Stochastic equations, flows and measure-valued processes

DOI10.1214/10-AOP629zbMATH Open1254.60088arXiv1009.0578MaRDI QIDQ414291FDOQ414291

Authors: Donald A. Dawson, Zenghu Li 

Publication date: 11 May 2012

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: We first prove some general results on pathwise uniqueness, comparison property and existence of nonnegative strong solutions of stochastic equations driven by white noises and Poisson random measures. The results are then used to prove the strong existence of two classes of stochastic flows associated with coalescents with multiple collisions, that is, generalized Fleming--Viot flows and flows of continuous-state branching processes with immigration. One of them unifies the different treatments of three kinds of flows in Bertoin and Le Gall [Ann. Inst. H. Poincar'{e} Probab. Statist. 41 (2005) 307--333]. Two scaling limit theorems for the generalized Fleming--Viot flows are proved, which lead to sub-critical branching immigration superprocesses. From those theorems we derive easily a generalization of the limit theorem for finite point motions of the flows in Bertoin and Le Gall [Illinois J. Math. 50 (2006) 147--181].

Full work available at URL: https://arxiv.org/abs/1009.0578

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zbMATH Keywords

coalescentstrong solutionimmigrationstochastic equationssuperprocessstochastic flowcontinuous-state branching processgeneralized Fleming-Viot process

Mathematics Subject Classification ID

Population dynamics (general) (92D25) Continuous-time Markov processes on general state spaces (60J25) Random measures (60G57) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Stochastic analysis (60H99) Superprocesses (60J68)

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Cited In (89)

• Sample paths of continuous-state branching processes with dependent immigration
• Yamada-Watanabe results for stochastic differential equations with jumps
• Muller's ratchet with compensatory mutations
• Height and the total mass of the forest of genealogical trees of a large population with general competition
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• The height process of a continuous-state branching process with interaction
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• Limit theorems for flows of branching processes
• Limit theorems for continuous-time branching flows
• Uniqueness problem for SPDEs from population models
• Wasserstein-type distances of two-type continuous-state branching processes in Lévy random environments
• Existence and pathwise uniqueness to an SPDE driven by \(\alpha\)-stable colored noise
• The \(\Lambda\)-lookdown model with selection
• A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
• STOCHASTIC EQUATIONS OF PROCESSES WITH JUMPS
• Approximation of stochastic processes by nonexpansive flows and coming down from infinity
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• Multiple yield curve modelling with CBI processes
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• An infinite-dimensional representation of the Ray-Knight theorems
• Extinction rate of continuous state branching processes in critical Lévy environments
• Stochastic Equations Driven by a Cauchy Process
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• On the exponential ergodicity of \((2+2)\)-affine processes in total variation distances
• Mutually interacting superprocesses with migration
• Stochastic Volterra equations for the local times of spectrally positive stable processes
• Scaling limits of bisexual Galton–Watson processes
• Exponential ergodicity for stochastic equations of nonnegative processes with jumps
• Boundary behaviors for a continuous-state nonlinear Neveu's branching process
• Long-time behavior for subcritical measure-valued branching processes with immigration
• Uniqueness problem for the backward differential equation of a continuous-state branching process
• Quasi-stationary distribution for continuous-state branching processes with competition
• Continuous-state branching processes with collisions: first passage times and duality
• SPDEs with non-Lipschitz coefficients and nonhomogeneous boundary conditions
• Clustering effects via Hawkes processes
• Strong feller and ergodic properties of the (1+1)-affine process
• Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
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• A self-exciting modeling framework for forward prices in power markets
• The relative frequency between two continuous-state branching processes with immigration and their genealogy

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