On the hitting times of continuous-state branching processes with immigration
From MaRDI portal
Publication:744241
DOI10.1016/J.SPA.2014.07.019zbMATH Open1323.60116arXiv1310.7401OpenAlexW2084875701MaRDI QIDQ744241FDOQ744241
Authors: Xan Duhalde, Clément Foucart, Chunhua Ma 
Publication date: 6 October 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: We study the two-dimensional joint distribution of the first hitting time of a constant level by a continuous-state branching process with immigration and their primitive stopped at this time. We show an explicit expression of its Laplace transform. Using this formula, we study the polarity of zero and provide a necessary and sufficient criterion for transience or recurrence. We follow the approach of Shiga, T. (1990) [A recurrence criterion for Markov processes of Ornstein-Uhlenbeck type. Probability Theory and Related Fields, 85(4), 425-447], by finding some -invariant functions for the generator.
Full work available at URL: https://arxiv.org/abs/1310.7401
Recommendations
- Moments of continuous-state branching processes with or without immigration
- Distributions of jumps in a continuous-state branching process with immigration
- Continuous-state branching processes with spectrally positive migration
- Continuous-time branching processes with decreasing state-dependent immigration
- Small value probabilities for continuous state branching processes with immigration
scale functionrecurrencetransienceimmigrationpolaritycontinuous-state branching processesentrance time
Continuous-time Markov processes on general state spaces (60J25) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Sample path properties (60G17)
Cites Work
- Title not available (Why is that?)
- Introductory lectures on fluctuations of Lévy processes with applications.
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Measure-valued branching Markov processes
- Stochastic equations, flows and measure-valued processes
- Diffusion processes and their sample paths.
- Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
- The Bolthausen-Sznitman coalescent and the genealogy of continuous-state branching processes
- The genealogy of continuous-state branching processes with immigration
- Quasi-stationary distributions and the continuous-state branching process conditioned to be never extinct
- A Lamperti-type representation of continuous-state branching processes with immigration
- On the limit distributions of continuous-state branching processes with immigration
- Sur certains processus de lévy conditionnés à rester positifs
- Continuous state branching processes
- Title not available (Why is that?)
- Martingales and First-Passage Times for Ornstein--Uhlenbeck Processes with a Jump Component
- On the eve property for CSBP
- Exponential functional of a new family of Lévy processes and self-similar continuous state branching processes with immigration
- q-Invariant Functions for Some Generalizations of the Ornstein-Uhlenbeck Semigroup
- Limit theorems for continuous state branching processes with immigration
- A recurrence criterion for Markov processes of Ornstein-Uhlenbeck type
- Asymptotic properties of the Markov branching process with immigration
- Local extinction in continuous-state branching processes with immigration
- Continuous branching processes and spectral positivity
- On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance
- Title not available (Why is that?)
Cited In (31)
- On the anisotropic stable JCIR process
- Purely excessive functions and hitting times of continuous-time branching processes
- Moments of continuous-state branching processes with or without immigration
- On the boundary behavior of multi-type continuous-state branching processes with immigration
- On the extinction of continuous state branching processes with competition
- Continuous-state branching processes with spectrally positive migration
- Exponential ergodicity for general continuous-state nonlinear branching processes
- On the explosion of a class of continuous-state nonlinear branching processes
- Exponential ergodicity of an affine two-factor model based on the α-root process
- Continuous-state branching processes with collisions: first passage times and duality
- Coalescences in continuous-state branching processes
- Alpha-CIR model with branching processes in sovereign interest rate modeling
- Extinction time of logistic branching processes in a Brownian environment
- First passage upwards for state-dependent-killed spectrally negative Lévy processes
- Entrance laws for continuous-state nonlinear branching processes coming down from infinity
- Some characterizations for Markov processes at first passage
- A continuous-state polynomial branching process
- A general continuous-state nonlinear branching process
- Title not available (Why is that?)
- Smoothness of continuous state branching with immigration semigroups
- Weak convergence of continuous-state branching processes with large immigration
- Extinction time and the total mass of the continuous-state branching processes with competition
- Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes
- Existence of densities for multi-type continuous-state branching processes with immigration
- Distributions of jumps in a continuous-state branching process with immigration
- Limit theorems for continuous-state branching processes with immigration
- Refracted continuous-state branching processes: self-regulating populations
- Complete monotonicity of time-changed Lévy processes at first passage
- Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data
- Some harmonic functions for killed Markov branching processes with immigration and culling
- Scaling limits for a class of regular \(\Xi\)-coalescents
This page was built for publication: On the hitting times of continuous-state branching processes with immigration
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q744241)
