Continuous-State Branching Processes and Self-Similarity

DOI10.1239/JAP/1231340239MaRDI QIDQ5504167zbMATH OpenOpenAlexFDO

Authors A. E. Kyprianou, J. C. Pardo

Publication date 21 January 2009

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0712.0987

zbMATH Keywords

Conditioning to stay positiveContinuous-state branching process.Lamperti representationPositiveself-similar Markov processStable Lévy processes

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Abstract: In this paper, for $$ we show that the $alpha$-stable continuous-state branching process and the associated process conditioned never to become extinct are positive self-similar Markov processes. Understanding the interaction of the Lamperti transformation for continuous-state branching processes and the Lamperti transformation for positive self-similar Markov processes permits accessto a number of explicit results concerning the paths of stable-continuous branching processes and its conditioned version.

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Cited in

(36)

• On transformations of linear diffusions into continuous state branching
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