Dynkin formula for Brownian motion Created 2026-09-24 Updated 2026-10-14
For a suitable twice differentiable function and an integrable stopping time ,
It is the Dynkin's formula with the Brownian motion generator .
Use the contact process convention that each infected vertex recovers at rate one and sends infection arrows to each neighbour at rate . Starting from a finite set, the process stays finite and is nonexplosive: its total birth rate is at most times its current size, so a linear-rate branching process dominates the number of births. The bound involving presupposes the branching-tree case .
For a nonempty finite infected set , put , let count its internal edges, and let count edges with exactly one endpoint in . Each such boundary edge contributes infection rate , even when several lead to the same vacant vertex. Since the induced graph is a forest, , and the edge boundary of a finite forest in a regular tree gives
A recovery multiplies by , while an infection multiplies it by . Therefore its infinitesimal generator is
Substituting the boundary lower bound gives
At the absorbing empty set the generator is zero, rather than this nonempty-set expression. If , the generator is nonpositive in every state. Both and its generator are bounded, since is bounded and . Applying Dynkin's formula over successive time intervals with the Markov property proves the exponential cardinality supermartingale for the contact process on a tree. In particular,
If is the extinction time, , so . Choosing proves global survival whenever . Obtaining a strict improvement of the threshold requires an additional comparison.
Here is a two-vertex branching comparison for contact-process survival. Delete one edge incident to a starting vertex and retain its forward rooted subtree, so every vertex has children. Partition it into cells as follows: pair each cell root with one distinguished child ; the other children of and all children of become roots of child cells, and repeat recursively. Each cell thus has child cells.
Suppress arrows back from a child cell into its parent, allow each child cell to be activated only once, and let infection inside each two-vertex cell evolve with the usual recoveries and reinfections until both vertices are healthy. A child cell is activated at its root by the first outgoing arrow to it while the corresponding parent vertex is infected. This process is contained in the original infection process under the graphical representation of the contact process: only infection paths have been removed. The Poisson clocks inside a child cell and on its outgoing edges have not previously been used. The Strong Markov property and independence of the clocks therefore make different cells' offspring counts independent and identically distributed. Dependence among different children of the same cell does not matter. The cell genealogy is a Galton-Watson process.
Let be the probability that a cell, initially infected only at , sends an arrow along one specified outgoing edge from before internal extinction. Let be the corresponding probability for one specified outgoing edge from , and let be the probability of success for the first target when both cell vertices are initially infected. First-step conditioning on the three nonempty pair states gives
For example, from the state with only infected, recovery at rate one fails, an internal arrow at rate leads to the two-infected state, and the target arrow at rate succeeds. From the state with only infected, the target cannot be reached until is infected. Symmetry identifies this latter success probability with . Solving these equations yields
By linearity of expectation, the offspring mean is . At the comparison rate ,
These finite-state probabilities are continuous in . Hence some still has . The branching-process extinction criterion gives positive probability of infinitely many activated cells. Nonexplosion prevents infinitely many activations in bounded time, and each activation is connected to its ancestor by an infection path. Thus infection survives for all time on that event. The global survival threshold of the contact process consequently satisfies
Retaining reinfection inside pairs is what supplies the strict improvement; a comparison that permits only one infection per vertex would give merely the non-strict bound.
For the local-survival estimate, set and . Each vertex has one neighbour of weight and neighbours of weight . Recoveries remove their vertex weights. Ignoring the restriction that an infection target must be vacant only increases the birth contribution, so
These weights have finite expectations on finite time intervals: a birth-only branching process with the same spatial arrows has expected weight at most . This justifies localization and the expectation identity for the generator. If , Dynkin's formula and the integrating-factor form of the Gronwall inequality give
For , take , which minimizes and makes it . Starting from then gives
In particular the expected total occupation time of is finite. Its recovery clock has rate one, so the expected number of recovery marks that occur while is infected equals this occupation-time integral and is finite. Each infection episode ends almost surely at a recovery. Infection at unbounded times would therefore require infinitely many such recoveries, an event of probability zero. This height-weighted local extinction bound for the contact process proves
This is a bound for the local survival threshold of the contact process, not just a bound on single-time infection probabilities. For the degree-two tree , the same local conclusion follows by choosing sufficiently close to one for each ; the displayed expression for the global threshold is not a finite numerical assertion in that case.