DISCRETE TIME BRANCHING PROCESS:

Branching process is a discrete state space stochastic process. The realizations of the process are
either observed in continuous time or discrete time; our focus will be on discrete time. A discrete
time branching process satisfies the following:
Each time unit n represents a generation
there is a single individual at generation 0. This individual is referred to as an ancestor.
Every individual lives exactly one unit of time, and produces a non negative number of
offspring.
The offspring probability distribution is the same for all individuals
All individuals reproduce independently of each other
Below is a realization of a discrete time branching process through three generations starting with
a single individual(ancestor) at generation 0:

The ancestor produced three offsprings who became the first generation and his lifetime is one
genration so he dies. Of three individuals; one produces two offsprings and another produces
one offspring. The third one did not produce any offspring. The second generation has three
individuals. Of the three in the second generation, one produces one offspring, the second two
offsprings and third four offsprings. The third generation has seven individuals.

Let Zn be the population size of the n-th generation ; {Zn : n = 0, 1, 2, ..} is a branching
process. When we have a situation that can be modeled by a branching process, the interest is
usually on:
(i) Population size for n-th generation
(ii) Probability of extinction
(iii) Total progeny
Population size for generation n:
The n-th generation is the number of offsrings produced by the (n-1)-th generation. In this case
Zn1

Zn =

Xi

i=1

where Xi is the number of offsprings produced by individual i of the (n-1)-th generation. Xi , i 1

is a random variable with probability distribution
P r(Xi = k) = pk ,

pk = 1.

k=0

Since Zn is a random variable, our interest is on its distribution and more specifically its mean
and variance values.

Probability generating function for Zn :

The probability distribution of Zn is given by
P (Zn = k) =

P (Zn = k|Zn1 = j) P (Zn1 = j)

j=0

P (X1 + X2 + ... + Xj = k) P (Zn1 = j)

j=0

Let the probability generating function of Xi be;

(s) =

sk P (Xi = k) =

k=0

sk pk

k=0

which gives us the p.g.f of the offspring distribution of an individual i.

(i) when n=1: Z1 = X1 since the zeroth generation has only one individual. Therefore the p.g.f
of Z1 is equal to the p.g.f of X1
(s) =

s P (Z1 = k) =

k=0

sk pk

k=0

(ii) when n=2: Z2 = X1 + X2 + ...XZ1 , thus the p.g.f is given by

p.g.f =

P (Z2 = k) sk

k=0

P (Z2 = k|Z1 = j) P (Z1 = j) sk

k=0 j=0
X

P (X1 + X2 + ... + Xj = k) P (Z1 = j) sk

k=0 j=0

j=0

k=0

P (Z1 = j)

P (X1 + X2 + ... + Xj = k) sk

Since X1 , X2 , .., Xj are i.i.d random variables with common p.g.f (s), X1 + X2 + ... + Xj
has p.g.f [(s)]j ,
Thus
p.g.f =

P (Z1 = j) [(s)]j = ((s)) = 2 (s)

j=0

(iii) when n=3: Z3 = X1 + X2 + ...XZ2 , thus the p.g.f is given by

p.g.f =

P (Z3 = k) sk

k=0

X
X

P (Z3 = k|Z2 = j) P (Z2 = j) sk

k=0 j=0
X

P (X1 + X2 + ... + Xj = k) P (Z2 = j) sk

k=0 j=0

j=0

P (Z2 = j)

P (X1 + X2 + ... + Xj = k) sk

k=0

P (Z2 = j) [(s)]j

j=0

= 2 ((s)) = 3 (s)
Using the steps above, in general, the p.g.f of Zn is given by n1 ((s)) which is equivalent to
(n1 (s)) when Z0 = 1
Mean and variance of Zn :
Let E [Xi ] = , is therefore the average number of offsprings produced per individual. Also let
Var(Xi ) = 2
Using properties of conditional expectation:
(1) E[Zn ]
(i) when n=1:
E [Z1 ] = E [X1 ] =
(ii) when n=2:
E [Z2 ] = E [E [Z2 |Z1 ]]
for fixed value of Z1 , say Z1 = m,
E [Z2 |Z1 = m] = E[X1 + X2 + ... + Xm ]
= m
substituting Z1 back as a random variable;
E [E [Z2 |Z1 ]] = E [Z1 ] = E[Z1 ] = 2

(iii) when n=3:

E [Z3 ] = E [E [Z3 |Z2 ]]
for fixed value of Z2 , say Z2 = m,
E [Z3 |Z2 = m] = E[X1 + X2 + ... + Xm ]
= m
thus
E [E [Z3 |Z2 ]] = E [Z2 ]
= E[Z2 ] = 3
(iv) By induction
E [E [Zn |Zn1 ]] = E [Zn1 ]
= E[Zn1 ] = n
the average population size of the n-th generation is n
(2) Var(Zn )
(i) when n=1:
Var [Z1 ] = Var [X1 ] = 2
(ii) when n =2:
Var [Z2 ] = E [Var (Z2 |Z1 )] + Var [E (Z2 |Z1 )]
= E [Var (X1 + X2 + XZ1 )] + Var [E (X1 + X2 + ... + XZ1 )]


= E Z1 2 + Var [Z1 ]
= 2E[Z1 ] + 2 Var [Z1 ]
= 2 + 2 2 = 2(1 + )
(iii) when n =3:
Var [Z3 ] = E [Var (Z3 |Z2 )] + Var [E (Z3 |Z2 )]
= E [Var (X1 + X2 + XZ2 )] + Var [E (X1 + X2 + ... + XZ2 )]


= E Z2 2 + Var [Z2 ]
= 2E[Z2 ] + 2 Var [Z2 ]
= 22 + 2 2(1 + )


= 2 2 1 + + 2
5

(iv) when n =4:

Var [Z4 ] = E [Var (Z4 |Z3 )] + Var [E (Z4 |Z3 )]
= E [Var (X1 + X2 + XZ3 )] + Var [E (X1 + X2 + ... + XZ3 )]


= E Z3 2 + Var [Z3 ]
= 2E[Z3 ] + 2 Var [Z3 ]
= 2 3 + 2 2 2 1 + + 2


= 2 3 1 + + 2 + 3

Following the pattern above

Var [Zn ] = 2 n1 1 + + 2 + n1

Var(Zn ) =




2 n1 1n

6= 1

2n

=1

We can also use the p.g.f of Zn to obtain its mean and variance.
Probability of extinction:
One of the most interesting applications of branching processes is calculating the probability of
eventual extinction. For example, What is the probability that an infectious disease dies out before
reaching an epidemic? What is the probability that a family line (e.g. for royal families) becomes
extinct? etc.The probability of ultimate extinction is a positive value which can be obtained using
the p.g.f of the offspring distribution.
Let be the probability that beginning with one individual at zeroth generation, the population
ever dies out. may be determined by conditioning on the number of offsprings of the initial
individual as follows
= P (population dies out)
X
=
P (population dies out|Z1 = k) P (Z1 = k)
k

Now, given Z1 = k, the population will eventually die out if and only if each of k families started
by the first generation die out. Since each family acts independently and the probability that any
family dies out is just ,
X
k P (Z1 = k) = ().
=
k

When n is sufficiently large, is the smallest solution of the equation

s = (s),
i.e can be obtained using the p.g.f of the offspring distribution.
It turns out that the probability of extinction depends crucially on the value of :
(i) If > 1 then each individual on average produces more than one offspring and hence there
is a positive probability that the population will grow; i.e if < 1, < 1
(ii) If < 1 then the population will become extinct; i.e if < 1, = 1.
(iii) If = 1 , = 1 unless each individual constantly produces one offspring
Time to extinction
Let T be the time of extinction. If the population extincts at the n-th generation, then T = n; i.e
T = n Zn = 0 Zn1 > 0 thus
P (T = n) P (Zn = 0 Zn1 > 0)
Now
P (Zn = 0) = P (Zn = 0 Zn1 > 0) + P (Zn = 0 Zn1 = 0)
= P (Zn = 0 Zn1 > 0) + P (Zn1 = 0)
It follows therefore that
P (T = n) P (Zn = 0) P (Zn1 = 0) = n (0) n1 (0)

Examples:
(1) For a branching process {Zn : n = 0, 1, 2, ..} with offspring distribution given by p0 = 16 ,
p1 = 12 , p3 = 13 ; Determine
(a) expectation and variance of the population at generation 9
(b) probability that the branching process dies by generation 3, but not by generation 2,
(c) the probability that the process ever dies out.
Solution:
(a) Let X be the number of offspring produced by one individual.
E[X] =

V ar[X] =

xpx = 1

1
1
+ 3 = 1.5 =
2
3

(x )2 px = (0 1.5)2

1
1
1
+ (1 1.5)2 + (3 1.5)2
6
2
3

= 1.25 = 2
9

E[Z9 ] = 1.5 = 38.44 ' 38

Var(Z9 ) = 1.25 1.5

1 1.59
1 1.5

= 2399.08

(b) Let G(s) be the p.g.f of the offspring distribution;

G(s) =

sx px =

1
1 1
+ s + s3.
6 2
3

The probability we are interested in is P r[Z3 = 0|Z2 > 0]

P r[Z3 = 0|Z2 > 0] =
=

P r[Z3 = 0 Z2 > 0]
P r[Z2 > 0]
P r[Z3 = 0] P r[Z2 = 0]
1 P r[Z2 = 0]

Now
P r[Zn = 0] = Gn (0)
1
G(0) =
' 0.1667
6
G2 (0) = G (G(0)) = G(0.1667)
1
1
= 0.1667 + 0.1667 + (0.1667)3 = 0.2515
2
3
G3 (0) = G (G2 (0)) = G(0.2515)
1
1
= 0.1667 + 0.2515 + (0.2515)3 = 0.2977
2
3
8

Thus
P r[Z3 = 0|Z2 > 0] =

0.2977 0.2515
= 0.0617
1 0.2515

(c) Since > 1 we solve the equation s = G(s)

1 1
+ s+
6 2
1 1
s+
0 =
6 2
s =

Now

1 3
s
3
1 3
s
3

1
1
1
1 3 1
s s + = (s 1)(s )
3
2
6
3
2

Hence

1
1
(s 1)(s ) = 0 implies that either s = 1or
3
2
The probability of extinction is 0.5.

s=

1
2

(2) A population starts off with just one female. Each female in the populations lives for one
fixed time period and then dies. While alive and independent of all other females in the
population, she gives birth to X females according to probability distribution
X=x
P (X = x)

0
0.3

1
0.4

2
0.3

Let G(s) be the probability generating function of the offspring distribution;

(a) Find G2 (s); the probability generating function of the second generation and hence the
probability distribution of females in the second generation.
(b) Find the probability of extinction for the fourth generation.
(c) What is the probability of ultimate extinction.

Solution:
(a)
G(s) =

sx P (X = x) = 0.3 + 0.4s + 0.3s2

Thus
G2 (s) = G (G(s))
= 0.3 + 0.4G(s) + 0.3 (G(s))2

2
= 0.3 + 0.4 0.3 + 0.4s + 0.3s2 + 0.3 0.3 + 0.4s + 0.3s2
= 0.447 + 0.232s + 0.222s2 + 0.072s3 + 0.027s4
The probability distribution of females in second generation is
Z2 = z
P (Z2 = z)

0
0.447

1
0.232

2
0.222

3
0.072

4
0.027

(b)
G2 (0) = 0.447
G3 (0) = G(G2 (0)) = G(0.447)
= 0.3 + 0.4(0.447) + 0.3(0.447)2 = 0.539
G4 (0) = G(G3 (0)) = G(0.539)
= 0.3 + 0.4(0.539) + 0.3(0.539)2 = 0.603
Thus
P r[Z4 (0)] = G4 (0) = 0.603
(c)
E[X] = 0.4 + 0.3(2) = 1
hence the probability of extinction is 1. To verify, let us solve s = G(s)
s = 0.3 + 0.4s + 0.3s2
0 = 0.3s2 0.6s + 0.3
0 = 0.3[(s 1)]2
0 = [(s 1)]2
s = 1
The probability of extinction is 1.

10

Total progeny:
We may also be interested in the total number of descendants upto and including the n-th generation, this number is the total progeny. Let Yn be the total progeny at the n-th generation;
Yn = 1 + Z1 + Z2 + ... + Zn ,

n = 1, 2, ...

We can also obtain Yn using Z1 as a reference point as follows: taking n=1 as the starting point; the
j
. This variable has the same properties
total progeny for the j-th offspring (j = 1, 2, .., Z1) is Yn1
Z1
1
2
as Yn1 . Since all the Z1 act independently, Yn1 , Yn1 , .., Yn1
are i.i.d variables.
Thus
Z1
1
2
Yn = 1 + Yn1
+ Yn1
+ .. + Yn1
Probability generating function of of Yn :
let Rn (s) be the p.g.f of Yn ;





Rn (s) = E S Yn = E E S Yn |Z1
Now let Z1 = m,
E S Yn |Z1 = m

i
h
1
2
m
= E S 1+Yn1 +Yn1 +..+Yn1

m
= s E[S Yn1 ] = s (Rn1 (s))m

Therefore
Rn (s) = sE [(Rn1 (s))m ]
X
= s
(Rn1 )m (P (Z1 = m) = s (Rn1 (s))
Let (s) be the p.g.f of Yn as n ;
lim Rn (s) =

lim s (Rn1 (s))



= s lim Rn1 (s)
n

(s) = s ((s))

11

Mean of Yn :
E[Yn ] = E[1 + Z1 + Z2 + ... + Zn ] = 1 + + .. + n
Thus
E[Yn ] =

n+1 1
1

n + 1

As n ;
E[Yn ] =

1
1

6= 1
=1

1
<1

Examples
(1) {Zn ; n = 0, 1, 2, ..} is a branching process in which each individual produces at most one
offspring so that p0 > 0, p1 = 1 p0 > 0 and pj = 0 j > 1. Let G(s) and Pn (s)
be the probability generating functions of offspring distribution and distribution of total
progeny upto n-th generation respectively. The two generating functions have the relation
Pn (s) = sG(Pn1 (s)). If Z0 = 1, find
(a) Pr(Zn = 0).
(b) Using Pn (s), find the probability distribution of the total progeny upto the n-th generation.
Solution:
(a)
G(s) = p0 + p1 s = (1 p1 ) + p1 s
G2 (s) = G (G(s))
= p0 + p1 (p0 + p1 s)
= p0 + p0 p1 + p21 s = p0 (1 + p1 ) + p21 s


1 p21
+ p21 s
= p0
1 p1
= (1 p21 ) + p21 s
G3 (s) = G (G2 (s))

= p0 + p1 p0 + p0 p1 + p21 s
= p0 + p0 p1 + p0 p21 + p31 s


1 p31
+ p31 s
= p0
1 p1
= (1 p31 ) + p31 s
12

By induction
Gn (s) = (1 pn1 ) + pn1 s
Thus
Pr(Zn = 0) = Gn (0) = 1 pn1
(b) By definition






P1 (s) = E S (1+Z1 ) = E S S Z1 = s S Z1 = sG(s)
Thus
P1 (s) = s (p0 + p1 s) = p0 s + p1 s2
Next
P2 (s) = sG (P1 (s))



= s p0 + p1 p0 s + p1 s2
= p0 s + p0 p1 s2 + p21 s3
P3 (s) = sG (P2 (s))



= s p0 + p1 p0 s + p0 p1 s2 + p21 s3
= p0 s + p0 p1 s2 + p0 p21 s3 + p31 s4
P4 (s) = sG (P3 (s))



= s p0 + p1 p0 s + p0 p1 s2 + p0 p21 s3 + p31 s4
= p0 s + p0 p1 s2 + p0 p21 s3 + p0 p31 s4 + p41 s5
In general
Pn (s) = p0 s + p0 p1 s2 + p0 p21 s3 + .... + p0 pn1
sn + pn1 sn+1
1
Using the p.g.f, the probabilities corresponding to
the coefficients of sk ; k = 1, 2, .., n + 1; hence if we

p pk1 k
0 1
P r[Yn = k] =
pk
k
1

13

possible values of total progeny are

let total progeny be Yn then
= 1, 2, ..., n
=n+1

(2) Let {Zn ; n 0} be a branching process with offspring distribution P (X = k) = pq k , k =

0, 1, 2, ...; p + q = 1 and G(s) be the probability generating function of the offspring
distribution . Further let Un be the total progeny upto the n-th generation and Rn (s)
be the probability generating function of Un . Assuming Z0 = 1; find
(a) E[Yn ] when p 6= q and hence find limn E[Yn ] when q < p.
(b) the probability generating function Gn (s) of Zn when p = q and hence determine
the probability density function of T when the population first becomes extinct.
(c) H(s) = limn Rn (s); Rn (s) = sG(Rn1 (s)), p 6= q.
Solution:
(a) E[X] =

q
p

hence
E[Un ] = E[1 + Z1 + ... + Zn ]
= 1 + E[Z1 ] + ... + E[Zn ]
 2
 n
q
q
q
+ ... +
= 1+ +
p
p
p
 n+1
1 qp
 
=
1 qp

when q < p, then

q
p

< 1 thus
lim E[Un ] =

1
1

q
p

p
pq

(b) the p.g.f of offspring distribution is

G(s) =

X
k

pq k sk =

p
1 qs

when p = q then p = q = 12 ;hence

G(s) =

1
0.5
=
1 0.5s
2s


1
G2 (s) = G(G(s)) = G
2s
2s
1

=
=
1
3 2s
2 2s


2s
G3 (s) = G(G2 (s)) = G
3 2s
3 2s
1

=
=
2s
4 3s
2 32s
14

3 2s
G4 (s) = G(G3 (s)) = G
4 3s
1
4 3s

=
=
5 4s
2 32s
43s

In general
Gn (s) =

n (n 1)s
(n + 1) ns

The probability density function of time T is given by

P r[T = n] = Gn (0) Gn1 (0)
n
n1
1
=

=
(n + 1)
n
n(n+)
(c)
lim Rn (s) =

lim sG(Rn1 (s))



= sG lim Rn1 (s)

H(s) = sG (H(s))

H(s) = s

p
1 qH(s)

ps = H(s) q [H(s)]

0 = q [H(s)]2 H(s) + ps

H(s) =

15

1 4pqs
2q