Moment formulas for multitype continuous state and continuous time branching process with immigration

DOI10.1007/S10959-015-0605-0MaRDI QIDQ325909zbMATH OpenOpenAlexFDO

Authors Mátyás Barczy, Gyula Pap, Zenghu Li

Publication date 11 October 2016

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

Full work available at URL https://arxiv.org/abs/1404.0636

zbMATH Keywords

momentstruncationcomparison theorembranching processimmigration

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Abstract: Recursions for moments of multi-type continuous state and continuous time branching process with immigration are derived. It turns out that the $k$-th (mixed) moments and the $k$-th (mixed) central moments are polynomials of the initial value of the process, and their degree are at most $k$ and $lfloork/2floor$, respectively.

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Cited in

(13)

• On the exponential ergodicity of \((2+2)\)-affine processes in total variation distances
• Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
• Almost sure, \(L_1\)- and \(L_2\)-growth behavior of supercritical multi-type continuous state and continuous time branching processes with immigration
• Moments of continuous-state branching processes with or without immigration
• Existence of limiting distribution for affine processes
• On convergence properties of infinitesimal generators of scaled multitype CBI processes
• Moments of continuous-state branching processes in Lévy random environments
• Limit theorems for a supercritical branching process with immigration in a random environment
• Stable convergence of conditional least squares estimators for supercritical continuous state and continuous time branching processes with immigration
• Moment properties for two-type continuous-state branching processes in Lévy random environments
• Moments and ergodicity of the jump-diffusion CIR process
• Asymptotic behavior of projections of supercritical multi-type continuous-state and continuous-time branching processes with immigration
• Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes

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