Small value probabilities for continuous state branching processes with immigration (Q1934411)

Let \(\{{\mathcal Z}_t,\,\operatorname{P}_x;\,t\geq 0\}\) denote a super-critical, continuous-time, one-dimensional continuous-state branching process with Laplace transform \[ \operatorname{E}_x e^{-\lambda{\mathcal Z}_t}= \exp\Biggl(- xu_t(\lambda)- \int^t_0 \varphi(u_s(\lambda))\,ds\Biggr),\;t\geq 0,\;\lambda> 0,\;x\geq 0, \] where \(u_0(\lambda)= \lambda\), \({\partial\over\partial t} u_t(\lambda)+ \psi(u_t(\lambda))= 0\), \[ \psi(\lambda)= \alpha_0\lambda+ \alpha\lambda^2+ \int^\infty_0 (e^{-\lambda x}- 1+\lambda x\operatorname{1}_{\{x<1\}}) \Pi(dx)\quad (\text{branching mechanism}) \] \[ \varphi(\lambda)= \int^\infty_0 (1- e^{-\lambda x})\Lambda(dx)+ b\lambda\quad (\text{immigration mechanism}) \] with \(\alpha_0\in\mathbb{R}\), \(\alpha\geq 0\), \(b\geq 0\), and \(\Pi\), \(\Lambda\) nonnegative measures on \((0,\infty)\) such that \[ \int^\infty_0 (1\wedge x^2)\Pi(dx)<\infty,\quad \int^\infty_0 (1\wedge x)\Lambda(dx)< \infty, \] and \(m:= -\psi(0+)> 0\) (super-criticality). Then there exists a nondegenerate random variable \({\mathcal W}\) such that \(e^{-mt} Z_t\to{\mathcal W}\) a.s., as \(t\to\infty\), see \textit{M. A. Pinsky} [Bull. Am. Math. Soc. 78, 242--244 (1972; Zbl 0252.60031)]. The authors investigate \(\operatorname{P}_x({\mathcal W}\leq\varepsilon)\), as \(\varepsilon\to 0+\), by studying the asymptotic behaviour of the Laplace transform and then applying Tauberian theorems. The Laplace transform of \({\mathcal W}\) can be expressed in terms of limit \(W\) of the process without immigration and the immigration mechanism. So, the corresponding asymptotic properties of \(W\), studied by \textit{N. H. Bingham} [Stochastic Processes Appl. 4, 217--242 (1976; Zbl 0338.60051)], can be used. The authors obtain two essentially different modes of behaviour of \(\operatorname{P}_x({\mathcal W}\leq\varepsilon)\): a polynomial decay rate when the branching mechanism does not correspond to the Laplace exponent of a subordinator and several types of exponential decay rate, if it does. The investigation of the latter is restricted to immigration mechanisms of the form \(\varphi(s)= bs+ s^\beta\), \(0<\beta< 1\), and leads to four different asymptotic expressions depending on whether \(\Pi\) is finite or not, the drift of the branching mechanism is positive or not, and the initial value \(x\) is positive or not.