On the hitting times of continuous-state branching processes with immigration
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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.
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Cited in
(31)- Scaling limits for a class of regular \(\Xi\)-coalescents
- On the anisotropic stable JCIR process
- Purely excessive functions and hitting times of continuous-time branching processes
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