Continuous state branching processes in random environment: the Brownian case
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Publication:511139
DOI10.1016/J.SPA.2016.07.006zbMATH Open1355.60049arXiv1506.09197OpenAlexW2963756592MaRDI QIDQ511139FDOQ511139
Publication date: 14 February 2017
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: We consider continuous state branching processes that are perturbed by a Brownian motion. These processes are constructed as the unique strong solution of a stochastic differential equation. The long-term extinction and explosion behaviours are studied. In the stable case, the extinction and explosion probabilities are given explicitly. We find three regimes for the asymptotic behaviour of the explosion probability and, as in the case of branching processes in random environment, we find five regimes for the asymptotic behaviour of the extinction probability. In the supercritical regime, we study the process conditioned on eventual extinction where three regimes for the asymptotic behaviour of the extinction probability appear. Finally, the process conditioned on non-extinction and the process with immigration are given.
Full work available at URL: https://arxiv.org/abs/1506.09197
Brownian motionQ-processcontinuous state branching processes in random environmentcontinuous state branching processes with immigration in random environmentexplosion and extinction probabilitiesexponential functional of Brownian motionsupercritical process conditioned on eventual extinction
Processes with independent increments; Lévy processes (60G51) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Sample path properties (60G17)
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Cited In (22)
- Extinction rate of continuous state branching processes in critical Lévy environments
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