On the hitting times of continuous-state branching processes with immigration

We study a two-dimensional joint distribution related to the first passage time below a level for a continuous-state branching process with immigration. We provide an explicit expression of its Laplace transform and obtain a necessary and sufficient criterion for transience or recurrence. We follow...

Full description

Saved in:
Bibliographic Details
Published inStochastic processes and their applications Vol. 124; no. 12; pp. 4182 - 4201
Main Authors Duhalde, Xan, Foucart, Clément, Ma, Chunhua
Format Journal Article
LanguageEnglish
Published Elsevier B.V 01.12.2014
Elsevier
Subjects
Continuous-state branching processes
Entrance time
Immigration
Mathematics
Polarity
Probability
Scale function
Transience and recurrence
Entrance time
Continuous-state branching processes
60J80
Immigration
Polarity
Scale function
Transience and recurrence
60J25
60G17
Online AccessGet full text
ISSN0304-4149
1879-209X
DOI10.1016/j.spa.2014.07.019

Cover

More Information
Summary:We study a two-dimensional joint distribution related to the first passage time below a level for a continuous-state branching process with immigration. We provide an explicit expression of its Laplace transform and obtain a necessary and sufficient criterion for transience or recurrence. We follow the approach of Shiga (1990), by finding some λ-invariant functions for the generator.
ISSN:0304-4149
1879-209X
DOI:10.1016/j.spa.2014.07.019