Existence of densities for multi-type continuous-state branching processes with immigration

DOI10.1016/J.SPA.2020.03.012MaRDI QIDQ2196373zbMATH OpenOpenAlexFDO

Authors Martin Friesen, Peng Jin, Barbara Rüdiger

Publication date 2 September 2020

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1810.00400

zbMATH Keywords

densityaffine processesanisotropic Besov spacemulti-type continuous-state branching processes with immigration

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Continuity and singularity of induced measures (60G30)

Abstract: Let X be a multi-type continuous-state branching process with immigration (CBI process) on state space $mathbb{R}^d$. Denote by $g_t$, $tgeq0$, the law of $X_t$. We provide sufficient conditions under which $g_t$ has, for each $t>0$, a density with respect to the Lebesgue measure. Such density has, by construction, some anisotropic Besov regularity. Our approach neither relies on the use of Malliavin calculus nor on the study of corresponding Laplace transform.

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Cited in

(5)

• Volterra square-root process: stationarity and regularity of the law
• On the anisotropic stable JCIR process
• Regularity of transition densities and ergodicity for affine jump‐diffusions
• On the boundary behavior of multi-type continuous-state branching processes with immigration
• Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes

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