Local extinction in continuous-state branching processes with immigration

DOI10.3150/13-BEJ543MaRDI QIDQ470052zbMATH OpenFDO

Authors Clément Foucart, Gerónimo Uribe Bravo

Publication date 11 November 2014

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1211.3699, https://projecteuclid.org/euclid.bj/1411134446

zbMATH Keywords

continuous-state branching processimmigrationOrnstein-Uhlenbeck processpolarityrandom cut-outstable Lévy processeszero set

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Abstract: The purpose of this article is to observe that the zero sets of continuous-state branching processes with immigration (CBI) are infinitely divisible regenerative sets. Indeed, they can be constructed by the procedure of random cutouts introduced by Mandelbrot in 1972. We then show how very precise information about the zero sets of CBI can be obtained in terms of the branching and immigrating mechanism.

Review text

Let \(\{Y_t\}\) be a one-dimensional continuous-state branching process with immigration, started at zero. Denote by \(\Psi\) the Laplace exponent of the spectrally positive Lévy process describing the reproduction and by \(\Phi\) the Laplace exponent of the subordinator describing the immigration. The zero set is defined as the closure of \(\{t\leq 0: Y_t= 0\}\). Exploiting a connection between the zero set and the random cut-out sets defined by \textit{B. B. Mandelbrot} [Z. Wahrscheinlichkeitstheor. Verw. Geb. 22, 145--157 (1972; Zbl 0234.60102)], the authors construct the zero set as infinitely regenerative set in terms of \(\Psi\) and \(\Phi\). They derive necessary and sufficient conditions for the zero set to be polar, transient, or recurrent, respectively. More detailed results are obtained under the assumption that \(\Phi/\Psi\) is regularly varying, with special attention being paid to the case of stable and gamma mechanisms.NEWLINENEWLINE Finally, the connection between random covering of the real line and the zero set is extended to generalized Ornstein-Uhlenbeck (OU) processes, characterizing, in particular, the zero set of OU processes driven by stable Lévy processes.

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Cited in

(14)

• Smoothness of continuous state branching with immigration semigroups
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