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

DOI10.1007/S10959-015-0605-0zbMATH Open1348.60123arXiv1404.0636OpenAlexW2075791235MaRDI QIDQ325909FDOQ325909

Zenghu Li, Gyula Pap, Mátyás Barczy

Publication date: 11 October 2016

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

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.

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

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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)

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Cited In (12)

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

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