AMApplied Mathematics2152-7385Scientific Research Publishing10.4236/am.2021.123013AM-108076ArticlesPhysics&Mathematics A Stochastic SVIR Model for Measles MoussaSeydou1*OusmaneMoussa Tessa1Department of Mathematics and Informatics, Abdou Moumouni University, Niamey, Niger1103202112032092234, February 202127, March 2021 30, March 2021© Copyright 2014 by authors and Scientific Research Publishing Inc. 2014This work is licensed under the Creative Commons Attribution International License (CC BY). http://creativecommons.org/licenses/by/4.0/

In this article, we consider the construction of a SVIR (Susceptible, Vaccinated, Infected, Recovered) stochastic compartmental model of measles. We prove that the deterministic solution is asymptotically the average of the stochastic solution in the case of small population size. The choice of this model takes into account the random fluctuations inherent to the epidemiological characteristics of rural populations of Niger, notably a high prevalence of measles in children under 5, coupled with a very low immunization coverage.

Measles Compartmental Model SVIR Basic Reproductive Number Markov Chains Lyapunov Function Stochastic Stability Stochastic Simulation Niger
1. Introduction

The measles is caused by a virus belonging to morbillivirus group. It may infect other primates, but is largely specialized on its human host. It is transmitted by direct contact with an infected person or by air  . Upon infection, the patient passes through a latent period of 6 to 9 days, followed by 6 to 7 day infective period . The infection results in either death or full recovery of the host. In the last case, the host develops lifelong immunity. However, immunity can also be acquired by vaccination before infection. Before the introduction of measles vaccine in 1963 and widespread vaccination, major epidemics occurred approximately every two or three years and measles caused an estimated 2.6 million deaths each year . In developing countries, like Niger, measles remains one of the main causes of infant mortality because children under 5 remain the most affected, 90% who die have less than 5 years    . In sub-Saharan Africa, especially in areas where vaccination coverage is not optimal, the case fatality is one of the highest 5% - 10%, compared to that of high-income countries, where we have 1 death in this age group out of 1000 measles cases   .

A fundamental concept that has come out of the measles transmission process is that of the basic reproduction number R0. It is defined as average number of secondary infections produced when one infected individual is introduced into a host population where everyone is susceptible  . R0 is a threshold parameter in the course of the spread of measles disease; indeed, if R0 < 1, the disease will eventually disappear from the population, while if R0 > 1, the disease can spread as an epidemic in the absence of health interventions. In a small, isolated population, a measles epidemic cannot persist   , even if the basic reproduction number is initially greater than 1. Indeed, the spread of the disease subsides at term, due to a progressive immunization of a growing proportion of the population. Thus, in such a context, measles can only be endemic after regular importation of the virus, generally from infected people from large urban centers .

Most model used for infections diseases are the compartmental models, originally introduced by Kermack and Mckendrick and their variants    . They are based on the partition of the population into distinct classes (or compartments) according to its epidemiological status. Host can move from one class to another (transition). In the case of the SIR (Susceptible, Infected, Recovered) model, an infection is the transition which moves an individual from the susceptible class to the infected class and a recovery leads an infected person to the recovered compartment   . In general, the transition rate, which expresses the probability that an individual passes from one class to another per unit of time, depends essentially on the state of the system at a given moment, in particular on the number of individuals in the different compartments and the disease infection force  .

In our SVIR stochastic model, we consider Rp the effective reproduction number, characterizing the vaccination effort to control the spread of the disease, where p is the proportion of newborns vaccinated and immunized. In the total absence of vaccination (p= 0) against measles, we estimate R0 the basic reproduction number   between 10 and 18.

The rest of the paper is organized as follows: Section 2 describes in detail the deterministic model SVIR and the equilibrium points of the system of differential equations of the model. In Section 3, we formulate our stochastic SVIR model by means of the Kolmogorov Forward equations, precisely by means of a system of differential equations of the mathematical expectations of the number of susceptible, infected and immune (recovered and vaccinated). Section 4 is devoted to the study of the asymptotic behavior of our stochastic model, followed by numerical simulations in the fifth section. Finally, in the last section, we discuss our stochastic approach and scientific conclusions.

2. The Deterministic SVIR Model

In what follows, S ( t ) , I ( t ) , R ( t ) denote respectively the number of susceptible, infected and immunized (susceptible vaccinated and recovered patients) at time t.

In this model, the new susceptibles (newborns) are introduced at a constant rate n. A fraction, pn, of newborns has acquired immunity by vaccination. The other fraction ( 1 − p ) n remains susceptible. In addition, we assume that:

· The natural death rate is δ for each compartment.

· Infectious patients recover at the rate of γ.

· Infectious patients have an additional μ death rate from measles.

· We consider the standard incidence f ( I , S ) = β S I , β is the disease transmission coefficient. βis the average probability of an adequate contact (contact sufficient for transmission) between an infected and a susceptible per unit of time.

In Figure 1, a compartmental diagram of the transitions illustrates the relationship between the three classes.

The dynamics of a well-mixed population can be described by the differential equations:

{ d S d t = n ( 1 − p ) − β S I − δ S d I d t = β S I − ( δ + μ + γ ) I d R d t = n p + γ I − δ R (1)

Remark. 1) In the case of equilibrium without disease, the system (1) admits an equilibrium point ( S * 0 , I * 0 , R * 0 ) with

S * 0 = ( 1 − p ) n δ ,     I * 0 = 0       et       R * 0 = n p δ (2)

Setting R 0 = β n δ ( δ + μ + γ ) et R p = ( 1 − p ) R 0 , this equilibrium point is asymptotically stable  if R p < 1 . In addition, we have R p < R 0 et R p < 1 if and only if p > 1 − 1 R 0 . We say that p c = 1 − 1 R 0 is the critical vaccination coverage of newborns.

2) If R p > 1 , an endemic point of equilibrium appears ( S * e , I * e , R * e ) asymptotically stable , where

S * e = δ + μ + γ β ,       I * e = ( R p − 1 ) δ β       et       R * e = n p β + γ δ ( R p − 1 ) δ β (3)

3. The Continuous Stochastic SVIR Model

Let X t = ( S ( t ) , I ( t ) ) t ≥ 0 be a continuous-time homogeneous Markov chain on the denumerable state space ℕ 2 = { 0,1,2, ⋯ } 2 . First, assume that Δ t can be chosen sufficiently small such that at most one change in state occurs during the time interval Δ t . In particular, there can be either a new infection, a birth, a death, or a recovery. From of state { X t = ( s , i ) } , only the following states are accessible:

( s , i ) ; ( s + 1, i ) ; ( s , i − 1 ) ; ( s − 1, i ) ; ( s − 1, i + 1 ) .

corresponding to the possible transitions starting from the state ( s , i ) . (See Figure 2). X t has an absorbing set corresponding to disease-free equilibrium states E 0 = { ( s , i ) , s ≥ 0 ; i = 0 } .

Let V ( s , i ) be the set of neighbors of state ( s , i ) :

V ( s , i ) = { ( s + 1, i ) ; ( s − 1, i + 1 ) ; ( s − 1, i ) ; ( s , i − 1 ) }

Setting τ ( s , i ) = n ( 1 − p ) + β i s + δ s + ( μ + δ + γ ) i , the transition rates are defined by:

τ ( s , i ) , ( k , l ) = { n ( 1 − p ) ( k , l ) = ( s + 1 , i ) , s ≥ 0 , i ≥ 0 β i s ( k , l ) = ( s − 1 , i + 1 ) , s ≥ 1 , i ≥ 0 δ s ( k , l ) = ( s − 1 , i ) , s ≥ 1 , i ≥ 0 ( μ + δ + γ ) i ( k , l ) = ( s , i − 1 ) , s ≥ 0 , i ≥ 1 (4)

The transition probabilities of X t = ( S ( t ) , I ( t ) ) are defined by

P ( s , i ) , ( k , l ) ( Δ t ) = ℙ { X t + Δ t = ( k , l ) / X t = ( s , i ) }

We have ∀ s ≥ 0 ,

P ( s , i ) , ( k , l ) ( Δ t ) = { ∀   i > 0 ,   τ ( s , i ) , ( k , l ) Δ t + o ( Δ t )     if     ( k , l ) ∈ V ( s , i ) 1 − τ ( s , i ) Δ t + o ( Δ t )                             if     ( k , l ) = ( s , i ) ∀   i = 0 ,   P ( s , 0 ) , ( s , 0 ) ( Δ t ) = 1 (5)

The distribution of X t is P s , i ( t ) = 0 if s < 0 or i < 0 and P s , i ( t ) = ℙ { X t = ( s , i ) } if s ≥ 0 , i ≥ 0 . Therefore, the marginal distributions are given by:

ℙ { I ( t ) = i } = ∑ s ≥ 0     P s , i ( t )       and       ℙ { S ( t ) = s } = ∑ i ≥ 0     P s , i ( t )

From the Equation (5), we obtain the Kolmogorov Forward equations, for all s ≥ 0 and i ≥ 0

d P s , i d t = n ( 1 − p ) [ P s − 1 , i − P s , i ] + β [ ( s + 1 ) ( i − 1 ) P s + 1 , i − 1 − s i P s , i ]     + ( μ + γ + δ ) [ ( i + 1 ) P s , i + 1 − i P s , i ] + δ [ ( s + 1 ) P s + 1 , i − s P s , i ] (6)

Hence the system of differential equations verified by the mathematical expectations:

{ d S ¯ d t = ( 1 − p ) n − β S ¯ I ¯ − δ S ¯ − β c o v S I d I ¯ d t = β S ¯ I ¯ − ( μ + δ + γ ) I ¯ + β c o v S I d R ¯ d t = n p + γ I ¯ − δ R ¯ (7)

S ¯ ( t ) = ∑ s = 0 + ∞ ∑ i = 0 + ∞ s P s , i ( t ) ,   I ¯ ( t ) = ∑ s = 0 + ∞ ∑ i = 0 + ∞ i P s , i ( t ) c o v S I ( t ) = ∑ s = 0 + ∞ ∑ i = 0 + ∞ s i P s , i ( t ) − S ¯ ( t ) I ¯ ( t )       and       R ¯ ( t ) = ∑ r = 0 + ∞ r ℙ { R ( t ) = r }

4. Asymptotic Behavior

In this part, we establish that the extinction of the epidemic is done almost surely independently of the number Rp, although this is not a priori guaranteed in infinite dimension.

Let us consider the embedded process ( Y k ) k ∈ ℕ of ( X t ) t ≥ 0 which is a discrete Markov chain representing the sequence of values taken by ( X t ) t ≥ 0 at transition times.

Setting Δ Y k = Y k + 1 − Y k , we have:

ℙ { Δ Y k = ( e 1 , e 2 ) / Y k = ( s , i ) } = { n ( 1 − p ) τ ( s , i ) ,   if   ( e 1 , e 2 ) = ( 1 , 0 ) β s i τ ( s , i ) ,   if   ( e 1 , e 2 ) = ( − 1 , 1 ) δ s τ ( s , i ) ,   if   ( e 1 , e 2 ) = ( − 1 , 0 ) ( μ + γ + δ ) i τ ( s , i ) ,   if   ( e 1 , e 2 ) = ( 0 , − 1 ) (8)

note that τ ( s , i ) = n ( 1 − p ) + β s i + δ s + ( μ + γ + δ ) i .

To establish our results, we need the proposition  and the lemmas     which are obtained according to the proof of the criterion of ergodicity and recurrence of Markov chains, given by Rosenkrantz . These assertions are essentially based on the Lyapunov-Foster ergodicity criterion, which shows that a Markov chain is recurrent positive. This criterion was subsequently extended by Meyn and Tweedie  . The proofs of the lemmas are given in the Appendix.

Proposition 1. Setting s 0   = max ( n ( 1   −   p ) δ , μ   +   γ   +   δ β ) ; D 0   = { ( s , i ) , s   >   s 0 , i   >   0 } ,

D 1 = { ( s , 0 ) , s > s 0 } , D 2 = { ( s 0 , i ) , i > 0 } and let d ( s , i ) = E [ Δ Y k / Y k = ( s , i ) ] be the drift vector and d j ( s , i ) = d ( s , i ) ( s , i ) ∈ D j ,   0 ≤ j ≤ 2 . then

d ( s , i ) = ( n ( 1 − p ) − β s i − δ s τ ( s , i ) , β s i − ( μ + γ + δ ) i τ ( s , i ) ) (9)

Lemma 2. For all j ∈ { 0,1,2 } , we pose d j = d ( s , i ) where ( s , i ) ∈ D j . We denote by ψ = ( n 1 , d 0 ) ^ the angle between n 1 and d 0 , ψ 1 = ( n 1 , d 1 ) ^ the angle between n 1 and d 1 , ψ 2 = ( n 2 , d 2 ) ^ the angle between n 2 and d 2 , where n 1 = ( 0,1 ) and n 2 = ( 1,0 ) .

We have the following results:

1) 0 < ψ < ψ 1 = π 2 < ψ 2 ≤ π .

2) If R p ≤ 1 : s 0 = μ + γ + δ β , ψ 2 = π and π 4 < ψ < ψ 1 = π 2

3) If R p > 1 : s 0 = n ( 1 − p ) δ , π 2 < ψ 2 < π .

Proof: See Appendix.

Definition 4.1. Let ϕ ( r , θ ) = r α cos ( α θ − θ 1 ) where α = 2 ( θ 1 + θ 2 ) π , for all reals r ≥ 0 and θ ∈ [ 0, π 2 ] with

· θ 1 ∈ ] 0, π 4 [ and θ 2 ∈ ] π 2 − θ 1 , π 2 [ , in the case where R p ≤ 1 .

· θ 1 ∈ ] − π 2 , inf ( ψ − π 2 , − π 4 ) [ and θ 2 ∈ ] − θ 1 , π 2 [ , in the case where R p > 1 .

ψ = ( n 1 , d 0 ) ^ is the angle between n 1 and d 0 ,

We say that ϕ is the Lyapounov function intervening in the study of the recurrence-transience of X t .

Remark. If R p ≤ 1 , we obtain 1 < α < 2 , whereas if R p > 1 , 0 < α < 1 .

Lemma 3. Let ϕ be the Lyapounov function. For all reals r ≥ 0 and θ ∈ [ 0, π 2 ] , we have the following results:

1) ∇ ϕ ( r , θ ) ⋅ d 0 < 0 , ∇ ϕ ( r , 0 ) ⋅ d 1 < 0 and ∇ ϕ ( r , π / 2 ) ⋅ d 2 < 0 .

2) There are real constants C0 and C1 such that, uniformly in θ we have:

a) lim sup r → + ∞ r 1 − α ∇ ϕ ( r , θ ) ⋅ d 0 ≤ C 0 < 0

b) lim sup r → + ∞ r 2 − α | D l j ϕ ( r , θ ) | ≤ C 1 and (c) lim sup r → + ∞ ϕ ( r , θ ) = + ∞

3) lim sup r → + ∞ r 1 − α ∇ ϕ ( r , 0 ) ⋅ d 1 ≤ C 0 < 0 and lim sup r → + ∞ r 1 − α ∇ ϕ ( r , π / 2 ) ⋅ d 2 ≤ C 0 < 0

D l j ϕ ( r , θ ) denote the partial derivatives of ϕ ( r , θ ) with respect to x l ( l = 1 , 2 ) and x j ( j = 1 , 2 ) . r and θ are the polar coordinates of x = ( x 1 , x 2 ) .

Proof: See Appendix.

Remark. Let x = ( x 1 , x 2 ) ∈ D j ,0 ≤ j ≤ 2 and A j ( x ) = ( Δ Y k / Y k = x ) ; we obtain

d j ( x ) = E [ A j ( x ) ]       and       A j ( x ) ∈ { ( 1 , 0 ) , ( − 1 , 1 ) , ( − 1 , 0 ) , ( 0 , − 1 ) }

On { Y k = ( s , i ) } we have: ℙ [ ‖ Δ Y k ‖ 2 = 2 ] = β s i τ ( s , i ) = 1 − ℙ [ ‖ Δ Y k ‖ 2 = 1 ] and

E [ ‖ A 0 ( s , i ) ‖ 2 ] = 1 + β s i τ ( s , i ) < 2 ,   E [ ‖ A 1 ( s , i ) ‖ 2 ] = 1 < 2 ,   E [ ‖ A 2 ( s , i ) ‖ 2 ] = 1 < 2

An immediate consequence of the lemma 3 is:

Lemma 4. Let x = ( x 1 , x 2 ) , y = ( y 1 , y 2 ) two vectors of the plane and ‖ x ‖ = x 1 2 + x 2 2 , x ⋅ y = x 1 y 1 + x 2 y 2 .

Then, There are ε > 0 and K > 0 such that

1) If R p > 1 , then ∀   ‖ x ‖ ≥ K , E [ ϕ ( Y k + 1 ) − ϕ ( Y k ) / Y k = x ] ≤ 0 .

2) If R p ≤ 1 , then ∀   ‖ x ‖ ≥ K , E [ ϕ ( Y k + 1 ) − ϕ ( Y k ) / Y k = x ] ≤ − ε .

Proof: See Appendix.

Lemma 5. Let ( Y k ) k ∈ ℕ be the embedded process of ( X t ) t ≥ 0 , which is a discrete Markov chain representing the sequence of values taken by ( X t ) t ≥ 0 at transition times. Then

1) If R p ≤ 1 , then the Markov chain ( Y k ) k ∈ ℕ is positive recurrent.

2) If R p > 1 , then the Markov chain ( Y k ) k ∈ ℕ is null recurrent.

Proof: See Appendix.

We can state now our main results:

Theorem 6. Let T 0 = inf { t ≥ 0 , I ( t ) = 0 } with inf ∅ = + ∞ . Then, for all i ∈ ℕ * , ℙ i [ T 0 < + ∞ ] = 1 and lim t → + ∞ ℙ i [ I ( t ) = 0 ] = 1 .

Proof: This result is a consequence of the lemma 5 and the properties of recurrent Markov chains with nonempty absorbing set of states. (see , Proposition 5-15). It reflects the absorbent nature of the Markov chain. □

Theorem 7. Let T 0 = inf { t ≥ 0 , I ( t ) = 0 } with inf ∅ = + ∞ and ( S * 0 = ( 1 − p ) n δ , I * 0 = 0 , R * 0 = n p δ ) .

If R p ≤ 1 , then (1) E [ T 0 ] = + ∞ and (2) lim t → + ∞ ( S ¯ ( t ) , I ¯ ( t ) , R ¯ ( t ) ) = ( S * 0 , I * 0 , R * 0 ) .

Proof: The first result reflects the positive recurrence obtained from the lemma 5. The second assertion follows from the fact that the Markov chain is absorbent, and once in the absorbing state, the correlation between S ( t ) and I ( t ) is identically zero. Therefore, asymptotically the deterministic equations and the mathematical expectation equations have the same equilibrium points. □

Theorem 8. Let T 0 = inf { t ≥ 0 , I ( t ) = 0 } , inf ∅ = + ∞ and ( S * e = δ + μ + γ β , I * e = ( R p − 1 ) δ β , R * e = n p β + γ δ ( R p − 1 ) δ β )

If R p > 1 , then (1) E [ T 0 ] = + ∞ and (2) lim t → + ∞ ( S ¯ ( t ) , I ¯ ( t ) , R ¯ ( t ) ) = ( S * e , I * e , R * e )

Proof: The first assertion is proved by observing that there are asymptotically two distinct equilibrium points, and necessarily E ( T ) = + ∞ in the case R p > 1 , otherwise the two equilibrium points would be confused by uniqueness of the stationary measure.

The proof of the second assertion is similar to that of the second assertion of Theorem 7. □

5. Simulation

In what follows, we will denote by I ¯ and dI numerical solutions of Equations (7) and (1) respectively. The average of the simulated realizations of the number of infected I ( t ) is denoted by mI. We used MATLAB software for Monte-Carlo simulations and R software for graphics

Let an initial population of S 0 = 100 susceptibles with an initial number of I 0 = 2 infected for the following values of the parameters:

β = 0.69 ;   δ = 0.25 ;   μ = 0.02 ;   γ = 0.5 ;   n = 3.5 ;   p = 0.51 ;   R p = 6.15

In Figure 4, we have the estimate of the covariance c o v S I ( t ) from 50 simulations. Figure 5 give a comparison of I ¯ , dI and mI in the time interval [ 0,26 ] . The time interval is then varied for the same values of the parameters. It appears that for the large values of t, we obtain I ¯ ( t ) ≈ d I ( t ) ≈ I e * , where I e * is the endemic equilibrium of the Equation (1), the expected asymptotic value when R p > 1 .

For the considered values of the parameters, the endemic equilibrium value is I e * = 1.8659 . The simulations gave the following values :

I ¯ ( 26 ) ≈ 1.8648,     d I ( 26 ) ≈ 1.8650,     m I ( 26 ) ≈ 0 (voir Figure 5)

I ¯ ( 52 ) ≈ 1.8650,     d I ( 52 ) ≈ 1.8650,     m I ( 52 ) ≈ 0 (voir Figure 6)

In Figure 3, two sample paths of I ( t ) , their mean and the deterministic solution for the following values:

S 0 = 100 ;   I 0 = 2 ; β = 0.69 ;   δ = 0.25 ;   μ = 0.02 ; γ = 0.5 ;   n = 3.5 ;   p = 0.51 ;   t ∈ [ 0 , 26 ]     et     R p = 6.1

Figure 4 estimated covariance function from 50 sample paths of X t = ( S ( t ) , I ( t ) ) and in Figure 5 Deterministic solution (dI), solution of mathematical expectations ( I ¯ ) and mean of 50 sample paths of I ( t ) (mI) for the following values:

S 0 = 100 ;   I 0 = 2 ; β = 0.69 ;   δ = 0.25 ;   μ = 0.02 ; γ = 0.5 ;   n = 3.5 ;   p = 0.51 ;   t ∈ [ 0 , 26 ] ;   R p = 6.15

In Figure 6 mean of 50 sample paths of I ( t ) and solution of mathematical expectations ( I ¯ ) for previous parameter values are compared to the deterministic solution (dI) over the time interval [ 0,52 ] .

6. Discussions

This paper presents a stochastic compartmental model SVIR of measles. A comparison of our stochastic model with the corresponding deterministic model indicates that the deterministic solution is asymptotically the mean of the stochastic solution. It is well known that mI obtained by random sampling (Monte Carlo methods) before extinction is an estimate of I ¯ . Our result shows that the three trajectories of I ¯ , dI and mI asymptotically coincide. The deterministic solution is the mean of the stochastic solution.

In addition, unlike the deterministic approach, we show that the epidemic is extinguished independently of the threshold Rp with a probability equal to 1. More precisely, if R p ≤ 1 extinction occurs in a time of finite mean, and if R p > 1 the disease eventually disappears in a time of infinite mean.

One of the peculiarities of our model is that the size of the population is not constant and can be quite large. The extinction of the process in this case is not guaranteed unlike in the case where the size of the population is constant. This led us to focus on the probability of absorption of the process.

On the other hand, when R 0 > 1 , it is well known for the constant population SIR model  that the average duration of the epidemic increases exponentially with the size of the population. This fact is confirmed by the assertion 1. of the theorem 8 and the extinction is done in a time of infinite mean when R p > 1 .

7. Conclusions

To understand the dynamics of the system before absorption, a commonly used measure is the quasi-stationary distribution . The term quasi-stationarity refers to the distribution of the Markov chain by conditioning on the event that absorption has not occurred yet. It gives a good measure of the behavior before absorption when the absorption time is very long.

If the set of transient states is finite and irreducible, it is well known that the quasi-stationary distribution exists . But if this set is infinite the existence of a quasi-stationary distribution is not guaranteed, and even if it does exist it is practically impossible to determine it explicitly. To elucidate this situation, an extension of our work would be the study of the process in quasi-stationary regime.

The emergence of epidemics often reveals complex dynamic relationships between susceptible individuals, pathogens and their environments. Complex dynamic relationships that result in seasonal epidemic cycles vary over time . In Niger, recent studies  reveal two main periodicity of measles, a more accentuated annual periodicity, probably due to seasonal agricultural labour migration and a low and unstable periodicity of 2 to 3 years which is partly explained by heterogeneity in vaccination coverage. To account for this aspect of temporal and environmental variability, it would be necessary to extend our study to the analysis of the time series of cases of infection. The stochastic aspect takes better account of these temporal and environmental fluctuations and may provide a framework to improve our understanding of the complex dynamics of measles epidemics.

Conflicts of Interest

The authors declare no conflicts of interest regarding the publication of this paper.

Cite this paper

Seydou, M. and Moussa Tessa, O. (2021) A Stochastic SVIR Model for Measles. Applied Mathematics, 12, 209-223. https://doi.org/10.4236/am.2021.123013

Appendix

Proof of the lemma 2:

The lemma is a consequence of the definition of Rp and of the expressions d 0 , d 1 , d 2 :

d 0   = ( n ( 1 − p ) − β s i − δ s n ( 1 − p ) + β s i + δ s + ( μ + γ + δ ) i , β s i − ( μ + γ + δ ) i n ( 1 − p ) + β s i + δ s + ( μ + γ + δ ) i ) d 1   = ( n ( 1 − p ) − δ s n ( 1 − p ) + δ s , 0 ) d 2   = ( n ( 1 − p ) − β s 0 i − δ s 0 n ( 1 − p ) + β s 0 i + δ s 0 + ( μ + γ + δ ) i , β s 0 i − ( μ + γ + δ ) i n ( 1 − p ) + β s 0 i + δ s 0   + ( μ + γ + δ ) i ) (10)

We can easily determine the signs of the abscissas and ordinates of d j , indeed:

s 0 = max ( n ( 1 − p ) δ , μ + γ + δ β ) ;   R p = β n ( 1 − p ) δ ( μ + γ + δ )

1) d 0 x < 0 < d 0 y ; d 1 x = 0 ; d 2 x < 0 ≤ d 2 y

2) If R p ≤ 1 we have: 0 < d 0 y < − d 0 x ; d 1 x = 0 ; d 2 x < 0 = d 2 y

3) If R p > 1 we have: 0 < d 0 y < − d 0 x ; d 1 x = 0 ; d 2 x < 0 < d 2 y □

Proof of the lemma 3:

In polar coordinates, we have ∇ ϕ ( r , θ ) = α r α − 1 ( cos ( α θ − θ 1 ) , − sin ( α θ − θ 1 ) ) . To establish the result, we distinguish the two cases R p ≤ 1 and R p > 1 .

· If R p ≤ 1 , the angle between d 0 and ∇ ϕ ( r , θ ) is

a ( θ ) = θ 1 − α θ − ( ψ + π 2 − θ ) . From − θ 2 − ψ − π 2 ≤ a ( θ ) ≤ ( θ 1 − ψ ) − π 2 , the

angle between d 1 and ∇ ϕ ( r ,0 ) = α r α − 1   ( cos θ 1 , sin θ 1 ) is equal to a 1   = θ 1   − π . furthermore, we show that the angle between d 2 and ∇ ϕ ( r , π / 2 ) = α r α − 1 ( cos θ 2 , − sin θ 2 ) is equal to a 2 = − θ 2 − π .

The choice of θ 1 and θ 2 allows to have:

− 5 π 4 < θ 1 − π < − 3 π 4 ,   − 3 π 2 < − θ 2 − π < θ 1 − 3 π 2 < − π 2

and for any θ ,   0 < θ < π 2 , we obtain − 5 π 4 < a ( θ ) < θ 1 − 3 π 4 < − π 2 . As a result, we have inequalities cos a 1 < − 2 2 , cos a 2 < cos ( θ 1 − 3 π 2 ) < 0 et cos ( a ( θ ) ) < cos ( θ 1 − 3 π 4 ) < 0 .

· If R p > 1 , we have good θ 1 − ψ − π 2 ≤ a ( θ ) ≤ θ 1 − ψ et a 1 = θ 1 − π .

For d 2 , we find a 2 = − θ 2 − ψ 2 . The choice of θ 1 and θ 2 leads to

− 3 π 2 < θ 1 − π < − π       et       − 3 π 2 < − θ 2 − ψ 2 < − θ 2 − π 2 < − π 2

and for any θ ,   0 < θ < π 2 et − 3 π 2 < θ 1 − ψ − π 2 ≤ a ( θ ) ≤ θ 1 − ψ < − π 2 . Thus

cos a 1 < − 2 2 ,   cos a 2 < cos ( − θ 2 − π 2 ) < 0     et     cos ( a ( θ ) ) < cos ( θ 1 − ψ ) < 0.

definitively, for any value of R p and for any 0 ≤ θ ≤ π / 2 , we deduce that

∇ ϕ ( r , θ ) ⋅ d 0 < 0 ,     ∇ ϕ ( r , 0 ) ⋅ d 1 < 0       and       ∇ ϕ ( r , π / 2 ) ⋅ d 2 < 0. (11)

So the assertions 1; 2. a) et 3. deduce.

To establish the assertion 2. (b), we consider the partial derivatives with respect to x 1 and x 2 of ϕ :

D 1 ϕ = cos θ ϕ r − sin θ r ϕ θ = α r α − 1 cos ( ( α − 1 ) θ − θ 1 ) D 2 ϕ = sin θ ϕ r + cos θ r ϕ θ = α r α − 1 sin ( ( α − 1 ) θ − θ 1 ) (12)

where ϕ r and ϕ θ are the partial derivatives with respect to r and θ of ϕ of Jacobian matrix of ϕ :

D l j ϕ = α ( α − 1 ) r α − 2 ( cos ( ( α − 2 ) θ − θ 1 ) sin ( ( α − 2 ) θ − θ 1 ) − sin ( ( α − 2 ) θ − θ 1 ) cos ( ( α − 2 ) θ − θ 1 ) ) (13)

The assertion 2. (c) follows from the definition of ϕ and the fact that cos ( α θ − θ 1 ) > 0 ; indeed, for any θ ,0 ≤ θ ≤ π 2 we have − π 2 < α θ − θ 1 < π 2 .

Hence the lemma 3. □

Proof of the lemma 4:

The proof is analogous to that of the theorem 3 of . The Taylor formula of the function ϕ is:

ϕ ( x + h ) − ϕ ( x ) = ∇ ϕ ( x ) ⋅ h + R ( x , h )

where h = ( h 1 , h 2 ) and R ( x , h ) = 1 2 ∑ l , j = 1 , 2     D l j ϕ ( x + η h ) h l h j is the remainder of Taylor with 0 < η < 1 .

For l ∈ { 0,1,2 } , when we replace h by A l ( x ) , we get:

E [ ϕ ( Y k + 1 ) − ϕ ( Y k ) / Y k = x ∈ D l ] = ∇ ϕ ( x ) ⋅ d l + E [ R ( x , A l ( x ) ) ]

Applying the lemma 3 and the remark 4, we have

E [ ϕ ( Y k + 1 ) − ϕ ( Y k ) / Y k = x ∈ D l ] = ∇ ϕ ( x ) ⋅ d l + O ( ‖ x ‖ α − 2 )

· If R p ≤ 1 , we have 1 < α < 2 and lim sup ‖ x ‖ → ∞ ‖ x ‖ − α + 1 ∇ ϕ ( x ) ⋅ d l ≤ C 0 < 0 ; Therefore:

∃   ε > 0     and     K > 0 ,   E [ ϕ ( Y k + 1 ) − ϕ ( Y k ) / Y k = x ] ≤ − ε   ∀ ‖ x ‖ ≥ K .

· If R p > 1 , it turns out that 0 < α < 1 , we cannot conclude that

E [ ϕ ( Y k + 1 ) − ϕ ( Y k ) / Y k = x ] ≤ 0   ∀ ‖ x ‖ ≥ K .

What completes the demonstration. □

Proof of the lemma 5:

Let us show the recurrence in the case R p > 1 .

We pose B = { x / ‖ x ‖ ≤ K } , T = inf { k ≥ 0, Y k ∈ B } and Z k = ϕ ( Y k ) I { T > k } where I A denotes the indicator map of A.

Let ( F k ) k ∈ ℕ be the filtration associated to ( Y k ) k ∈ ℕ . Knowing that I { T > k + 1 } ≤ I { T > k } , we can write: E [ Z k + 1 / F k ] ≤ E [ ϕ ( Y k + 1 ) I { T > k } / F k ]

E [ ϕ ( Y k + 1 ) I { T > k } / F k ] = I { T > k } E [ ϕ ( Y k + 1 ) / F k ] ≤ I { T > k } ϕ ( Y k ) = Z k .

In this last expression, the last inequality is obtained from the second assertion of the lemma 4. Thereafter ( Z k ) k ∈ ℕ is a positive supermartingale and therefore ℙ [ lim k → + ∞ Z k = 0 ] = 1 .

On the other hand, because the Markov chain ( Y k ) k ∈ ℕ is irreducible, we have ℙ [ lim sup k → + ∞ ‖ Y k ‖ = ∞ ] = 1 . In this case, on { T = + ∞ } , it follows that

lim k → + ∞ Z k = lim k → + ∞ ϕ ( Y k ) = + ∞ , thus ℙ [ T = + ∞ ] = 0 . In other words, the finite set A is visited an infinite number of times by the Markov chain ( Y k ) k ∈ ℕ , which corresponds to recurrence. Finally, the last assertion of the lemma is a consequence of the first assertion of the lemma 4 and of Foster’s positive recurrence criterion . □

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