)

= Wu wp 1.

The question arises as to what can be said about the order of magnitude
Y(t) = (X(t)e-xlt - Wu). The following lemma helps in answering this. LEMMA1. There exists a set A E 5f such that

(1) P(A) (2) w E A Xj(t, w), i(48)

PROOF.

=
=

1. for every t, there exists random variables Wtej(co), j 1, 2, * , k, such that

-

1, 2, ...

X(t, w)

e"'tW(w)u

Zk=A

ZX_itw)

(e,

Wtt3(w)u).

Fix a t. Then for any 1 > 0 recall the representation (3)

X(t + 12Co) = Zk==i Z i(t) Xii(l,

).

Now uW(cw) = limS.+,X(s)e-Xs -limi.O, X(t + 1, co)e-1(?l). Thus

exl tuW(co) = limi, EL,
EZJXi(t) Xt'(l, co)e-11.

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356

KRISHNA BALASUNDARAM ATHREYA

co)e-^" = uWt'j(cco) exists wp 1 forj =

For a fixed t, liml .. X'j(l,

1, 2,

.,

Xj(t)

1, 2,

P(At)

k. Hence for each fixed t, there exists a set At e 3Ysuch that = 1, for co 8 At, Wt ii(co) exist and
*.,

e1W()=
and X(t)
-

Z=1Zi(t)

Wt3i(c,)

c) = eXltuW(

(ei -uwi =i Ej=i(t)

of the sample paths we

Set A = n t rational A t. Then using the right continuity have for co e A, for every t

X(t, o) - eXltW(c() We now get the following theorem

-

( 6i - uWit(co)). ZXji(tw0) f
says something about

q.e.d.
the order of

which

uW). THEOREM 4. Let X1be >0 so that P{X(t) = 0 for some t} is less than one for any nontrivial initial make up. Assume second momentsexist. Then
(49)
]iMt--x PI

magnitude of Y(t) = (X(t)e-Xlt

<

Xl

<

_-

X2 <

00,

V Y(t)e =

l(v.X(t))-

<

y}

P{O < xl -< W -< X2 <

00,}f(y/cr)

where v is as in (12),
(49a)
a2 =

Zk=iuiaQ, ui

Var (W I X(O) = ei),

for

i = 1, 2,

k.

PROOF. Let

(50)
It suffices to show (51) limt^O. E(eiOZ(t);O

Z(t)

= v.Y(t)(v.X(t))-iexlt.

<

X1 < W ?_ X2 <

OC) 2 pI <

= e
Now (52) since v.X(t)e-lt limto,
-+

X <-

W w

_ X2 <

?}.

W a.s. it suffices
X(t)e-Xlt

to show
?

< E(eiOZ(t) 0 < X V_

X <

oo)

=e(,202)2{0

<W < X1 < W

X2 <

??}.

But E(eioZ(t); 0 < x1 < v.x(t)eXlt

( 53 ) (53) = El=Et

<

X2 <

oo) t)/V *X(t) ) );

2

Hk.

(bjXj

(t)(0( Xj( t) ) -'(Xj(

0 < X1 < V.X(t)e-1t where 41,(0)

=

? X2 <
X(O)
=

oo} e,.

E(ei"(Vi-wj))

and

W,

limtOv.X(t)ext

when

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MULTITYPE

CONTINUOUS

TIME MARKOV BRANCHING

PROCESSES

357

To justify (53) we observe that from (48) we can write (54)

el'tv *Y(t) (v * X(t))

(Xj(t)/v.X(t))

(Kj(t))

ZX=t

jr

where nlt= (vj - W't), and for r = 1, 2, * , Xj(t) are independently and identically distributed and further independent of X(t). Now E(t1"ir) = 0, E( Iotj2) = a:2 < oo.If we now appeal to the classical central limit theorem (53) yields immediately (52) since (Xj(t)/v*X(t)) uj a.s. q.e.d.

1. From (48) using the argument of Theorem 4 it would seem REMARKS. tempting to conclude convergence of X(t) - eXtW appropriately normalized, to a multivariate normal. But such a convergence does not hold since after all the limit random variable W is really one dimensional. 2. Theorem 4 says something about the behavior in law of (X(t) - WeXlt). One would like to use (48) more strongly to assert some sample path behavior, like proving some law of the iterated logarithm etc., but this has not been done yet. (See [11].)
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