Limit theorems for time averages of continuous-state branching processes with immigration

arXiv2208.12695MaRDI QIDQ6408932FDOQ6408932

Barbara Rüdiger, Martin Friesen, Mariem Abdellatif, Peter Kuchling

Publication date: 26 August 2022

Abstract: In this work we investigate limit theorems for the time-averaged process $left(frac1tin{t}_0^t{X}_s^{x}dsight{)}_{tgeq0}$ where $X^x$ is a subcritical continuous-state branching processes with immigration (CBI processes) starting in $xgeq0$. Under a second moment condition on the branching and immigration measures we first prove the law of large numbers in $L^2$ and afterward establish the central limit theorem. Assuming additionally that the big jumps of the branching and immigration measures have finite exponential moments of some order, we prove in our main result the large deviation principle and provide a semi-explicit expression for the good rate function in terms of the branching and immigration mechanisms. Our methods are deeply based on a detailed study of the corresponding generalized Riccati equation and related exponential moments of the time-averaged process.

Mathematics Subject Classification ID

Large deviations (60F10) Central limit and other weak theorems (60F05) Continuous-time Markov processes on general state spaces (60J25) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Jump processes on general state spaces (60J76)

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