On the limit distributions of continuous-state branching processes with immigration

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

Beitragende

  • Martin Keller-Ressel - , Technische Universität Berlin (Autor:in)
  • Aleksandar Mijatović - , University of Warwick (Autor:in)

Abstract

We consider the class of continuous-state branching processes with immigration (CBI-processes), introduced by Kawazu and Watanabe (1971) [10] and their limit distributions as time tends to infinity. We determine the Lévy-Khintchine triplet of the limit distribution and give an explicit description in terms of the characteristic triplet of the Lévy subordinator and the scale function of the spectrally positive Lévy process, which describe the immigration resp. branching mechanism of the CBI-process. This representation allows us to describe the support of the limit distribution and characterize its absolute continuity and asymptotic behavior at the boundary of the support, generalizing several known results on self-decomposable distributions.

Details

OriginalspracheEnglisch
Seiten (von - bis)2329-2345
Seitenumfang17
FachzeitschriftStochastic processes and their applications
Jahrgang122
Ausgabenummer6
PublikationsstatusVeröffentlicht - Juni 2012
Peer-Review-StatusJa
Extern publiziertJa

Externe IDs

ORCID /0000-0003-0913-3363/work/167706919

Schlagworte

Ziele für nachhaltige Entwicklung

Schlagwörter

  • Branching processes with immigration, Infinitesimal generator, Limit distribution, Scale function, Self-decomposable distribution, Spectrally positive Lévy process, Stationary distribution