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

Research output: Contribution to journalResearch articleContributedpeer-review

Contributors

  • Martin Keller-Ressel - , Technical University of Berlin (Author)
  • Aleksandar Mijatović - , University of Warwick (Author)

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

Original languageEnglish
Pages (from-to)2329-2345
Number of pages17
JournalStochastic processes and their applications
Volume122
Issue number6
Publication statusPublished - Jun 2012
Peer-reviewedYes
Externally publishedYes

External IDs

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

Keywords

Sustainable Development Goals

Keywords

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