Electronic Communications in Probability
- Electron. Commun. Probab.
- Volume 17 (2012), paper no. 49, 13 pp.
On SDE associated with continuous-state branching processes conditioned to never be extinct
We study the pathwise description of a (sub-)critical continuous-state branching process (CSBP) conditioned to be never extinct, as the solution to a stochastic differential equation driven by Brownian motion and Poisson point measures. The interest of our approach, which relies on applying Girsanov theorem on the SDE that describes the unconditioned CSBP, is that it points out an explicit mechanism to build the immigration term appearing in the conditioned process, by randomly selecting jumps of the original one. These techniques should also be useful to represent more general $h$-transforms of diffusion-jump processes.
Electron. Commun. Probab., Volume 17 (2012), paper no. 49, 13 pp.
Accepted: 9 October 2012
First available in Project Euclid: 7 June 2016
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Fittipaldi, Maria; Fontbona, Joaquin. On SDE associated with continuous-state branching processes conditioned to never be extinct. Electron. Commun. Probab. 17 (2012), paper no. 49, 13 pp. doi:10.1214/ECP.v17-1972. https://projecteuclid.org/euclid.ecp/1465263182