Limit theorems for continuous-state branching processes with immigration

DOI10.1017/APR.2021.43zbMATH Open1492.60237arXiv2009.12564OpenAlexW3088183421WikidataQ113858384 ScholiaQ113858384MaRDI QIDQ5084796FDOQ5084796

Authors: Clément Foucart, Chunhua Ma, Linglong Yuan 

Publication date: 28 June 2022

Published in: Advances in Applied Probability (Search for Journal in Brave)

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 $(Y_t,tgeq0)$ with branching mechanism $Psi$ and immigration mechanism $Phi$ (CBI$(Psi,Phi)$ for short). We shed some light on two different asymptotic regimes occurring when $in{t}_{0}fracPhi(u)|Psi(u)|du<infty$ or $in{t}_{0}fracPhi(u)|Psi(u)|du=infty$. We first observe that when $in{t}_{0}fracPhi(u)|Psi(u)|du<infty$, supercritical CBIs have a growth rate dictated by the branching dynamics, namely there is a renormalization $au(t)$, only depending on $Psi$, such that $(au(t)Y_t,tgeq0)$ converges almost-surely to a finite random variable. When $in{t}_{0}fracPhi(u)|Psi(u)|du=infty$, 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.

Full work available at URL: https://arxiv.org/abs/2009.12564

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zbMATH Keywords

limit distributionregularly varying functionsimmigrationcontinuous-state branching processesGrey's martingalenonlinear renormalization

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

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• Asymptotic behavior of projections of supercritical multi-type continuous-state and continuous-time branching processes with immigration
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