Random evolutions in discrete and continuous time

Joel E. Cohen

Stochastic Processes and their Applications, 1979, vol. 9, issue 3, 245-251

Abstract: This paper points out a connection between random evolutions and products of random matrices. This connection is useful in predicting the long-run growth rate of a single-type, continuously changing population in randomly varying environments using only observations at discrete points in time. A scalar Markov random evolution is specified by the nxn irreducible intensity matrix or infinitesimal generator Q = (qij) of a time-homogeneous Markov chain and by n finite real growth rates (scalars) si. The scalar Markov random evolution is the quantity MC(t) = exp([Sigma]nj=1sjgCj (t)), where gCj(t) is the occupancy times in state j up to time t. The scalar Markov product of random matrices induced by this scalar Markov random evolution is the quantity MD(t) = exp([Sigma]nj=1 sjgDj (t)), where gDj(t) is the occupancy time in state j up to and including t of the discrete-time Markov chain with stochastic one-step transition matrix P = eQ. We show that limt-->[infinity](1/t)E(logMD(t))=limt-->[infinity](1/t)E(logMC(t)) but that in general limt-->[infinity](1/t)logE(MC(t)) [not equal to] limt-->[infinity](1/t)logE(MD(t)). Thus the mean Malthusian parameter of population biologists is invariant with respect to the choice of continuous or discrete time, but the rate of growth of average population size is not. By contrast with a single-type population, in multitype populations whose growth is governed by non-commuting operators, the mean Malthusian parameter may be destined for a less prominent role as a measure of long-run growth.

Keywords: Products; of; random; matrices; single-type; populations; populations; multi-type; populations; Malthuasian; parameter; embedding (search for similar items in EconPapers)
Date: 1979
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Citations: View citations in EconPapers (1)

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