Small value probabilities for continuous state branching processes with immigration

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.     

Estimation for discretely observed continuous state branching processes with immigration

We study the problem of parameter estimation for the continuous state branching processes with immigration, observed at discrete time points. The weighted conditional least square estimators (WCLSEs) are used for the drift parameters. Under the proper moment conditions, asymptotic distributions of the WCLSEs are obtained in the supercritical, sub- or critical cases.     

Spectral properties for a class of continuous state branching processes with immigration

We explicitly construct nontrivial invariant probability measures for a class of continuous state branching processes with immigration. The class of these measures include random Gamma measures and path space measures of Lévy subordinators as particular examples. Using the explicit construction we study long-time behaviour and hypercontractivity of the transition semigroups in corresponding L²-spaces.     

Time to most recent common ancestor for stationary continuous state branching processes with immigration

Motivated by sample path decomposition of the stationary continuous state branching process with immigration, a general population model is considered using the idea of immortal individual. We compute the joint distribution of the random variables： the time to the most recent common ancestor （MRCA）, the size of the current population, and the size of the population just before MRCA. We obtain the bottleneck effect as well. The distribution of the number of the oldest families is also established. These generalize the results obtained by Y. T. Chen and J. F. Delmas.     

Nonlinear branching processes with immigration

The nonlinear branching process with immigration is constructed as the pathwise unique solution of a stochastic integral equation driven by Poisson random measures. Some criteria for the regularity, recurrence, ergodicity and strong ergodicity of the process are then established.     

Exponential functional of a new family of Lévy processes and self-similar continuous state branching processes with immigration

We first introduce and derive some basic properties of a two-parameters (α,γ) family of one-sided Lévy processes, with 1<α<2 and γ>−α. Their Laplace exponents are given in terms of the Pochhammer symbol as follows

     

The genealogy of continuous-state branching processes with immigration

Recent works by J.F. Le Gall and Y. Le Jan [15] have extended the genealogical structure of Galton-Watson processes to continuous-state branching processes (CB). We are here interested in processes with immigration (CBI). The height process H which contains all the information about this genealogical structure is defined as a simple local time functional of a strong Markov process X ^*, called the genealogy-coding process (GCP). We first show its existence using It?’s synthesis theorem. We then give a pathwise construction of X ^* based on a Lévy process X with no negative jumps that does not drift to +∞ and whose Laplace exponent coincides with the branching mechanism, and an independent subordinator Y whose Laplace exponent coincides with the mechanism. We conclude the construction with proving that the local time process of H is a CBI-process. As an application, we derive the analogue of the classical Ray–Knight–Williams theorem for a general Lévy process with no negative jumps. Received: 28 January 2000 / Revised version: 5 February 2001 / Published online: 11 December 2001     

Supercritical age-dependent branching processes with immigration

This paper considers a population process where individuals reproduce according to an age-dependent branching process and immigrants enter the population at the event epochs of an ergodic point process. A limit theorem is proven for what corresponds to the supercritical case, and the limit random variable is investigated.     

Markov branching processes with instantaneous immigration

Summary Markov branching processes with instantaneous immigration possess the property that immigration occurs immediately the number of particles reaches zero, i.e. the conditional expectation of sojourn time at zero is zero. In this paper we consider the existence and uniqueness of such a structure. We prove that if the sum of the immigration rates is finite then no such structure can exist, and we provide a necessary and sufficient condition for existence for the case in which this sum is infinite. Study of the uniqueness problem shows that for honest processes the solution is unique.     

Sevastyanov branching processes with non-homogeneous Poisson immigration

Sevastyanov age-dependent branching processes allowing an immigration component are considered in the case when the moments of immigration form a non-homogeneous Poisson process with intensity r(t). The asymptotic behavior of the expectation and of the probability of non-extinction is investigated in the critical case depending on the asymptotic rate of r(t). Corresponding limit theorems are also proved using different types of normalization. Among them we obtained limiting distributions similar to the classical ones of Yaglom (1947) and Sevastyanov (1957) and also discovered new phenomena due to the non-homogeneity.     

Almost sure,L_1-and L_2-growth behavior of supercritical multi-type continuous state and continuous time branching processes with immigration

Under a first order moment condition on the immigration mechanism, we show that an appropriately scaled supercritical and irreducible multi-type continuous state and continuous time branching process with immigration(CBI process) converges almost surely. If an x log(x) moment condition on the branching mechanism does not hold, then the limit is zero. If this x log(x) moment condition holds, then we prove L_1 convergence as well. The projection of the limit on any left non-Perron eigenvector of the branching mean matrix is vanishing.If, in addition, a suitable extra power moment condition on the branching mechanism holds, then we provide the correct scaling for the projection of a CBI process on certain left non-Perron eigenvectors of the branching mean matrix in order to have almost sure and L_1 limit. Moreover, under a second order moment condition on the branching and immigration mechanisms, we prove L_2 convergence of an appropriately scaled process and the above-mentioned projections as well. A representation of the limits is also provided under the same moment conditions.     

A stochastic and dynamic routing policy using branching processes with state dependent immigration

A stochastic and dynamic vehicle routing problem called the Dynamic Traveling Repairman Problem (DTRP) was introduced by Bertsimas and van Ryzin. Several routing policies were analyzed in light traffic and in heavy traffic conditions. But, the good light traffic policies become very quickly unstable with increasing traffic intensity, and the good heavy traffic policies are inefficient in light traffic conditions. In this paper, a new routing policy is defined and analyzed, using results from branching processes with state dependent immigration. This policy not only performs optimally in light traffic, but also performs very well in heavy traffic. This is important to the designer of a service system because the traffic conditions may be variable and/or be unpredictable, and having to switch routing policies could prove to be costly and difficult to implement.     

Backbone decomposition for continuous-state branching processes with immigration

In the spirit of Duquesne and Winkel (2007) and Berestycki et al. (2011), we show that supercritical continuous-state branching process with a general branching mechanism and general immigration mechanism is equivalent in law to a continuous-time Galton-Watson process with immigration (with Poissonian dressing). The result also helps to characterise the limiting backbone decomposition which is predictable from the work on consistent growth of Galton-Watson trees with immigration in Cao and Winkel (2010).     

Lower deviations for supercritical branching processes with immigration

For a supercritical branching processes with immigration \{{{\displaystyle Z}}_n\}; it is known that under suitable conditions on the offspring and immigration distributions, Z_n/mⁿ converges almost surely to a finite and strictly positive limit, where m is the offspring mean. We are interested in the limiting properties of P({{\displaystyle Z}}_n={{\displaystyle k}}_n) with {{\displaystyle k}}_n=o(m^n) as n\to \infty. We give asymptotic behavior of such lower deviation probabilities in both Schröder and Böttcher cases, unifying and extending the previous results for Galton-Watson processes in literature.     

On sequential estimation for branching processes with immigration

Consider a Galton–Watson process with immigration. The limiting distributions of the nonsequential estimators of the offspring mean have been proved to be drastically different for the critical case and subcritical and supercritical cases. A sequential estimator, proposed by Sriram et al. (Ann. Statist. 19 (1991) 2232), was shown to be asymptotically normal for both the subcritical and critical cases. Based on a certain stopping rule, we construct a class of two-stage estimators for the offspring mean. These estimators are shown to be asymptotically normal for all the three cases. This gives, without assuming any prior knowledge, a unified estimation and inference procedure for the offspring mean.