Fluctuation theory of continuous-time skip-free downward Markov chains with applications to branching processes with immigration

Authors Ronnie Loeffen, Pierre Patie, J. Wang

Publication date 30 August 2022

Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Continuous-time Markov processes on discrete state spaces (60J27)

Abstract: We develop a new methodology for the fluctuation theory of continuous-time skip-free Markov chains, extending the recent work of Choi and Patie [5] for discrete-time skip-free Markov chains. As the main application we use it to derive a full set of fluctuation identities regarding exiting a finite or infinite interval for Markov branching processes with immigration, thereby uncovering many new results for this classical family of continuous-time Markov chains. The theory also allows us to recover in a simple manner fluctuation identities for skip-free downward compound Poisson processes.

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