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Continuous-State Branching Processes and Self-Similarity


Reference:

Kyprianou, A. E. and Pardo, J.-C., 2008. Continuous-State Branching Processes and Self-Similarity. Journal of Applied Probability, 45 (4), pp. 1140-1160.

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Official URL:

http://dx.doi.org/10.1239/jap/1231340239

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Abstract

In this paper we study the α-stable continuous-state branching processes (for α ∈ (1, 2]) and the α-stable continuous-state branching processes conditioned never to become extinct in the light of positive self-similarity. Understanding the interaction of the Lamperti transformation for continuous-state branching processes and the Lamperti transformation for positive, self-similar Markov processes gives access to a number of explicit results concerning the paths of α-stable continuous-state branching processes and α-stable continuous-state branching processes conditioned never to become extinct.

Details

Item Type Articles
CreatorsKyprianou, A. E.and Pardo, J.-C.
DOI10.1239/jap/1231340239
Related URLs
URLURL Type
http://arxiv.org/abs/0712.0987Author
DepartmentsFaculty of Science > Mathematical Sciences
RefereedYes
StatusPublished
ID Code12740
Additional InformationPositive, self-similar Markov process, Lamperti representation, Stable Levy process, Conditioning to stay positive, Continuous-state branching process

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