SIAM REVIEW

c 2005 Society for Industrial and Applied Mathematics

Vol. 47, No. 2, pp. 349–365

Critical Percolation on a
Bethe Lattice Revisited∗
Gastão A. Braga†
Rémy Sanchis†
Tiago A. Schieber†

Abstract. We introduce the model of independent percolation on general graphs with emphasis on
the Bethe lattice, for which we prove the existence of a phase transition with the precise
calculation of the critical value, and derive the value of the critical exponents γ and β.

Key words. Bethe lattice, critical exponent, percolation probability, asymptotic behavior

AMS subject classifications. 60A10, 05C90, 60K35

DOI. 10.1137/S0036144503433685

1. Introduction. This paper is an attempt to introduce to undergraduate stu-

dents in the sciences and engineering some concepts from the theory of percolation in
a mathematically consistent way. A background in advanced calculus and probability
at the level of [6] and [9], respectively, is desirable but not mandatory. The paper is
self-contained and written in a “do it yourself” style, with many exercises left to the
reader. Most of the available texts on the subject can be divided into two classes:
those mathematically rigorous [16, 12, 8, 7, 18] but oriented to graduate students;
and those physically appealing [20, 10] but lacking the mathematical rigor needed to
develop a deeper understanding of the theory. We expect this paper to be useful, at
the undergraduate level, to those approaching the subject from either point of view.
The general aspects of the theory will be developed on graphs (see sections 2 and 3),
but computations will be restricted to the Bethe lattice (see sections 4 to 7), where
calculations can be handled. This is in contrast to more general graphs where, usually,
no explicit calculations are possible (see section 3 and exercises therein), although in
recent decades much effort has gone into understanding the theory on general graphs.
After reading the paper, we expect readers to understand the meaning of critical
probability and critical exponents, among other concepts.
Percolation theory was introduced in the early 1950s by Broadbent and Hammer-
sley [5] and has attracted a lot of attention since then. Among its many applications,
the most popular one is probably the flow of a fluid through a porous medium: Sup-
pose that the pores of the medium are connected through channels and that each
channel may be randomly open or closed to the passage of the flow, independently of
the other. Equivalently, a channel is open with probability p and closed with prob-
ability 1 − p, 0 ≤ p ≤ 1. We submerge the medium into a fluid and ask about the
∗ Received by the editors August 25, 2003; accepted for publication (in revised form) December 7,

2004; published electronically April 29, 2005.

http://www.siam.org/journals/sirev/47-2/43368.html
† Departamento de Matemática, UFMG, Caixa Postal 1621, 30161-970, Belo Horizonte, MG, Brazil

([email protected], [email protected], [email protected]).

349
350 GASTÃO A. BRAGA, RÉMY SANCHIS, AND TIAGO A. SCHIEBER

Fig. 1 θ versus p.

probability that the fluid reaches the center. Denote this probability by θ. We say
that the fluid percolates if the probability θ is nonzero. It is intuitively clear that the
probability θ is a nondecreasing function of p and that θ(0) = 0 and θ(1) = 1. The
dependence of θ on p can be measured experimentally, and it looks like Figure 1.
It is apparent that there is a distinguished point, pc , where θ changes from zero to
a nonzero value. We say that there is a phase transition at p = pc characterized by the
change from zero to nonzero values of θ and that pc is the critical probability. Figure
1 suggests that there are examples in which the critical probability is nontrivial, i.e.,
0 < pc < 1. We will study such an example in section 3, where we define the function
θ properly, give a mathematical definition of pc , and show the existence of a phase
transition for models on Bethe lattices (see Definition 2.5 of a Bethe lattice). In
section 5, we will find an expression for pc . The behavior of the model around p = pc
is what we call critical percolation. Figure 1 suggests that θ is continuous at pc , i.e.,
that θ approaches zero as p approaches pc from above. When the approach is of the
form

(1) θ(p) ≈ (p − pc )β as p ≈ pc , p > pc ,

we say that β is a critical exponent. In section 6 we prove some properties of θ, and

based on them, in section 7 we prove the existence of the exponent β and that β = 1
for any Bethe lattice.
2. Graphs and Bethe Lattices. In this section we introduce the notion of a graph
and give some definitions which will be useful later on. The Bethe lattice is a special
graph and is introduced in this section. See [4] for further reading.
Definition 2.1. A graph G is a pair (V, E), where V is a set of points, which
we call vertices, and E is a set of nonordered pairs of distinct vertices, which we call
edges.
An edge e ∈ E is denoted by x, y, where x and y are the endpoints. A subgraph
G of a graph G = (V, E) is a pair (V  , E ), where V  ⊂ V , E ⊂ E, and the endpoints
of edges in E are in V  . The coordination number of a vertex x is the number of edges
that have x as an endpoint. A graph can be embedded in R3 , but we may represent
it in R2 if we allow crossing of edges (see Figure 2).
Exercise 2.1. Write down the sets V and E for the graph in Figure 2.
Exercise 2.2. Convince yourself that the pair (Zd , Bd ), where Zd is the set of
d-dimensional vectors with integer entries and where Bd is the set of edges x, y such
 CRITICAL PERCOLATION ON A BETHE LATTICE REVISITED 351

8 7

1 6

2 5

3 4
Fig. 2 A two-dimensional representation of a graph G.

that i |xi − yi | = 1, is a graph. Can you give other examples of graphs having Zd as
vertices?
Remark. It is usual to represent the graph (Zd , Bd ) just by Zd . This is known as
the d-dimensional lattice. A vertex of Zd is usually called a site, while an edge is a
bond.
A path is a finite set of edges {e1 , e2 , . . . , en }, ei = xi , xi+1  such that all vertices
x1 , . . . , xn+1 are distinct from one another (see Figure 6(a)). We say that the path
begins at x1 and ends at xn+1 . A circuit is a path {e1 , e2 , . . . , en } such that x1 = xn+1 .
A graph is acyclic if it has no circuits. We say that two vertices z and w are connected if
there is a path {e1 , e2 , . . . , en } such that x1 = z and xn+1 = w for some 0 ≤ i, j ≤ n+1.
A graph is finite if it has finitely many vertices and edges; it is infinite otherwise.
Definition 2.2. A graph G is said to be connected if any two of its vertices are
connected.
Exercise 2.3. Regarding the graph G of Figure 2, how many distinct paths
connect vertices 1 and 5? How many circuits start and end at vertex 8? What is the
coordination number of the vertices 1, 2, and 3? G is finite. Can you give an example
of an infinite graph?
Definition 2.3. A graph isomorphism from a graph G to a graph H is a bijection

σ : VG → VH

such that v1 , v2  ∈ EG if and only if σ(v1 ), σ(v2 ) ∈ EH . Two graphs G and H are
said to be isomorphic if there exists a graph isomorphism from G to H.
Exercise 2.4. Prove that if σ is a graph isomorphism from G to H, then the
vertex bijection σ : VG → VH preserves the coordination number of each vertex.
Definition 2.4. A tree is a connected graph with the property that there exists
a unique path connecting any two of its vertices (see Figure 3).
Exercise 2.5. Show that a graph is connected and acyclic if and only if it is a
tree.
352 GASTÃO A. BRAGA, RÉMY SANCHIS, AND TIAGO A. SCHIEBER

Fig. 3 A tree.

o
1 2

Fig. 4 Levels on the Bethe lattice B3 .

The distance between two vertices of a graph is the minimum number of edges
needed to connect them by a path. We denote the distance between vertices x and y
by |x − y|.
Exercise 2.6. Show that, on a tree, the distance between two vertices x and y is
exactly the number of edges in the unique path connecting x and y.
Definition 2.5. A Bethe lattice is an infinite tree where each vertex has the
same coordination number r except for one whose coordination number is r − 1. This
particular vertex is the root or origin of the lattice.
The Bethe lattice was introduced by H. A. Bethe [3] in 1935 within the context
of statistical mechanics. Since then it has been used as an approximation for models
in high dimensions. We denote by Br the Bethe lattice with coordination number r
(see Figure 4 for B3 ). On Br , the distance of any vertex x to the origin is also known
as the level of the vertex and is denoted by l(x). For instance, in Figure 4, l(x) = 2,
while l(y) = 3.
Exercise 2.7. Show that the positive one-dimensional lattice Z+ is isomorphic
to the Bethe lattice B2 .
It is usual to consider a subgraph Br (L) of Br , made of vertices x such that
l(x) ≤ L and of edges connecting such vertices. Br (L) is said to be a “finite volume”
Bethe lattice. The boundary of Br (L) is the set of vertices at level L, while the surface
area Sr (L) is the number of vertices in the boundary. The volume Vr (L) of Br (L) is
the number of vertices in Br (L).
 CRITICAL PERCOLATION ON A BETHE LATTICE REVISITED 353

Exercise 2.8. Show by induction that the number of vertices at the kth level
of a Bethe lattice is exactly (r − 1)k , k = 0, 1, . . . , L. In particular, conclude that
Sr (L) = (r − 1)L .
Exercise 2.9. Show that
(r − 1)L+1 − 1
Vr (L) = .
r−2
Exercise 2.10. Conclude from the above exercises that
Sr (L) (r − 2)
lim = .
L→∞ Vr (L) (r − 1)

Therefore, we conclude from Exercise 2.10 that if r > 2, then the surface area
and the volume of a finite volume Bethe lattice grow at the same rate as L → ∞. In
Zd or Rd one would expect the surface area to grow more slowly than the volume.
For instance, let ΛL = {x ∈ Zd ; |xi | ≤ L} be a finite box in Zd and let ∂ΛL =
{x ∈ Zd ; |xi | = L for some i = 1, . . . , d} be its boundary. The surface of ΛL is
S(L) = 2d(2L)d−1 and its volume is V (L) = Ld , so that [S(L)/V (L)] = (2d/L) → 0
as L → ∞. On the other hand, if we allow L to depend on the space dimension d,
as, for instance, L = α d, and if we let d → ∞, then, again for the d-dimensional
cube, [S(L)/V (L)] → (2/α). Therefore, models on a Bethe lattice are viewed as
approximations for behavior in very high space dimensions.
3. Percolation on Graphs. In this section we will define the percolation model
on an arbitrary connected graph G. First we define the percolation model on a finite
graph. In particular, we define what we mean by occurrence of percolation on a finite
box of Zd . Then, we extend the percolation model to an infinite graph.
Consider an arbitrary finite connected graph G. Let 0 < p < 1. Suppose that you
can close or let open the edges of this graph with probability p or 1 − p, respectively.
So, we introduce the random variables ωe , e ∈ E, that assume the value 1 with
probability p (meaning that the edge e remains open) or the value 0 with probability
1 − p (meaning that the edge e becomes closed). We assume that the states of
the edges are independent of each other. In particular, {ωe }e∈E is a collection of
independent, identically distributed Bernoulli-p random variables. In this way we
obtain the independent percolation model on the edges1 of the graph G, called the
bond percolation model.
On a finite graph, a configuration ω of this model can be seen as a vector with as
many entries as the number of edges of G, each entry being 0 or 1. More specifically,
a configuration ω is a point of the set Ω = {0, 1}E , the Cartesian product of {0, 1}
with itself as many times as the number of edges of G. Ω is known as the space
of configurations. On this graph G we can define the probability of occurrence of a
configuration ω:
(2) Pp (ω) = p|Oω | (1 − p)|Fω | ,
where |Oω | and |Fω | are the number of open and closed edges of ω, respectively.
Exercise 3.1. Consider a percolation model defined on a 6 × 6 two-dimensional
lattice. Open edges are represented by line segments. In terms of p, compute the
probability of the occurrence of each one of the configurations given in Figure 5.
1 One can also define an independent percolation model on the vertices of G, instead of edges.

We just have to associate a random variable ωx with each vertex x, which assumes the value 1 with
probability p and the value 0 with probability 1 − p. This is known as site percolation.
354 GASTÃO A. BRAGA, RÉMY SANCHIS, AND TIAGO A. SCHIEBER

Fig. 5 Three distinct configurations on a 6 × 6 lattice.

More generally, one can define the probability of subsets of Ω. Let A ⊂ Ω be the
set of configurations A = {ω1 , . . . , ωn }. Then the probability of occurrence of A is


n
(3) Pp (A) = Pp (ωi ).
i=1

In particular, one has the following:

1. Pp (∅) = 0 and Pp (Ω) = 1;
2. for any collection A1 , . . . , Ak of pairwise disjoint subsets of Ω,
 k 
 k
(4) Pp Ai = Pp (Ai ).
i=1 i=1

Exercise 3.2. Use the binomial theorem to prove that Pp (Ω) = 1.

We can now define what is meant by occurrence of percolation in the context of
finite boxes2 ΛL of Zd . Let ΘL be the set of configurations

(5) ΘL = {ω ∈ Ω; 0 is connected to a site in ∂ΛL }.

Definition 3.1. We say that percolation occurs in ΛL and at probability p if

Pp (ΘL ) > 0.
One can check from (2) that if G is a finite graph and if 0 < p < 1, then any
configuration has a nonzero probability of occurrence. One can also check that, for any
finite box ΛL , ΘL is a nonempty set. It follows from these remarks that Pp (ΘL ) > 0 for
any finite box and for any p ∈ (0, 1]. In particular, the probability that percolation
occurs is always nonzero, suggesting that pc (see Figure 1) is zero (since θ = 0 if
p = 0 and θ > 0 if p > 0). This shows that a percolation model on a finite graph
is not suitable to reproduce the critical phenomenon mentioned in the introduction.
Therefore, in order to get a nonzero value for pc , we must consider models defined
on infinite graphs. We must be careful, though, since the maximal probability of a
configuration on a graph of k edges is equal to (p̄)k , where p̄ = max{p, 1 − p}, and
it goes to zero when the number of edges grows to infinity, making it impossible to
assign a nonzero probability value to a single configuration on an infinite graph. We
are led to define the probability of more general sets of configurations.
A subset of Ω that contains all of the configurations with specified states on a finite
number of edges is known as a cylinder set. Any cylinder set is of the form {ω ∈ Ω :
2 We observe that the same definition holds for finite Bethe lattices Br (L).
 CRITICAL PERCOLATION ON A BETHE LATTICE REVISITED 355

ωei = σei ∀ i = 1, . . . , n} ≡ C({σe1 , . . . , σen }), where n is a positive natural number,

σei = 0 or 1 for i = 1, . . . , n, and the values σe1 , . . . , σen are given beforehand. Due to
the independence among the states of the edges, it is easy to compute the probability
of a cylinder set. Let |Oσ | and |Fσ | be the number of open and closed edges of
{σe1 , . . . , σen }, respectively. Equivalently, |Oσ | is the number of σ’s equal to 1 and
|Fσ | is the number of σ’s equal to 0. Then

(6) Pp (C({σe1 , . . . , σen })) = p|Oσ | (1 − p)|Fσ | .

Observe that the above formula gives the probability for the occurrence of a set of
configurations on the graph G, whether or not the graph is finite. In particular, if G is
a finite graph having n edges, then C({σ1 , σ2 , . . . , σn }) contains a single configuration
and (6) reduces to (2).
Exercise 3.3. Show that the finite intersection of cylinder sets is a cylinder set.
To proceed with our discussion, we should define what the occurrence of percola-
tion means in the context of an infinite graph. Let x be a vertex of G. The (random)
set of G that contains all vertices which are connected to x by a path of open edges
is called the open cluster at x and we denote it by C(x). The number of vertices of
C(x) is denoted by |C(x)|. We also denote by C the open cluster at the origin (see
Figure 6(b)). In analogy with the definition of ΘL (see (5)), we define Θ to be the set

Θ = {ω ∈ Ω; |C| = ∞}.

Exercise 3.4. Explain why Θ is not a cylinder set.

For infinite graphs, we want to extend the definition of Pp to include more subsets
of Ω than just the cylinder sets. In particular, we wish to assign a probability to Θ
(which, by Exercise 3.4, is not a cylinder set).
Due to Exercise 3.3, we can define, for any finite collection of cylinder sets
{C1 , . . . , Cn }, the probability of occurrence of their union:

Pp (∪ni=1 Ci ) = Pp (Ci )
1≤i≤n
(7) 
− Pp (Ci ∩ Cj ) + · · · + (−1)n+1 Pp (C1 ∩ · · · ∩ Cn ),
1≤i<j≤n

which is just the inclusion-exclusion formula. We notice that, as for finite graphs,
Pp (∅) = 0, Pp (Ω) = 1, and (4) remains valid for a disjoint union of cylinder sets.
Let A be the family of all possible finite unions of cylinder sets. By (7), a proba-
bility can be assigned to all sets in A.
Exercise 3.5. Show that A is an algebra of sets, i.e.,
1. ∅, Ω ∈ A;
2. if A ∈ A, then the complement n A ∈ A;
c

3. if A1 , A2 , . . . , An ∈ A, then k=1 Ak ∈ A.
A is known as the algebra generated by the cylinder sets. But the algebra A is
not satisfactory yet, as we can see by solving the next exercise.
Exercise 3.6. Explain why, on an infinite graph, Θ is not in A.
Since our goal is to assign a probability of occurrence to Θ, we need to extend Pp
to an even larger collection of subsets of Ω. For this we rely on some rather highly
technical mathematical machinery, the Carathéodory theorem, which can be used to
extend Pp from the algebra A to the so-called σ-algebra generated by A.
356 GASTÃO A. BRAGA, RÉMY SANCHIS, AND TIAGO A. SCHIEBER

Definition 3.2. A family F of subsets of a set Ω is said to be a σ-algebra if

∞ 1 and 2 of Exercise 3.5 are satisfied and if (Fn ) is a sequence of sets in F,
conditions
then n=1 Fn ∈ F.
∞ Exercise 3.7. Prove that if (Fn ) is a sequence of sets in the σ-algebra F, then
n=1 Fn ∈ F.
Given the family A of subsets of Ω, we can generate the smallest σ-algebra con-
taining A by taking the intersections of all σ-algebras containing A. This smallest
σ-algebra is often called the σ-algebra generated by A and it will contain, in particular,
all countable unions of sets in A.
Exercise 3.8 (challenging exercise). Let F be the σ-algebra generated by the
cylinder sets on Zd . Consider the sets Θn = {0 is connected to the boundary of Λn },
n = 1, 2, . . . . By a limit procedure, show that Θ is in F.
Definition 3.3. A nonnegative set function P (.) defined on a σ-algebra F of
subsets of Ω is a probability measure (or a probability) if
1. P (Ω) = 1;
2. for every pairwise disjoint countable collection {Fk } of sets in F,
 
 
(8) P Fk = P (Fk ).
k k

Remark. Let F be the σ-algebra generated by the algebra A of cylinder sets.

We have already seen that (6) can be extended to a probability Pp (·) on A. Then
the Carathéodory extension theorem (see [19, p. 257]) allows us to extend Pp (·) to a
unique probability measure on F.
The probability Pp (·) is known as the percolation process. In measure theory
language, we have generated a probability space that consists of a triple (Ω, F, Pp )
and, in the rest of the paper, we will work on this space.
Exercise 3.9. Let A, B ∈ F. Using (8), prove that Pp (A) ≤ Pp (B) if A ⊂ B.
Exercise 3.10. Let A1 , A2 ∈ F. Prove that Pp (A1 ∪ A2 ) ≤ Pp (A1 ) + Pp (A2 ).
Generalize this exercise to A1 , A2 , . . . , An ∈ F.
Definition 3.4. An element of F is an event. Two events are said to be inde-
pendent if their occurrence depends on disjoint sets of edges.
If A and B are independent, then it is possible to prove that
(9) Pp (A ∩ B) = Pp (A) · Pp (B).
We can also define the expected value with respect to the probability measure Pp
of an ω-dependent function. For instance, fix a finite set of edges E = {e1 , . . . , ek }
and suppose that f (ω) depends only on the edges in E. Then the expected value, or
the integral, of f is defined as follows:

(10) Ep (f ) = f (σ1 , . . . , σk )Pp (ω ∈ Ω : ωi = σi ∀ i = 1, . . . , k).
{σ1 ,...,σk : σi =0,1}

By a limiting procedure, the notion of expected value can be extended to functions

g that depend on an infinite number of variables. The procedure reduces to approxi-
mating g by functions of many variables and then taking limits. We will assume that
this has been done (but see [19, p. 225]).
Exercise 3.11. Let f be a function that depends only on ωe , for a fixed edge e.
Compute its expected value as a function of p. Do the same exercise for a function
depending only on ωe1 and ωe2 , for fixed edges e1 and e2 .
 CRITICAL PERCOLATION ON A BETHE LATTICE REVISITED 357

O
Y

(a) (b)

Fig. 6 (a) An open path connecting x and y for a given configuration. (b) The open cluster at the
origin for a given configuration.

y y

x x
(a) (b)

Fig. 7 (a) A 2 × 2 lattice. (b) A 2 × 3 lattice.

We end this section with some exercises which will be useful in what follows.
Exercise 3.12. Let Γ be a path on a graph G where a bond percolation model
has been defined. Show that {ω ∈ Ω : Γ is open} is a cylinder set and compute its
probability.
Exercise 3.13. Let G be a graph with an countable set of edges and let {x ←→
y} ≡ {ω ∈ Ω : there exists an open path connecting x and y}. Show that this set is
an event (see Figure 6(a)). Is it a cylinder set?
Exercise 3.14. Given any natural number n ≥ 1, show that {ω ∈ Ω : |C| =
∞} ⊂ {ω ∈ Ω : |C| ≥ n}.
Exercise 3.15. Given the lattice in Figure 7(a), compute the probability that x
will be connected to y. Do the same exercise for the lattice in Figure 7(b).
4. Computation of Probabilities on a Bethe Lattice. From now on we will
restrict ourselves to the Bethe lattice Br . We recall that the computation of the
probability in Exercise 3.15 gets harder as we increase the size of the lattice because
the number of open paths connecting the origin O to x increases as the size of the
lattice increases. Working on a Bethe lattice avoids this complication, allowing us to
compute many interesting quantities explicitly. We point out that the study of the
percolation on a Bethe lattice was started by Flory [11] in 1941.
The connectivity function, denoted by τxy (p), measures the probability that the
vertices x and y will be connected by an open path, i.e., τxy (p) = Pp ({x ←→ y}).
358 GASTÃO A. BRAGA, RÉMY SANCHIS, AND TIAGO A. SCHIEBER

Proposition 4.1. On Br ,

(11) τxy (p) = p|x−y| .

Proof. From the tree structure of Br , there is only one way to connect x to y by
a path of edges starting at x and ending at y. Let us denote this path by Γxy . It is
clear that

{x ←→ y} = {Γxy is open}.

Therefore, τxy (p) = Pp ({Γxy is open}) = p|x−y| .

Exercise 4.1. Try to compute τxy (p), where x and y are nearest neighbors, on
the lattice Z2 . Can you write it in closed form? Why not?
Remark. We have already seen in Exercise 2.10 that the Bethe lattice Br has
a peculiar behavior as the infinite volume limit is taken. The percolation model on
Br has some peculiarities too. For instance, the connectivity function on Br decays
exponentially fast as |x − y| → ∞ for all p < 1. This can be seen from (11) since
τxy (p) = exp(−|x − y|/ζ), with ζ(p) ≡ (− ln p)−1 . The function ζ is usually referred
to as the correlation length. Therefore, on a Bethe lattice, the correlation length is
finite for all 0 < p < 1, while, on Zd , the correlation length blows up as p approaches
pc from below.
The percolation probability, denoted by θ(p), measures the probability that the
open cluster at the origin will be infinite, i.e., θ(p) = Pp ({|C| = ∞}).
Proposition 4.2. On Br ,
1
(12) θ(p) = 0 ∀ p; p< .
r−1
Proof. For all n ≥ 1,

{|C| = ∞} ⊂ ∪{x: l(x)=n} {0 ←→ x}.

Then, from Proposition 4.1, Exercise 3.10, and the above inclusion,

(13) θ(p) = Pp ({|C| = ∞}) ≤ Pp ({0 ←→ x}) = (r − 1)n pn ,
{x: l(x)=n}

where, in the last equality, we have used Exercise 2.8 to conclude that

1 = (r − 1)n .
{x: l(x)=n}

Assuming that p < (r − 1)−1 , we take the limit n → ∞ and get the result.
Proposition 4.2 allows us to define a critical probability, denoted by pc , as being
the largest value of p below which θ(p) = 0:

(14) pc ≡ sup{p ≥ 0 : θ(p) = 0}.

It is clear that pc ≤ 1. From (12) we have that pc ≥ (r − 1)−1 . Therefore,

0 < pc ≤ 1 for any r ≥ 2.
Exercise 4.2. Show that pc = 1 if r = 2.
The meaning of the above exercise is that, if r = 2, then the infinite cluster at
the origin will show up only at p = 1. It is natural to ask whether there are values
 CRITICAL PERCOLATION ON A BETHE LATTICE REVISITED 359

of r for which pc is less than 1. In section 5 we will show that pc = (r − 1)−1 , so

that 0 < pc < 1 for any r ≥ 3. The critical probability pc and the function θ play
the same role that the critical temperature and the magnetization, respectively, play
in magnetic systems. We say that there is a phase transition3 at pc . The function θ
is viewed as the order parameter for this transition: θ = 0 indicates the subcritical
region p < pc while θ > 0 indicates the supercritical region p > pc . As suggested by
Figure 1, we will show below that θ(pc ) = 0 (see Corollary 5.2) but, even so, pc is not
considered as a point in the subcritical region. Instead, pc is a special point around
which functions behave in a special way.
There are other possibilities for defining a critical probability. This can be done
by introducing the function expected cluster size (also known as susceptibility), χ(p) ≡
Ep (|C|).
Proposition 4.3.

(15) χ(p) = τ0x (p).
x∈Br

Proof. Let 10x (ω), ω ∈ Ω, denote the characteristic function of the event {0 ←→
x}, i.e., 10x (ω) = 1 if ω ∈ {0 ←→ x} and 10x (ω) = 0 otherwise. Then, for each ω ∈ Ω,
the size of the open cluster at the origin can be written as

|C(ω)| = 10x (ω).
x∈Br

Taking expected values on both sides and observing that Ep (10x (ω)) = τ0x (p), we get
the result.
The susceptibility function χ(p) may be explicitly computed, as the next propo-
sition shows.
Proposition 4.4. On Br ,

(1 − (r − 1)p)−1 if p < r−1
1
,
(16) χ(p) =
∞ otherwise.

Proof. From Proposition 4.1 and from identity (15), we have that

χ(p) = τ0x (p)
x∈Br
   
= pl(x) = pl(x) = (r − 1)l pl .
x∈Br l≥0 {x∈Br :l(x)=l} l≥0

Now, the result comes from the last sum since it is convergent if and only if
p < (r − 1)−1 .
Proposition 4.4 allows us to define another critical probability, which we will
denote by πc :

(17) πc ≡ inf{p : χ(p) = ∞}.

From the identity (16) and from definition (17) it is clear that πc = (r − 1)−1 .
Comparing the above definition with (14) we conclude that pc ≥ πc . From the results
3 We have already observed that, for the percolation model on Zd , the correlation length ζ(p)

blows up as we approach pc from below. This behavior characterizes a second-order phase transition
at pc .
360 GASTÃO A. BRAGA, RÉMY SANCHIS, AND TIAGO A. SCHIEBER

in the next section we will get the equality between the two definitions, i.e., pc = πc .
This result4 is important because it does not allow for the possibility of an intermediate
phase where χ(p) = ∞ but θ(p) = 0 for πc < p < pc .
From the representation formula (16) for χ(p), p < (r − 1)−1 , we conclude that
χ(p) → ∞ as p approaches pc from the left. An interesting question is to find out at
which rate χ approaches ∞. If there is an exponent γ > 0 such that the limit

lim (pc − p)γ χ(p)

p→p−
c

exists and is nonzero, then γ is said to be the critical exponent for χ(p).
Exercise 4.3. In the next section we will prove that pc = πc . Using this fact,
show that
pc
χ(p) =
pc − p

for p < pc and for any r ≥ 2. Conclude that γ = 1 for any r ≥ 2.

Remark. We have already informally introduced the exponent β; see (1). It is a
harder task to prove that β = 1. This will be done in section 7.
5. pc = (r − 1)−1 on the Bethe Lattice Br . In this section we will show that
θ(p) > 0 for all p > (r − 1)−1 . Using the definition (14) of pc , this result implies
that pc ≤ (r − 1)−1 and therefore that pc = (r − 1)−1 because we already know from
Proposition 4.2 that pc ≥ (r − 1)−1 .
Let C denote the open cluster at the origin of Br . Noting that r − 1 branches
pop up from the origin, we denote by Ci the connected component of C that is fully
contained in the ith branch (for r = 3 we have two branches (1 and 2); see Figure 4).
Exercise 5.1. Show that

r−1
{|C| < ∞} = {|Ci | < ∞}
i=1

and conclude that

 
Pp ({|C| < ∞}) = Pp {|C1 | < ∞} {|C2 | < ∞} ··· {|Cr−1 | < ∞} .

Exercise 5.2. Show that the events {|Ci | < ∞} and {|Cj | < ∞}, i = j, are
independent.
Define Qi ≡ Pp ({|Ci | < ∞}) and observe that, by symmetry, Qi = Qj = Q for
all i = j. Furthermore, since the events {|Ci | < ∞} and {|Cj | < ∞} are independent
for all i = j, we have that

 
Pp {|C1 | < ∞} {|C2 | < ∞} · · · {|Cr − 1| < ∞}

r−1
(18) = Pp ({|Ci | < ∞}) = Qr−1 .
i=1

4 It is a hard task to prove that π = p for other graphs. In the mid-1980s, Menshikov and
c c
Sidorenko [17] and Aizenman and Barsky [1] independently proved the result for translation-invariant
lattices in general dimensions (in particular, they proved it for Zd ).
 CRITICAL PERCOLATION ON A BETHE LATTICE REVISITED 361

Fig. 8 Graphs of f and g for various values of p.

Since 1 − θ(p) = Pp ({|C| < ∞}), from (18) we have

(19) 1 − θ(p) = Qr−1 .

In order to compute Q, we fix a branch emerging from the origin, say, the leftmost
one, denoted by C1 , and perform the calculations from this branch. We note that this
branch consists of a distinguished edge e1 attached to a graph which is isomorphic to
the original Bethe lattice. Let C̃i be the connected component of this graph that is
fully contained in the ith branch. Then

  
(20) Q = Pp {ωe1 = 0} {ωe1 = 1} ∩ {|C˜1 | < ∞} ∩ · · · ∩ {|C̃r−1 | < ∞} .

Using the facts that the events {ωe1 = 0} and {ωe1 = 1} are disjoint, that
the events {ωe1 = 1} and {|C̃i | < ∞}, i = 1, . . . , r − 1, are independent, and that
Pp ({|Ci | < ∞}) = Q = Pp ({|C̃j | < ∞}), from (20) we get

(21) Q = (1 − p) + pQr−1 .

Replacing (19) in (21), we finally get

(22) 1 − θ = (1 − pθ)r−1 .

Equation (22) is our starting point (see [20, 10]). It defines θ implicitly as a
function of p, for p > 0. Observe that θ = 0 is always a solution to (22). We will
show below that (22) has a unique nonzero solution θ if and only if p > (r − 1)−1 .
Theorem 5.1. Suppose that r ≥ 3. Then (22) has a unique nonzero solution if
and only if p > (r − 1)−1 .
Proof. Let f (θ) ≡ 1 − θ and g(p, θ) ≡ (1 − pθ)r−1 . Equation (22) is satisfied if
and only if f (θ) = g(p, θ). In order to prove the assertion, we use a graphical method.
We fix the value of p < 1 and, by analyzing the graphs of f and g (see Figure 8)
as functions of θ, for θ in the interval [0, 1], we conclude that they cross at a unique
nonzero value of θ if and only if p > (r − 1)−1 .
First, note that the graph of f (θ) is a straight line with slope −1 and y-intercept
1. Now, since f (0) = g(p, 0) = 1 for any p > 0, the graphs of f and g, taken as a
function of θ only, both start at the same value. On the other hand, at θ = 1, f is
below g since f (1) = 0 < (1 − p)r−1 = g(1). The θ-derivative of g is equal to

∂g(p, θ)
= −p(r − 1)(1 − pθ)r−2 .
∂θ
362 GASTÃO A. BRAGA, RÉMY SANCHIS, AND TIAGO A. SCHIEBER

It is negative for θ ∈ [0, 1). Therefore, g is a decreasing function of θ and, at θ = 0,

  
∂g  > −1 if p < (r − 1)−1 ,
(23) = −1 if p = (r − 1)−1 ,
∂θ 
θ=0 < −1 if p > (r − 1)−1 .
The second θ-derivative of g, which is given by
∂2g
(24) = p2 (r − 1)(r − 2)(1 − pθ)r−2 ,
∂θ2
is positive, if r ≥ 3, throughout the region we are interested in, so the first derivative
of g is strictly increasing.
From the monotonicity of g and from the comparison between its θ-derivative at

the origin (see identity (23)) and −1 = f (0), we conclude that when p ≤ (r − 1)−1 ,
the graph of g is above the graph of f and the origin is the only point where the
graph of g intercepts the graph of f . On the other hand, when p > (r − 1)−1 , the
graph of g is below the graph of f , at least for values of θ close to zero. Since
g(p, 1) = (1 − p)r−1 ≥ 0 = f (1) if p ≤ 1 and since g is a continuous function of
θ ∈ [0, 1), its graph will necessarily cross the graph of f at a nonzero value of θ, and
the uniqueness of this point is given by (24) (since g is concave, its graph intercepts
the graph of f in at most two distinct points), proving the proposition.
Corollary 5.1. On Br , if r ≥ 3,
1
pc = .
r−1
Remark. It is harder to prove that pc < 1 for percolation on Zd . This is accom-
plished by using Peierls’ argument to conclude that θ(p) > 0 for p close to 1 (see, for
example, [12]).
Corollary 5.2. θ(pc ) = 0 on a Bethe lattice with coordination number r ≥ 3.
Exercise 5.3. Prove Corollaries 5.1 and 5.2 (see the beginning of this section
and the proof of Theorem 5.1, taking p = pc ).
Remark. We point out that, on Zd , the result θ(pc ) = 0 has been established by
Kesten [15] for d = 2 and by Hara and Slade [13, 14] for d ≥ 19. See also the remark
at the end of this paper.
6. Analytical Properties of θ(p). In this section we will establish the continuity
of θ(p) in its whole interval of definition. Actually, it is enough to prove continuity
only at pc . Indeed, since θ(p) = 0 for 0 ≤ p < pc , it is continuous in [0, pc ) (right-
continuous at p = 0). On the other hand, by applying the implicit function theorem
to (22), we reach at the same conclusion for p ∈ (pc , 1). In Exercise 6.2, the reader is
asked to prove that θ is left-continuous at p = 1.
We will start by showing that, on the interval (pc , 1), θ(p) is strictly increasing.
Proposition 6.1. θ(p) is a strictly increasing function of p for p ∈ (pc , 1).
Proof. Let p1 < p2 be two distinct values in (pc , 1) and θi = θ(pi ). One can check,
from the definition of g(p, θ), that g(p1 , θ) > g(p2 , θ) for all θ ∈ [0, 1]. In particular,
θ1 = 1 − g(p1 , θ1 ) < 1 − g(p2 , θ1 ); i.e., at θ1 , the graph of g(p2 , θ) is below the graph
of f (θ). The intersection of the two graphs, occurring by definition at θ2 , must take
place to the right of θ1 . This proves the assertion.
Exercise 6.1. Show that θ(p) is a nondecreasing function of p, for p ∈ [0, 1].
Exercise 6.2. Using (22) and Proposition 6.1, show that θ(p) → θ(1) = 1 as
p → 1 from the left.
 CRITICAL PERCOLATION ON A BETHE LATTICE REVISITED 363

Remark. A nondecreasing function is differentiable at almost all points. In par-


ticular, θ (p) ≥ 0 at the points p where the derivative is well defined.
We now show that limp→p+ c
θ(p) = 0. As pointed out earlier, this result leads to
the conclusion that θ(p) is continuous at pc .
Proposition 6.2. θ(p) is continuous at pc .
Proof. From Corollary 5.2, θ(pc ) = 0. Also, from (14) and the monotonicity of
θ(p), it is clear that limp→p− c
θ(p) = 0. So, to prove the continuity of θ at pc we just
have to prove that limp→p+ c
θ(p) = 0. From Proposition 6.1, we know that θ is an
increasing function in the interval (pc , 1). Since θ(p) is bounded below by 0, it follows
that the limit limp→p+ c
θ(p) exists. Let’s call it θ0 and suppose, by contradiction, that
θ0 > 0. Evaluating (22) at the point (p, θ(p)), p > pc , and taking the limit on both
sides of it, we get

1 − θ0 = 1 − (1 − pc θ0 )r−1 ,

implying that (22) has a nonzero solution at pc , a contradiction with Theorem 5.1.
7. β = 1 for Any r ≥ 3. Now we are in a position to define the exponent β,
introduced informally in section 1. Since θ(p) → 0 as p → p+
c , we would like to know
at which rate θ approaches zero. If there is an exponent β > 0 such that the limit
θ(p)
lim
p→p+
c (p − pc )β

exists and is nonzero, then β is the critical exponent for θ(p) (see section 4). In this
section we will prove that this is the case. Moreover, we will show that β = 1 for any
r ≥ 3.
Proposition 7.1. On Br ,
θ(p) 2
lim+ = ∀ r ≥ 3.
p→pc (p − pc ) pc (1 − pc )

Proof. The binomial expansion of the right side of (22) leads to

 r−1 
 k
θp  −θp
(25) 1 − θ = 1− + Ak ,
pc pc
k=2

where
1
(26) Ak ≡ (1 − pc )(1 − 2pc )(1 − 3pc ) · · · (1 − [k − 1]pc ), 2 ≤ k ≤ r − 1,
k!
since


r−1 1
= (1 − pc )(1 − 2pc )(1 − 3pc ) · · · (1 − [k − 1]pc )
k k!pkc
Ak
= k ∀ 2 ≤ k ≤ r − 1.
pc
From (25) we get
   2  3  r−1
p p p p
(27) θ − 1 = A2 θ 2
−A3 θ 3
+ · · · + (−1) Ar−1 θ
r−1 r−1
.
pc pc pc pc
364 GASTÃO A. BRAGA, RÉMY SANCHIS, AND TIAGO A. SCHIEBER

Since θ(p) > 0 for p > pc , we divide (27) by its left-hand side to get
 −1   2  3  r−1 
p p p p
1= −1 A2 θ −A3 θ2 + · · · + (−1)r−1 Ar−1 θr−2
pc pc pc pc
   2  3  r−1 
pc θ p p p
(28) = A2 −A3 θ + · · · + (−1) Ar−1 θ
r−1 r−3
.
p − pc pc pc pc

Observing that the function between brackets in identity (28) approaches A2 as

c and that A2 = 2 (1 − pc ) (see definition (26)), we conclude from (28) that
p → p+ 1

θ(p) 2
lim+ = .
p→pc (p − pc ) pc (1 − pc )
Corollary 7.1. For r ≥ 3, the critical exponent β equals 1.
Remark. Hara and Slade [13, 14] proved the triangle condition ∇(pc ) < ∞, where

∇(p) ≡ τ0x (p)τxy (p)τy0 (p)
x,y ∈ Zd

if d ≥ 19. Barsky and Aizenman [2] proved that, for the bond percolation model
on Zd under the triangle condition, the critical exponent β exists and is equal to 1.
Both results together imply that β = 1 for d ≥ 19 although it is believed that β = 1
for d ≥ 6. It also follows from both results that θ(p) is continuous at pc (see the
remark just before section 6) if d ≥ 19. It is an open question whether or not θ(p) is
continuous at pc , for 3 ≤ d < 19 (for d = 2, this result follows from [15]).
Acknowledgments. The second and third authors thank the Brazilian funding
agencies FAPEMIG and CAPES for providing them with scholarships at the graduate
and undergraduate levels, respectively. The authors wish to thank the anonymous
referee for suggesting many improvements to the first version of this paper.

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