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Stochastic Processes
Theory for Applications

This definitive textbook provides a solid introduction to discrete and continuous stochas-
tic processes, tackling a complex field in a way that instills a deep understanding of
the relevant mathematical principles, and develops an intuitive grasp of the way these
principles can be applied to modeling real-world systems.
• Basic underlying principles and axioms are made clear from the start, and new topics
are developed as needed, encouraging and enabling students to develop an instinctive
grasp of the fundamentals.
• Mathematical proofs are made easy for students to understand and remember, helping
them quickly learn how to choose and apply the best possible models to real-world
situations.
• Includes a review of elementary probability theory; detailed coverage of Poisson,
Gaussian and Markov processes; the basic elements of queueing theory; and theory
and applications of inference, hypothesis testing, detection and estimation, in addition
to more advanced topics.
Written by one of the world’s leading information theorists, based on his 20 years’
experience of teaching stochastic processes to graduate students, this is an exceptional
resource for anyone looking to develop their understanding of stochastic processes.
Robert G. Gallager is a Professor Emeritus at MIT, and one of the world’s leading infor-
mation theorists. He is a Member of the US National Academy of Engineering, and the
US National Academy of Sciences, and his numerous awards and honors include the
IEEE Medal of Honour (1990) and the Marconi Prize (2003). He was awarded the MIT
Graduate Student Teaching Award in 1993, and this book is based on his 20 years’ of
experience of teaching this subject to students.
“The book is a wonderful exposition of the key ideas, models, and results in stochastic
processes most useful for diverse applications in communications, signal processing,
analysis of computer and information systems, and beyond. The text provides excellent
intuition, with numerous beautifully crafted examples, and exercises. Foundations are
included in a natural way that enhances clarity and the reader’s ability to apply the
results.”
Bruce Hajek, University of Illinois, Urbana-Champaign

“This book provides a beautiful treatment of the fundamentals of stochastic process.

Gallager’s clear exposition conveys a deep and intuitive understanding of this important
subject. Graduate students and researchers alike will benefit from this text, which will
soon be a classic.”
Randall Berry, Northwestern University

“In Stochastic Processes: Theory for Applications, Robert Gallager has produced
another in his series of outstanding texts. Using a style that is very intuitive and
approachable, but without sacrificing the underlying rigor of the subject matter, he has
focused his treatment exactly at the level that engineers and applied scientists need to
understand in order to have a working knowledge of this field. The breadth and sequenc-
ing of the coverage are also excellent. This book will be a useful resource both for
students entering the field and for practitioners seeking to deepen their understanding of
stochastic methods.”
H. Vincent Poor, Princeton University

“Professor Gallager’s book is the first of a plethora of textbooks on stochastic processes

for engineers that strike the perfect balance between broad coverage, rigor, and motiva-
tion for applications. With a wealth of illustrative examples and challenging exercises,
this book is the ideal text for graduate students in any field that applies stochastic pro-
cesses.”
Abbas El Gamal, Stanford University
Stochastic Processes
Theory for Applications

Robert G. Gallager
MIT
University Printing House, Cambridge CB2 8BS, United Kingdom

Published in the United States of America by Cambridge University Press, New York
Cambridge University Press is part of the University of Cambridge.
It furthers the University’s mission by disseminating knowledge in the pursuit of
education, learning, and research at the highest international levels of excellence.

www.cambridge.org
Information on this title: www.cambridge.org/9781107039759

c Cambridge University Press 2013
This publication is in copyright. Subject to statutory exception
and to the provisions of relevant collective licensing agreements,
no reproduction of any part may take place without the written
permission of Cambridge University Press.
First published 2013
Printing in the United Kingdom by TJ International Ltd. Padstow Cornwall
A catalogue record for this publication is available from the British Library
Library of Congress Cataloguing in Publication data
Gallager, Robert G.
Stochastic processes: theory for applications / Robert G. Gallager, MIT.
pages cm
ISBN 978-1-107-03975-9 (hardback)
1. Stochastic processes – Textbooks. I. Title.
QA274.G344 2013
519.2 3–dc23
2013005146
ISBN 978-1-107-03975-9 Hardback
Additional resources for this publication at www.cambridge.org/stochasticprocesses
Cambridge University Press has no responsibility for the persistence or accuracy of
URLs for external or third-party internet websites referred to in this publication,
and does not guarantee that any content on such websites is, or will remain,
accurate or appropriate.
To Marie, with thanks for her love and
encouragement while I finished this book
 Contents

Preface page xv
Suggestions for instructors and self study xix
Acknowledgements xxi

1 Introduction and review of probability 1

1.1 Probability models 1
1.1.1 The sample space of a probability model 3
1.1.2 Assigning probabilities for finite sample spaces 4
1.2 The axioms of probability theory 5
1.2.1 Axioms for events 7
1.2.2 Axioms of probability 8
1.3 Probability review 9
1.3.1 Conditional probabilities and statistical independence 9
1.3.2 Repeated idealized experiments 11
1.3.3 Random variables 12
1.3.4 Multiple random variables and conditional probabilities 14
1.4 Stochastic processes 16
1.4.1 The Bernoulli process 17
1.5 Expectations and more probability review 19
1.5.1 Random variables as functions of other random variables 23
1.5.2 Conditional expectations 25
1.5.3 Typical values of random variables; mean and median 28
1.5.4 Indicator random variables 29
1.5.5 Moment generating functions and other transforms 29
1.6 Basic inequalities 31
1.6.1 The Markov inequality 32
1.6.2 The Chebyshev inequality 32
1.6.3 Chernoff bounds 33
1.7 The laws of large numbers 36
1.7.1 Weak law of large numbers with a finite variance 36
1.7.2 Relative frequency 39
1.7.3 The central limit theorem (CLT) 39
1.7.4 Weak law with an infinite variance 44
1.7.5 Convergence of random variables 45
1.7.6 Convergence with probability 1 48
viii Contents

1.8 Relation of probability models to the real world 51

1.8.1 Relative frequencies in a probability model 52
1.8.2 Relative frequencies in the real world 52
1.8.3 Statistical independence of real-world experiments 55
1.8.4 Limitations of relative frequencies 56
1.8.5 Subjective probability 57
1.9 Summary 57
1.10 Exercises 58

2 Poisson processes 72
2.1 Introduction 72
2.1.1 Arrival processes 72
2.2 Definition and properties of a Poisson process 74
2.2.1 Memoryless property 75
2.2.2 Probability density of Sn and joint density of S1 , . . . , Sn 78
2.2.3 The probability mass function (PMF) for N(t) 79
2.2.4 Alternative definitions of Poisson processes 80
2.2.5 The Poisson process as a limit of shrinking Bernoulli processes 82
2.3 Combining and splitting Poisson processes 84
2.3.1 Subdividing a Poisson process 86
2.3.2 Examples using independent Poisson processes 87
2.4 Non-homogeneous Poisson processes 89
2.5 Conditional arrival densities and order statistics 92
2.6 Summary 96
2.7 Exercises 97

3 Gaussian random vectors and processes 105

3.1 Introduction 105
3.2 Gaussian random variables 105
3.3 Gaussian random vectors 107
3.3.1 Generating functions of Gaussian random vectors 108
3.3.2 IID normalized Gaussian random vectors 108
3.3.3 Jointly-Gaussian random vectors 109
3.3.4 Joint probability density for Gaussian n-rv s (special case) 112
3.4 Properties of covariance matrices 114
3.4.1 Symmetric matrices 114
3.4.2 Positive definite matrices and covariance matrices 115
3.4.3 Joint probability density for Gaussian n-rv s (general case) 117
3.4.4 Geometry and principal axes for Gaussian densities 118
3.5 Conditional PDFs for Gaussian random vectors 120
3.6 Gaussian processes 124
3.6.1 Stationarity and related concepts 126
3.6.2 Orthonormal expansions 128
3.6.3 Continuous-time Gaussian processes 130
3.6.4 Gaussian sinc processes 132
 Contents ix

3.6.5 Filtered Gaussian sinc processes 134

3.6.6 Filtered continuous-time stochastic processes 136
3.6.7 Interpretation of spectral density and covariance 138
3.6.8 White Gaussian noise 139
3.6.9 The Wiener process/Brownian motion 142
3.7 Circularly-symmetric complex random vectors 144
3.7.1 Circular symmetry and complex Gaussian random variables 145
3.7.2 Covariance and pseudo-covariance of complex
n-dimensional random vectors 146
3.7.3 Covariance matrices of complex n-dimensional random
vectors 148
3.7.4 Linear transformations of W ∼ CN (0, [I ]) 149
3.7.5 Linear transformations of Z ∼ CN (0, [K]) 150
3.7.6 The PDF of circularly-symmetric Gaussian n-dimensional
random vectors 150
3.7.7 Conditional PDFs for circularly-symmetric Gaussian
random vectors 153
3.7.8 Circularly-symmetric Gaussian processes 154
3.8 Summary 155
3.9 Exercises 156

4 Finite-state Markov chains 161

4.1 Introduction 161
4.2 Classification of states 163
4.3 The matrix representation 168
4.3.1 Steady state and [Pn ] for large n 168
4.3.2 Steady state assuming [P] > 0 171
4.3.3 Ergodic Markov chains 172
4.3.4 Ergodic unichains 173
4.3.5 Arbitrary finite-state Markov chains 175
4.4 The eigenvalues and eigenvectors of stochastic matrices 176
4.4.1 Eigenvalues and eigenvectors for M = 2 states 176
4.4.2 Eigenvalues and eigenvectors for M > 2 states 177
4.5 Markov chains with rewards 180
4.5.1 Expected first-passage times 181
4.5.2 The expected aggregate reward over multiple transitions 185
4.5.3 The expected aggregate reward with an additional final reward 188
4.6 Markov decision theory and dynamic programming 189
4.6.1 Dynamic programming algorithm 190
4.6.2 Optimal stationary policies 194
4.6.3 Policy improvement and the search for optimal stationary
policies 197
4.7 Summary 201
4.8 Exercises 202
x Contents

5 Renewal processes 214

5.1 Introduction 214
5.2 The strong law of large numbers and convergence with probability 1 217
5.2.1 Convergence with probability 1 (WP1) 217
5.2.2 Strong law of large numbers 219
5.3 Strong law for renewal processes 221
5.4 Renewal–reward processes; time averages 226
5.4.1 General renewal–reward processes 230
5.5 Stopping times for repeated experiments 233
5.5.1 Wald’s equality 236
5.5.2 Applying Wald’s equality to E [N(t)] 238
5.5.3 Generalized stopping trials, embedded renewals, and
G/G/1 queues 239
5.5.4 Little’s theorem 242
5.5.5 M/G/1 queues 245
5.6 Expected number of renewals; ensemble averages 249
5.6.1 Laplace transform approach 250
5.6.2 The elementary renewal theorem 251
5.7 Renewal–reward processes; ensemble averages 254
5.7.1 Age and duration for arithmetic processes 255
5.7.2 Joint age and duration: non-arithmetic case 258
5.7.3 Age Z(t) for finite t: non-arithmetic case 259
5.7.4 Age Z(t) as t → ∞: non-arithmetic case 262
5.7.5 Arbitrary renewal–reward functions: non-arithmetic case 264
5.8 Delayed renewal processes 266
5.8.1 Delayed renewal–reward processes 268
5.8.2 Transient behavior of delayed renewal processes 269
5.8.3 The equilibrium process 270
5.9 Summary 270
5.10 Exercises 271

6 Countable-state Markov chains 287

6.1 Introductory examples 287
6.2 First-passage times and recurrent states 289
6.3 Renewal theory applied to Markov chains 294
6.3.1 Renewal theory and positive recurrence 294
6.3.2 Steady state 296
6.3.3 Blackwell’s theorem applied to Markov chains 299
6.3.4 Age of an arithmetic renewal process 300
6.4 Birth–death Markov chains 302
6.5 Reversible Markov chains 303
6.6 The M/M/1 sampled-time Markov chain 307
6.7 Branching processes 309
6.8 Round-robin service and processor sharing 312
 Contents xi

6.9 Summary 317

6.10 Exercises 319

7 Markov processes with countable-state spaces 324

7.1 Introduction 324
7.1.1 The sampled-time approximation to a Markov process 328
7.2 Steady-state behavior of irreducible Markov processes 329
7.2.1 Renewals on successive entries to a given state 330
7.2.2 The limiting fraction of time in each state 331
7.2.3 Finding {pj (i); j ≥ 0} in terms of {πj ; j ≥ 0} 332
7.2.4 Solving for the steady-state process probabilities
directly 335
7.2.5 The sampled-time approximation again 336
7.2.6 Pathological cases 336
7.3 The Kolmogorov differential equations 337
7.4 Uniformization 341
7.5 Birth–death processes 342
7.5.1 The M/M/1 queue again 342
7.5.2 Other birth–death systems 343
7.6 Reversibility for Markov processes 344
7.7 Jackson networks 350
7.7.1 Closed Jackson networks 355
7.8 Semi-Markov processes 357
7.8.1 Example – the M/G/1 queue 360
7.9 Summary 361
7.10 Exercises 363

8 Detection, decisions, and hypothesis testing 375

8.1 Decision criteria and the maximum a posteriori probability (MAP)
criterion 376
8.2 Binary MAP detection 379
8.2.1 Sufficient statistics I 381
8.2.2 Binary detection with a one-dimensional observation 381
8.2.3 Binary MAP detection with vector observations 385
8.2.4 Sufficient statistics II 391
8.3 Binary detection with a minimum-cost criterion 395
8.4 The error curve and the Neyman–Pearson rule 396
8.4.1 The Neyman–Pearson detection rule 402
8.4.2 The min–max detection rule 403
8.5 Finitely many hypotheses 403
8.5.1 Sufficient statistics with M ≥ 2 hypotheses 407
8.5.2 More general minimum-cost tests 409
8.6 Summary 409
8.7 Exercises 410
xii Contents

9 Random walks, large deviations, and martingales 417

9.1 Introduction 417
9.1.1 Simple random walks 418
9.1.2 Integer-valued random walks 419
9.1.3 Renewal processes as special cases of random walks 419
9.2 The queueing delay in a G/G/1 queue 420
9.3 Threshold crossing probabilities in random walks 423
9.3.1 The Chernoff bound 423
9.3.2 Tilted probabilities 425
9.3.3 Large deviations and compositions 428
9.3.4 Back to threshold crossings 431
9.4 Thresholds, stopping rules, and Wald’s identity 433
9.4.1 Wald’s identity for two thresholds 434
9.4.2 The relationship of Wald’s identity to Wald’s equality 435
9.4.3 Zero-mean random walks 435
9.4.4 Exponential bounds on the probability of threshold crossing 436
9.5 Binary hypotheses with IID observations 438
9.5.1 Binary hypotheses with a fixed number of observations 438
9.5.2 Sequential decisions for binary hypotheses 442
9.6 Martingales 444
9.6.1 Simple examples of martingales 444
9.6.2 Scaled branching processes 446
9.6.3 Partial isolation of past and future in martingales 446
9.7 Submartingales and supermartingales 447
9.8 Stopped processes and stopping trials 450
9.8.1 The Wald identity 452
9.9 The Kolmogorov inequalities 453
9.9.1 The SLLN 455
9.9.2 The martingale convergence theorem 456
9.10 A simple model for investments 458
9.10.1 Portfolios with constant fractional allocations 461
9.10.2 Portfolios with time-varying allocations 465
9.11 Markov modulated random walks 468
9.11.1 Generating functions for Markov random walks 469
9.11.2 Stopping trials for martingales relative to a process 471
9.11.3 Markov modulated random walks with thresholds 471
9.12 Summary 472
9.13 Exercises 473

10 Estimation 488
10.1 Introduction 488
10.1.1 The squared-cost function 489
10.1.2 Other cost functions 490
10.2 MMSE estimation for Gaussian random vectors 491
 Contents xiii

10.2.1 Scalar iterative estimation 494

10.2.2 Scalar Kalman filter 496
10.3 LLSE estimation 498
10.4 Filtered vector signal plus noise 500
10.4.1 Estimate of a single random variable in IID vector noise 502
10.4.2 Estimate of a single random variable in arbitrary vector noise 502
10.4.3 Vector iterative estimation 503
10.4.4 Vector Kalman filter 504
10.5 Estimation for circularly-symmetric Gaussian rv s 505
10.6 The vector space of random variables; orthogonality 507
10.7 MAP estimation and sufficient statistics 512
10.8 Parameter estimation 513
10.8.1 Fisher information and the Cramer–Rao bound 516
10.8.2 Vector observations 518
10.8.3 Information 519
10.9 Summary 521
10.10 Exercises 523

References 528
Index 530
Preface

This text has evolved over some 20 years, starting as lecture notes for two first-year
graduate subjects at MIT, namely, Discrete Stochastic Processes (6.262) and Random
Processes, Detection, and Estimation (6.432). The two sets of notes are closely related
and have been integrated into one text. Instructors and students can pick and choose the
topics that meet their needs, and suggestions for doing this follow this preface.
These subjects originally had an application emphasis, the first on queueing and con-
gestion in data networks and the second on modulation and detection of signals in the
presence of noise. As the notes have evolved, it has become increasingly clear that the
mathematical development (with minor enhancements) is applicable to a much broader
set of applications in engineering, operations research, physics, biology, economics,
finance, statistics, etc.
The field of stochastic processes is essentially a branch of probability theory, treating
probabilistic models that evolve in time. It is best viewed as a branch of mathematics,
starting with the axioms of probability and containing a rich and fascinating set of results
following from those axioms. Although the results are applicable to many areas, they are
best understood initially in terms of their mathematical structure and interrelationships.
Applying axiomatic probability results to a real-world area requires creating a prob-
ability model for the given area. Mathematically precise results can then be derived
within the model and translated back to the real world. If the model fits the area suffi-
ciently well, real problems can be solved by analysis within the model. However, since
models are almost always simplified approximations of reality, precise results within the
model become approximations in the real world.
Choosing an appropriate probability model is an essential part of this process. Some-
times an application area will have customary choices of models, or at least structured
ways of selecting them. For example, there is a well-developed taxonomy of queueing
models. A sound knowledge of the application area, combined with a sound knowledge
of the behavior of these queueing models, often lets one choose a suitable model for a
given issue within the application area. In other cases, one can start with a particularly
simple model and use the behavior of that model to gain insight about the application,
and use this to iteratively guide the selection of more general models.
An important aspect of choosing a probability model for a real-world area is that
a prospective choice depends heavily on prior understanding, at both an intuitive and
mathematical level, of results from the range of mathematical models that might be
involved. This partly explains the title of the text – Theory for Applications. The aim is
xvi Preface

to guide the reader in both the mathematical and intuitive understanding necessary in
developing and using stochastic process models in studying application areas.
Application-oriented students often ask why it is important to understand axioms,
theorems, and proofs in mathematical models when the precise results in the model
become approximations in the real-world system being modeled. One answer is that
a deeper understanding of the mathematics leads to the required intuition for under-
standing the differences between model and reality. Another answer is that theorems are
transferable between applications, and thus enable insights from one application area to
be transferred to another.
Given the need for precision in the theory, however, why is an axiomatic approach
needed? Engineering and science students learn to use calculus, linear algebra, and
undergraduate probability effectively without axioms or rigor. Why does this not work
for more advanced probability and stochastic processes?
Probability theory has more than its share of apparent paradoxes, and these show
up in very elementary arguments. Undergraduates are content with this, since they
can postpone these questions to later study. For the more complex issues in graduate
work, however, reasoning without a foundation becomes increasingly frustrating, and
the axioms provide the foundation needed for sound reasoning without paradoxes.
I have tried to avoid the concise and formal proofs of pure mathematics, and instead
use explanations that are longer but more intuitive while still being precise. This is partly
to help students with limited exposure to pure mathematics, and partly because intuition
is vital when going back and forth between a mathematical model and a real-world
problem. In doing research, we grope toward results, and successful groping requires
both a strong intuition and precise reasoning.
The text neither uses nor develops measure theory. Measure theory is undoubtedly
important in understanding probability at a deep level, but most of the topics useful in
many applications can be understood without measure theory. I believe that the level of
precision here provides a good background for a later study of measure theory.
The text does require some background in probability at an undergraduate level.
Chapter 1 presents this background material as a review, but it is too concentrated and
deep for most students without prior background. Some exposure to linear algebra and
analysis (especially concrete topics like vectors, matrices, and limits) is helpful, but the
text develops the necessary results. The most important prerequisite is the mathematical
maturity and patience to couple precise reasoning with intuition.
The organization of the text, after the review in Chapter 1 is as follows: Chapters 2,
3, and 4 treat three of the simplest and most important classes of stochastic processes,
first Poisson processes, next Gaussian processes, and finally finite-state Markov chains.
These are beautiful processes where almost everything is known, and they contribute
insights, examples, and initial approaches for almost all other processes. Chapter 5 then
treats renewal processes, which generalize Poisson processes and provide the foundation
for the rest of the text.
Chapters 6 and 7 use renewal theory to generalize Markov chains to countable state
spaces and continuous time. Chapters 8 and 10 then study decision making and estima-
tion, which in a sense gets us out of the world of theory and back to using the theory.
 Preface xvii

Chapter 9 treats random walks, large deviations, and martingales and illustrates many
of their applications.
Most results here are quite old and well established, so I have not made any effort to
attribute results to investigators. My treatment of the material is indebted to the texts by
Bertsekas and Tsitsiklis [2], Sheldon Ross [22] and William Feller [8] and [9].
Suggestions for instructors and self study

The subject of stochastic processes contains many beautiful and surprising results at a
relatively simple level. These results should be savored and contemplated rather than
rushed. The urge to go too quickly, to sacrifice understanding for shallow bottom lines,
and to cover all the most important topics should be resisted. This text covers all the
material in two full term graduate subjects at MIT, plus many other topics added for
enrichment, so it cannot be ‘covered’ in one term.
My conviction is that if a student acquires a deep understanding of any, say, 20% of
the material, then that student will be able to read and understand the rest with relative
ease at a later time. Better still, a full appreciation of that 20% will make most students
eager to learn more. In other words, instructors have a good deal of freedom, subject to
a prerequisite structure, to choose topics of interest to them and their students to cover
in a one term course.
One of the two MIT courses leading to this text covers Chapters 1, 2, 4, 5, 6, 7,
and 9, skipping many of the more detailed parts of the latter five chapters. The other
course covers Chapters 1, 3, 8, and 10, again omitting many topics. The first course is
largely discrete and the second largely continuous, and a different mix is probably more
appropriate for a student taking only one subject.
The topics in Chapter 1 are largely covered in good elementary probability subjects,
but students are usually better at doing plug and chug exercises on these topics than
having the depth of understanding required by the subsequent topics. Thus instructors
should spend some time reviewing these topics.
It is difficult to be precise about the extent to which one topic is a prerequisites of
another. The table below lists the prerequisites of each section. Most sections have
only one prerequisite, but that recursively includes the prerequisites of the prerequisite.
Instructors and students are encouraged to use their own judgement here.
xx Suggestions for instructors and self study

Sect. Prereq. Sect. Prereq. Sect. Prereq. Sect. Prereq. Sect. Prereq.
1.2 1.1 3.4 3.3 5.6 5.5 7.5 7.2 9.7 9.6
1.3 1.2 3.5 3.4 5.7 5.6 7.6 7.5 9.8 9.7
1.4 1.3 3.6 3.5 5.8 5.7 7.7 7.6 9.9 9.8
1.5 1.4 3.7 3.5 6.1 5.5, 4.3 7.8 7.2 9.10 9.9
1.6 1.5 4.1 1.5 6.2 6.1 8.1 1.8 9.11 9.9
1.7 1.6 4.2 4.1 6.3 6.2 8.2 8.1, 3.3 10.1 1.8, 3.5
1.8 1.7 4.3 4.2 6.4 6.3 8.3 8.2 10.2 10.1
2.1 1.5 4.4 4.3 6.5 6.4 8.4 8.3 10.3 10.2
2.2 2.1 4.5 4.4 6.6 6.5 8.5 8.4 10.4 10.3
2.3 2.2 4.6 4.5 6.7 6.3 9.1 5.5 10.5 10.4, 3.7
2.4 2.3 5.1 1.7, 2.2 6.8 6.3 9.2 9.1 10.6 10.3
2.5 1.2 5.2 5.1 7.1 6.3 9.3 9.2 10.7 10.3
3.1 1.7 5.3 5.2 7.2 7.1 9.4 9.3 10.8 10.3
3.2 3.1 5.4 5.3 7.3 7.2 9.5 9.4, 8.2
3.3 3.2 5.5 5.4 7.4 7.2 9.6 9.5
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