Ill give some background first before asking questions.(the text below is straight out of the book)
Each individual in the population is assumed give birth at an exponential rate of $\lambda$ in addition ,there is a an exponential rate of increase $\theta$ due to external source of immigration. Hence the total birth rate where there are $n$ persons in the system is $n\lambda + \theta$ . Deaths are assume to occur at an exponential rate $\mu$ for each member of the population, so $\mu_n = n\mu$.
Let $X(t)$ denote the population size at time $t$. Suppose $X(0)= i$ and let $M(t) = E[X(t)]$ . So they will determine $M(t)$ by deriving and then solving a differential equation that is satisfies.
we start by deriving an equation for $M(t+h)$ by conditioning on $X(t)$ this yields:
$$M(t+ h) = E[X(t+h)] = E[E[X(t+h)\vert X(t)]]$$
Now, given the size of the population at time $t$ then, ignoring events whose probability is $o(h)$, the population at time $t+h$ will either increase in size by 1 if a birth or immigration occurs in $ (t,t+h)$ , or, decrease by 1 if a death occurs in this interval, or remain the same if neither of these two possibilities occurs that is given $X(t)$
$$ X(t+h)= \begin{cases} X(t) + 1, & \text{with probability} \quad [\theta + X(t)\lambda]h + o(h) \\ X(t) - 1, & \text{with probability} \quad X(t)\mu h + o(h)\\ X(t), & \text{with probability} \quad 1-[\theta + X(t)\lambda + X(t)\mu]h +o(h) \end{cases} $$ therefore, $E[X(t+h) \vert X(t)] = X(t) + [\theta + X(t)\lambda - X(t)\mu]h + o(h)$
..... ..... .....(text continues)
$\textbf{questions:}$
I understand the first two cases, but the last case i don' t quiet get: $X(t)$, with-probability $1-[\theta + X(t)\lambda + X(t)\mu]h +o(h)$. can someone explain this?
How do i interpret this statement: $$E[X(t+h) \vert X(t)] = X(t) + [\theta + X(t)\lambda - X(t)\mu]h + o(h)$$
(1) the probabilities have to add up to 1, that determines (within $o(h)$) the value of the probability measure for the last case...
(2) The meaning of the left-hand side is, given that I know what $X_t$ is, what do I expect $X_{t+h}$ will be? And the right hand side gives you roughly what it should be. Not surprisingly, it directly depends on $X_t$, slightly altering it by some amount...