Lecture 12: Introduction to Branching Processes

Biology 429 Carl Bergstrom November 27, 2006

Sources: These lecture notes draw heavily on material from Taylor and Karlin An Introduction to Stochastic Modeling 3rd Edition (1998) and Kimmel and Axelrod Branching Processes in Biology (2000). In places, denitions and statements of theorems may be taken directly from that sources.

Generating functions
One of the most powerful (if somewhat unintuitive) tools in dealing with stochastic processes is the concept of generating functions. A generating function is a compact way to represent and manipulate the probability distribution of a non-negative discrete random variable, as a continuous function on the domain [0, 1]. As above, consider the discrete non-negative random variable given by P r[ = k] = pk . This distribution is represented by the generating function (s), which is the expectation of s raised to the -th power: (s) = E[s ] . Here we require 0 s 1 so that (s) is nite. We can write this out as 1

(s) =
k=0

pk sk

. In this form, we can now see the following properties of the generating function . 1. Each probability mass function for a non-negative discrete random variable corresponds one-to-one with a unique generating function . Weve already seen how to go from the mass function to the generating function. How do we go in the other direction? To do so, we need to nd a way to isolate each of the pi terms out of the generating function . Notice that (s) = p0 + p1 s + p2 s2 . . . Thus (0) = p0 and weve isolated the rst pi term. Now notice that the derivative (s) = p1 + 2p2 s + 3p3 s2 . . . and so (0) = p1 . Similarly, the derivative (s) = 2p2 + 6p3 s + 12p4 s2 . . . and thus (0)/2 = p2 . In general, pk = 1 dk (0) k! dsk

In other words, the successive derivatives of the generating function (s) produce the probability mass function when evaluated at s = 0.

2. Let 1 , 2 , . . . , n be independent (but not necessarily identically distributed) random variables. Then the generating function of their sum X = 1 + 2 + . . . + n is the product of their generating functions: X (s) = 1 (s)2 (s) . . . n (s) This is going to be really useful for working with random sums of even non-identically distributed random variables. 3. The generating function (s) associated with a random variable produces the moments of the random variable in a simple fashion. Since (s) = p1 + 2p2 s + 3p3 s2 . . . it follow that (1) = p1 + 2p2 + 3p3 . . . = E[] Similarly, the derivative (s) = 2p2 + 6p3 s + 12p4 s2 . . . so that

(1) = 2p2 +6p3 +12p4 . . . =

k=2

k(k 1)pk = E[(1)] = E[ 2 ]E[]

Thus E[ 2 ] = (1) + E[] Then Var[] = E[ 2 ] E[]2 = (1) + (1) (1)

2

In other words, the successive derivatives of the generating function (s) produce the successive moments of the random variable when evaluated at s = 1. 3

Introduction to Branching Processes

Early in the spread of a novel infectious disease, virtually everyone in the population is susceptible. Individuals with the disease generate some number of new cases during their infectious period; each of these new cases in turn can generate new cases. We want to model this process; we can do so by treating it as a special type of Markov chain known as a branching process. The model is formalized as follows. Individuals live for a single time period, during which they produce a random number of ospring. The number of ospring is a non-negative discrete random variable given by P r[ = k] = pk For now, all ospring are assumed equivalent. The branching process is a Markov chain Xt that gives the population size at time t. (Question: why is this a Markov process?) Other examples: PCR, spread of a rare gene, family surnames. In a previous lecture, we learned how to write down the distribution and moments for a random sum of random variables. We can take this approach to analyzing a branching process, where the number of ospring at time t + 1 is the sum of a random number Xt of random variables i . Let M (t) be the mean and V (t) be the variance of the branching process at time t. Let = E[] and 2 = Var[]. Using the formulas from our previous lecture on random sums, E[X] = and Var[X] = 2 + 2 2 , we can write recursive equations for M and V : M (t + 1) = M (t) V (t + 1) = 2 M (t) + 2 V (t). If M(0)=1, we can write a closed-form expression for M : M (t) = t This is just geometric compounding. Similarly (see T&K pp.180181) we can write V (t) = 2 (t1 + t + . . . + 2t2 4

Here we get closed form V (t) = 2 t1 1 t 1

(Unless = 1, in which case V (t) = 2 t.) Variance, like mean, progresses geometrically unless = 1. What is the chance that a branching process dies out by the n-th generation? We can solve this using rst-step analysis. Let un be the probability of extinction by the n-th generation, given that X0 = 1. Then the probability of extinction at time n, looking one turn, later is equal to the probability that the lineages of all of the produced ospring all go extinct in n 1 generations or fewer:

un =
k=0

pk (uk1 )k

See diagram and example p.182.