Limit theorems for continuous-state branching processes with immigration

Abstract: We prove and extend some results stated by Mark Pinsky: Limit theorems for continuous state branching processes with immigration [Bull. Amer. Math. Soc. 78(1972), 242--244]. Consider a continuous-state branching process with immigration

(Y_{t}, t g e q 0)

with branching mechanism

P s i

and immigration mechanism

P h i

(CBI

(P s i, P h i)

for short). We shed some light on two different asymptotic regimes occurring when

i n t_{0} f r a c P h i (u) | P s i (u) | d u < i n f t y

or

i n t_{0} f r a c P h i (u) | P s i (u) | d u = i n f t y

. We first observe that when

i n t_{0} f r a c P h i (u) | P s i (u) | d u < i n f t y

, supercritical CBIs have a growth rate dictated by the branching dynamics, namely there is a renormalization

a u (t)

, only depending on

P s i

, such that

(a u (t) Y_{t}, t g e q 0)

converges almost-surely to a finite random variable. When

i n t_{0} f r a c P h i (u) | P s i (u) | d u = i n f t y

, it is shown that the immigration overwhelms the branching dynamics and that no linear renormalization of the process can exist. Asymptotics in the second regime are studied in details for all non-critical CBI processes via a nonlinear time-dependent renormalization in law. Three regimes of weak convergence are then exhibited, where a misprint in Pinsky's paper is corrected. CBI processes with critical branching mechanisms subject to a regular variation assumption are also studied.

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