A complementary note on the supercritical birth, death and catastrophe process (Q2641013): Difference between revisions
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Latest revision as of 10:00, 30 July 2024
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English | A complementary note on the supercritical birth, death and catastrophe process |
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A complementary note on the supercritical birth, death and catastrophe process (English)
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1989
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Let \(X_ t\) denote the supercritical linear birth and death process with linear catastrophe component studied in the paper reviewed above. The present note provides a new, self-contained and simple proof of the central limit theorem \([X_ t-W \exp (\lambda t+\phi)]X_ t^{- 1/2}\Rightarrow \sigma N(0,1)\) conditional on \((X_ t\to \infty)\) under the second order moment condition \(\sum_{j\geq 1}j^ 2b_ j<\infty\). This improves the corresponding result from the earlier paper which had required a fourth order moment condition.
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supercritical linear birth and death process
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catastrophe component
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central limit theorem
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