Continuous-State Branching Processes and Self-Similarity
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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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.
|Creators||Kyprianou, A. E.and Pardo, J.-C.|
|Departments||Faculty of Science > Mathematical Sciences|
|Additional Information||Positive, self-similar Markov process, Lamperti representation, Stable Levy process, Conditioning to stay positive, Continuous-state branching process|
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