Motivation
A Markov process is reversible when, in equilibrium, transitions from x to y occur at the
same average rate as transitions from y to x. Algebraically this is the detailed balance
condition π(x)q(x,y)=π(y)q(y,x), and it is the single most useful structural property a
network process can have: it replaces a global linear system by one equation per pair of states,
and it hands you the equilibrium measure as a product of rate ratios rather than as the solution of
anything.
The catch is that detailed balance mentions π, which is exactly what one is trying to find.
Chapter 2 of Richard Serfozo's Introduction to Stochastic Networks (Springer, 1999) removes the
circularity. Kolmogorov's criterion characterizes reversibility by a condition on the rates
alone: around every closed path, the product of the forward rates equals the product of the
backward rates. And the proof is constructive — once the criterion holds, the invariant measure is
π(x)=i=1∏nq(xi,xi−1)q(xi−1,xi)
along any path from a fixed origin x0 to x, the criterion being precisely what makes the
answer independent of the path chosen.
Setting
q(x,y) is a non-negative rate function on a state space E, with the two-way
communication property that q(x,y) and q(y,x) are positive together — a process failing this
is visibly not reversible, since some transition would be possible but its reverse would not. A
path x0,…,xn is a sequence with q(xi−1,xi)>0 throughout, and q is assumed
irreducible: every state is reachable from every other along a path. Write
ρ(x,y)=q(x,y)/q(y,x) for the rate ratio.
q is reversible when some positive π satisfies the detailed balance equations. Such a
π is automatically an invariant measure, the total balance equations being the sum of the
detailed ones.
Formalization targets
Goal — Theorem 2.8, Kolmogorov's criterion and the canonical measure
Three statements are equivalent:
- q is reversible;
- (Kolmogorov's criterion) for every closed sequence x0,…,xn=x0,
i=1∏nq(xi−1,xi)=i=1∏nq(xi,xi−1);
- for every path, ∏i=1nρ(xi−1,xi) depends on the path only through its endpoints.
And when they hold, fixing any origin x0 there is a positive π with π(x0)=1 satisfying
detailed balance and given at every state by the product of ratios along any path from x0.
Supporting levels
The canonical form (2.2), that q is reversible with respect to π exactly when
q(x,y)=γ(x,y)/π(x) for a symmetric non-negative γ; Example 2.1, the birth–death
process with π(x)=∏n=1xλ(n−1)/μ(n); Theorem 2.2, that a process whose
communication graph is a tree is reversible; and Theorem 2.5, the time-reversal criterion, which
identifies a stationary distribution from a candidate reversed rate function without mentioning
reversibility at all.
Significance
The results themselves. Kolmogorov's criterion is the working test. It is how one checks that a
birth–death process, a random walk on a tree, a reversible Jackson network or a Whittle network
with reversible routing is reversible, and it is a finite check on cycles rather than a search for
an unknown measure. The ratio form (iii) is what gets used in practice: it says the product of
ratios along a path is a well-defined function of the endpoints, which is exactly what licenses
defining π by that product.
Theorem 2.2 is the structural special case with no computation at all — a tree has no cycles, so
the criterion is vacuous and reversibility is automatic. Theorem 2.5 points in a different
direction: it identifies a stationary distribution from a guess at the time-reversed rates, and it
is the tool Serfozo uses later to prove the Whittle equilibrium theorem a second way and to
establish that departure processes from networks are Poisson.
Formalizing them. Mathlib has no reversibility theory for Markov processes: no detailed balance,
no Kolmogorov criterion, no time reversal of a rate function. It has SimpleGraph.IsTree, which the
tree item uses, and nothing else that bears on this chapter. The whole apparatus is contributed
here.
Difficulty
The goal is a genuine equivalence with a constructive core, and the three implications are of quite
different character.
(i) ⇒ (ii) is the easy one: multiply the detailed balance equations around the closed
path and cancel the π's, which is legitimate because the π values are positive. Note the
criterion is asserted for arbitrary closed sequences, not only for paths; the two-way property is
what makes both sides vanish together when some rate is zero.
(ii) ⇔ (iii) is a cycle-splicing argument: two paths with the same endpoints
concatenate, one reversed, into a closed path, and the criterion says its forward and backward
products agree, which is the equality of ratio products.
(ii) ⇒ (i) is where the construction lives. Fix an origin x0; irreducibility gives a
path to every state; define π by the ratio product; (iii) makes it well defined; and then
detailed balance at an edge follows by extending a path by that edge. Serfozo's Remark 2.9 gives
the same construction as a recursion over the sets En of states reachable in n steps,
which may be the easier route to organize.
The birth–death item is a telescoping recursion, π(x+1)μ(x+1)=π(x)λ(x), and the
observation that the two families of detailed balance equations — for y=x+1 and for y=x−1 —
are the same family. Theorem 2.2 is a cut argument: removing an edge of a tree splits the state
space into two pieces joined by that edge alone, so the flow balance across the cut is the
detailed balance equation for that edge. Theorem 2.5 is two lines of rearrangement once the sums
are known to converge.
Formalization scope
The state space is an arbitrary type and q is an arbitrary non-negative real rate function;
nothing here needs a process, a measure space or even countability, because reversibility as
Serfozo defines it "applies to any nonnegative rates or probabilities as an algebraic property, not
necessarily associated with a stochastic process". The same statements therefore cover discrete-time
chains with q read as transition probabilities, which is what the book points out.
Paths are functions {0,…,n}→E with positive consecutive rates. A path of length
zero is a single state and its ratio product is the empty product 1, which is consistent with
π(x0)=1.
Kolmogorov's criterion is stated for arbitrary closed sequences, exactly as the book states it,
not only for closed paths. Under two-way communication the two readings agree — if one rate in the
sequence vanishes then so does its reverse and both products are zero — but the book's form is the
one that is directly checkable.
The canonical measure is not defined by a choice function. Instead the conclusion asserts the
existence of a positive π with π(x0)=1 satisfying detailed balance and agreeing with
the ratio product along every path from the origin. That is the content of (2.9) without needing to
pick a path for each state.
Theorem 2.2 is stated for a finite state space. Serfozo assumes the process is ergodic, and the
cut-flow argument then sums the balance equations over one side of the cut; on an infinite state
space that summation needs an integrability condition that the book leaves implicit in
"ergodic". Finiteness makes the rearrangement unconditional and the statement clearly true; the
general case is listed under contributions.
Theorem 2.5 is stated as the conclusion that π satisfies the balance equations, with explicit
summability hypotheses for the three families of sums involved. That π is the stationary
distribution additionally requires it to be normalized and the process to be ergodic, neither of
which is part of the algebraic content.
Contributions welcome beyond the listed items: Theorem 2.4, the characterization of reversibility
by invariance of the finite-dimensional distributions under time reversal; Remark 2.9's recursive
construction of the canonical measure; Theorem 2.22 on reversible network processes with batch
movements; Theorem 2.31 and the partition-reversible processes of Sections 2.8 and 2.9; and the
reversibility criteria for Jackson and Whittle networks in Examples 2.24 and 2.25.
Selected references
- Richard Serfozo, Introduction to Stochastic Networks, Applications of Mathematics 44, Springer,
1999, chapter 2, pp. 44–51; (2.1), (2.2), Example 2.1, Theorems 2.2, 2.5 and 2.8, Remark 2.9.
DOI 10.1007/978-1-4612-1482-3
- A. N. Kolmogoroff, Zur Theorie der Markoffschen Ketten, Mathematische Annalen 112 (1936),
155–160. DOI 10.1007/BF01565412
- F. P. Kelly, Reversibility and Stochastic Networks, Wiley, 1979; reissued Cambridge University
Press, 2011, chapter 1. DOI 10.1017/CBO9781139226424
- P. Whittle, Systems in Stochastic Equilibrium, Wiley, 1986, chapters 1 and 10.