Sample paths of continuous-state branching processes with dependent immigration

DOI10.1080/15326349.2019.1575753zbMATH Open1481.60180arXiv1901.08800OpenAlexW2914658502WikidataQ128284370 ScholiaQ128284370MaRDI QIDQ4967293FDOQ4967293

Zenghu Li

Publication date: 3 July 2019

Published in: Stochastic Models (Search for Journal in Brave)

Abstract: We prove the existence and pathwise uniqueness of the solution to a stochastic integral equation driven by Poisson random measures based on Kuznetsov measures for a continuous-state branching process. That gives a direct construction of the sample path of a continuous-state branching process with dependent immigration. The immigration rates depend on the population size via some functions satisfying a Yamada--Watanabe type condition. We only assume the existence of the first moment of the process. The existence of excursion law for the continuous-state branching process is not required. By special choices of the ingredients, we can make changes in the branching mechanism or construct models with competition.

Full work available at URL: https://arxiv.org/abs/1901.08800

Recommendations

• Continuous-state branching processes with dependent immigration
• Continuous-state branching processes with immigration
• Stochastic equations for two-type continuous-state branching processes with immigration and competition
• Stochastic differential equation with jumps for multi-type continuous state and continuous time branching processes with immigration
• Moments of continuous-state branching processes with or without immigration

zbMATH Keywords

Poisson random measurestochastic equationcontinuous-state branching processdependent immigrationYamada-Watanabe type condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Stochastic integral equations (60H20)

Cites Work

• A theory of the term structure of interest rates
• Title not available (Why is that?)
• Fluctuations of Lévy processes with applications. Introductory lectures
• Title not available (Why is that?)
• Title not available (Why is that?)
• Theory of stochastic differential equations with jumps and applications.
• Measure-Valued Branching Markov Processes
• Stochastic equations, flows and measure-valued processes
• Construction of immigration superprocesses with dependent spatial motion from one-di\-men\-sion\-al excursions
• Probabilistic Models of Population Evolution
• Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
• Skew convolution semigroups and affine Markov processes
• Stochastic equations of non-negative processes with jumps
• The Limit of a Sequence of Branching Processes
• On the convergence of sequences of branching processes
• Continuous-state branching processes with dependent immigration
• A Limit Theorem for Discrete Galton-Watson Branching Processes with Immigration
• Continuous state branching processes
• Title not available (Why is that?)
• Stochastic flows associated to coalescent processes. III: Limit theorems
• Measure-valued diffusions and stochastic equations with Poisson process
• Title not available (Why is that?)
• Construction of Markov Processes with Random Times of Birth and Death
• The branching process with logistic growth
• Ray-Knight representation of flows of branching processes with competition by pruning of Lévy trees
• A continuous-state polynomial branching process
• A general continuous-state nonlinear branching process
• Transitional Phenomena and the Convergence of Galton–Watson Processes to Jiřina Processes
• A limit theorem for the Galton-Watson branching processes with immigration
• Alpha-CIR model with branching processes in sovereign interest rate modeling

Cited In (5)

• Skeletal stochastic differential equations for continuous-state branching processes
• Moments and large deviations for supercritical branching processes with immigration in random environments
• A conditioned continuous-state branching process with applications
• Moments, large and moderate deviations for branching random walks with immigration in random environments
• A scaling limit of controlled branching processes

This page was built for publication: Sample paths of continuous-state branching processes with dependent immigration

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4967293)