Moments of continuous-state branching processes with or without immigration (Q1987586)

Let \(\{X_t; t\ge 0\}\) with \(P(X_0>0)>0\) be a one-dimensional continuous-state branching process in continuous time, \(\{Y_t; t\ge 0\}\) a corresponding process with immigration, and \(f\) a positive continuous function on \([0,\infty)\) satisfying the following condition: There exist constants \(c\ge 0\) and \(K> 0\) such that \(f\) is convex on \([c,\infty)\) and \(f(xy)\le Kf(x)f(y)\) for all \(x,y\in [c,\infty)\). Considering the two processes as solutions of appropriate stochastic integral equations, see \textit{D. A. Dawson} and \textit{Z. Li} [Ann. Probab. 40, No. 2, 813--857 (2012; Zbl 1254.60088)], the authors derive necessary and sufficient conditions, in terms of model parameters, for \(Ef(X_t)<\infty\), \(t>0\), and \(Ef(Y_t)<\infty\), \(t>0\), respectively.