Distributions of jumps in a continuous-state branching process with immigration

2016 ◽  
Vol 53 (4) ◽  
pp. 1166-1177 ◽  
Author(s):  
Xin He ◽  
Zenghu Li
Keyword(s):  
Branching Process ◽  
Lévy Measure ◽  
Borel Set ◽  
Jump Size ◽  
Distributional Properties ◽  
Continuous State ◽  
Continuous State Branching Process ◽  
Jump Time ◽  
Branching Process With Immigration

Abstract We study the distributional properties of jumps in a continuous-state branching process with immigration. In particular, a representation is given for the distribution of the first jump time of the process with jump size in a given Borel set. From this result we derive a characterization for the distribution of the local maximal jump of the process. The equivalence of this distribution and the total Lévy measure is then studied. For the continuous-state branching process without immigration, we also study similar problems for its global maximal jump.

A general risk process and its properties

1992 ◽  
Vol 29 (1) ◽  
pp. 73-81 ◽  
Author(s):  
Thomas H. Scheike
Keyword(s):  
Risk Process ◽  
Jump Size ◽  
The Past ◽  
Distributional Properties ◽  
Jump Time ◽  
The Law ◽  
Jump Sizes

We construct a risk process, where the law of the next jump time or jump size can depend on the past through earlier jump times and jump sizes. Some distributional properties of this process are established. The compensator is found and some martingale properties are discussed.

scholarly journals Asymptotic behavior of critical, irreducible multi-type continuous state and continuous time branching processes with immigration

2016 ◽  
Vol 16 (04) ◽  
pp. 1650008 ◽  
Author(s):  
Mátyás Barczy ◽  
Gyula Pap
Keyword(s):  
Continuous Time ◽  
Branching Process ◽  
Branching Processes ◽  
Bessel Process ◽  
Step Functions ◽  
Squared Bessel Process ◽  
Continuous State ◽  
Random Step ◽  
Branching Process With Immigration ◽  
Continuous Time Branching Processes

Under natural assumptions, a Feller type diffusion approximation is derived for critical, irreducible multi-type continuous state and continuous time branching processes with immigration. Namely, it is proved that a sequence of appropriately scaled random step functions formed from a critical, irreducible multi-type continuous state and continuous time branching process with immigration converges weakly towards a squared Bessel process supported by a ray determined by the Perron vector of a matrix related to the branching mechanism of the branching process in question.

scholarly journals Asymptotic behaviour near extinction of continuous-state branching processes

2016 ◽  
Vol 53 (2) ◽  
pp. 381-391
Author(s):  
Gabriel Berzunza ◽  
Juan Carlos Pardo
Keyword(s):  
Asymptotic Behaviour ◽  
Branching Process ◽  
Branching Processes ◽  
Extinction Time ◽  
Iterated Logarithm ◽  
Continuous State ◽  
Continuous State Branching Process ◽  
Near Extinction

AbstractIn this paper we study the asymptotic behaviour near extinction of (sub-)critical continuous-state branching processes. In particular, we establish an analogue of Khintchine's law of the iterated logarithm near extinction time for a continuous-state branching process whose branching mechanism satisfies a given condition.

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