Continuous state branching processes in random environment: the Brownian case
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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.
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Cited in
(23)- Extinction rate of continuous state branching processes in critical Lévy environments
- Speed of extinction for continuous state branching processes in subcritical Lévy environments: the strongly and intermediate regimes
- Subcritical multitype Markov branching processes with immigration generated by Poisson random measures
- Moments of continuous-state branching processes in Lévy random environments
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- Construction of continuous-state branching processes in varying environments
- Limit theorems for a supercritical branching process with immigration in a random environment
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