Small value probabilities for continuous state branching processes with immigration |
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Authors: | WeiJuan Chu WenBo V Li YanXia Ren |
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Institution: | 1. Department of Mathematics, Nanjing University, Nanjing, 210093, China 2. Department of Mathematical Sciences, University of Delaware, Newark, DE, 19716, USA 3. LMAM, Center for Statistical Science, School of Mathematical Sciences, Peking University, Beijing, 100871, China
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Abstract: | We consider the small value probability of supercritical continuous state branching processes with immigration.From Pinsky(1972) it is known that under regularity condition on the branching mechanism and immigration mechanism,the normalized population size converges to a non-degenerate finite and positive limit W as t tends to infinity.We provide sharp estimate on asymptotic behavior of P(W≤ε) as ε → 0+ by studying the Laplace transform of W.Without immigration,we also give a simpler proof for the small value probability in the non-subordinator case via the prolific backbone decomposition. |
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Keywords: | continuous state branching process small value probability immigration |
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