scholarly journals Continuous branching processes : the discrete hidden in the continuous : Dedicated to Claude Lobry

2008 ◽  
Vol Volume 9, 2007 Conference in... ◽  
Author(s):  
Etienne Pardoux

International audience Feller diffusion is a continuous branching process. The branching property tells us that for t > 0 fixed, when indexed by the initial condition, it is a subordinator (i. e. a positive–valued Lévy process), which is fact is a compound Poisson process. The number of points of this Poisson process can be interpreted as the number of individuals whose progeny survives during a number of generations of the order of t × N, where N denotes the size of the population, in the limit N ―>µ. This fact follows from recent results of Bertoin, Fontbona, Martinez [1]. We compare them with older results of de O’Connell [7] and [8]. We believe that this comparison is useful for better understanding these results. There is no new result in this presentation. La diffusion de Feller est un processus de branchement continu. La propriété de branchement nous dit que à t > 0 fixé, indexé par la condition initiale, ce processus est un subordinateur (processus de Lévy à valeurs positives), qui est en fait un processus de Poisson composé. Le nombre de points de ce processus de Poisson s’interprète comme le nombre d’individus dont la descendance survit au cours d’un nombre de générations de l’ordre de t × N, où N désigne la taille de la population, dans la limite N --> µ. Ce fait découle de résultats récents de Bertoin, Fontbona, Martinez [1]. Nous le rapprochons de résultats plus anciens de O’Connell [7] et [8]. Ce rapprochement nous semble aider à mieux comprendre ces résultats. Cet article ne contient pas de résultat nouveau.

1985 ◽  
Vol 17 (01) ◽  
pp. 23-41
Author(s):  
Anthony G. Pakes ◽  
A. C. Trajstman

It is known that Bartoszyński’s model for the growth of rabies virus in an infected host is a continuous branching process. We show by explicit construction that any such process is a randomly time-transformed compound Poisson process having a negative linear drift. This connection is exploited to obtain limit theorems for the population size and for the jump times in the rabies model. Some of these results are obtained in a more general context wherein the compound Poisson process is replaced by a subordinator.


1985 ◽  
Vol 17 (1) ◽  
pp. 23-41 ◽  
Author(s):  
Anthony G. Pakes ◽  
A. C. Trajstman

It is known that Bartoszyński’s model for the growth of rabies virus in an infected host is a continuous branching process. We show by explicit construction that any such process is a randomly time-transformed compound Poisson process having a negative linear drift.This connection is exploited to obtain limit theorems for the population size and for the jump times in the rabies model. Some of these results are obtained in a more general context wherein the compound Poisson process is replaced by a subordinator.


2018 ◽  
Vol 6 (1) ◽  
pp. 32
Author(s):  
Muhammed A. S. Murad

In this paper, stochastic compound Poisson process is employed to value the catastrophic insurance options and model the claim arrival process for catastrophic events, which were written in the loss period , during which the catastrophe took place. Here, a time compound process gives the underlying loss index before and after  whose losses are revaluated by inhomogeneous exponential Levy process factor. For this paper, an exponential Levy process is used to evaluate the well-known European call option in order to price Property Claim Services catastrophe insurance based on catastrophe index.


1974 ◽  
Vol 11 (4) ◽  
pp. 652-668 ◽  
Author(s):  
A. G. Pakes ◽  
Norman Kaplan

Some necessary and sufficient conditions are found for the existence of a proper non-degenerate limiting distribution for a Bellman-Harris age-dependent branching process with a compound renewal immigration component. A number of these results are applicable to the batch arrival GI/G/∞ queueing process. Some aspects of the situation when there is no such limiting distribution are considered. The situation when the immigration component is a nonhomogeneous compound Poisson process is briefly considered.


1974 ◽  
Vol 11 (04) ◽  
pp. 652-668 ◽  
Author(s):  
A. G. Pakes ◽  
Norman Kaplan

Some necessary and sufficient conditions are found for the existence of a proper non-degenerate limiting distribution for a Bellman-Harris age-dependent branching process with a compound renewal immigration component. A number of these results are applicable to the batch arrival GI/G/∞ queueing process. Some aspects of the situation when there is no such limiting distribution are considered. The situation when the immigration component is a nonhomogeneous compound Poisson process is briefly considered.


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