On the limit distributions of continuous-state branching processes with immigration

DOI10.1016/J.SPA.2012.03.012zbMATH Open1242.60088arXiv1103.5605OpenAlexW1968472925MaRDI QIDQ429288FDOQ429288

Martin Keller-Ressel, Aleksandar Mijatović

Publication date: 19 June 2012

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

Abstract: We consider the class of continuous-state branching processes with immigration (CBI-processes), introduced by Kawazu and Watanabe (1971) and their limit distributions as time tends to infinity. We determine the Levy-Khintchine triplet of the limit distribution and give an explicit description in terms of the characteristic triplets of the Levy subordinator and the spectrally positive Levy process, which describe the immigration resp. branching mechanism of the CBI-process. This representation allows us to describe the support of the limit distribution and characterise its absolute continuity and asymptotic behavior at the boundary of the support, generalizing several known results on self-decomposable distributions.

Full work available at URL: https://arxiv.org/abs/1103.5605

zbMATH Keywords

limit distributionscale functioninfinitesimal generatorstationary distributionbranching processes with immigrationself-decomposable distribution[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=spectrally+positive+L%EF%BF%BD%EF%BF%BDvy+process&go=Go spectrally positive L��vy process]

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

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Cited In (31)

• Ergodicities and Exponential Ergodicities of Dawson--Watanabe Type Processes
• On the anisotropic stable JCIR process
• Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion
• Continuous-time branching processes with decreasing state-dependent immigration
• Moments of continuous-state branching processes with or without immigration
• Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
• Equivalence of mean-field avalanches and branching diffusions: from the Brownian force model to the super-Brownian motion
• Long-time behavior for subcritical measure-valued branching processes with immigration
• Laplace symbols and invariant distributions
• Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
• Exponential ergodicity of an affine two-factor model based on the α-root process
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• Alpha-CIR model with branching processes in sovereign interest rate modeling
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• Existence of limiting distribution for affine processes
• Calibration of self-decomposable Lévy models
• Smoothness of continuous state branching with immigration semigroups
• Weak convergence of continuous-state branching processes with large immigration
• Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes
• Exponential Ergodicity of the Jump-Diffusion CIR Process
• Limit theorems for continuous-state branching processes with immigration
• Stationarity and Ergodicity for an Affine Two-Factor Model
• A Lamperti-type representation of continuous-state branching processes with immigration
• On the hitting times of continuous-state branching processes with immigration
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• Markov chain approximations to scale functions of Lévy processes
• Coupling methods and exponential ergodicity for two‐factor affine processes
• Stable continuous-state branching processes with immigration and Beta-Fleming-Viot processes with immigration
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