The Annals of Probability

A Lamperti-type representation of continuous-state branching processes with immigration

M. Emilia Caballero, José Luis Pérez Garmendia, and Gerónimo Uribe Bravo

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Abstract

Guided by the relationship between the breadth-first walk of a rooted tree and its sequence of generation sizes, we are able to include immigration in the Lamperti representation of continuous-state branching processes. We provide a representation of continuous-state branching processes with immigration by solving a random ordinary differential equation driven by a pair of independent Lévy processes. Stability of the solutions is studied and gives, in particular, limit theorems (of a type previously studied by Grimvall, Kawazu and Watanabe and by Li) and a simulation scheme for continuous-state branching processes with immigration. We further apply our stability analysis to extend Pitman’s limit theorem concerning Galton–Watson processes conditioned on total population size to more general offspring laws.

Article information

Source
Ann. Probab. Volume 41, Number 3A (2013), 1585-1627.

Dates
First available in Project Euclid: 29 April 2013

Permanent link to this document
https://projecteuclid.org/euclid.aop/1367241507

Digital Object Identifier
doi:10.1214/12-AOP766

Mathematical Reviews number (MathSciNet)
MR3098685

Zentralblatt MATH identifier
1300.60101

Subjects
Primary: 60J80: Branching processes (Galton-Watson, birth-and-death, etc.) 60F17: Functional limit theorems; invariance principles

Keywords
Lévy processes continuous branching processes with immigration time-change

Citation

Caballero, M. Emilia; Pérez Garmendia, José Luis; Uribe Bravo, Gerónimo. A Lamperti-type representation of continuous-state branching processes with immigration. Ann. Probab. 41 (2013), no. 3A, 1585--1627. doi:10.1214/12-AOP766. https://projecteuclid.org/euclid.aop/1367241507


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