Probability tilting of compensated fragmentations

DOI10.1214/19-EJP316MaRDI QIDQ2316604zbMATH OpenOpenAlexFDO

Authors Quan Shi, Alexander R. Watson

Publication date 6 August 2019

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

Full work available at URL https://arxiv.org/abs/1707.00732, https://projecteuclid.org/euclid.ejp/1565057003

zbMATH Keywords

additive martingalecompensated fragmentationderivative martingalegrowth-fragmentationmany-to-one theoremspine decomposition

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Continuous-time Markov processes on general state spaces (60J25) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Abstract: Fragmentation processes are part of a broad class of models describing the evolution of a system of particles which split apart at random. These models are widely used in biology, materials science and nuclear physics, and their asymptotic behaviour at large times is interesting both mathematically and practically. The spine decomposition is a key tool in its study. In this work, we consider the class of compensated fragmentations, or homogeneous growth-fragmentations, recently defined by Bertoin. We give a complete spine decomposition of these processes in terms of a L'evy process with immigration, and apply our result to study the asymptotic properties of the derivative martingale.

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Cited in

(5)

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