?-measure for continuous state branching processes and its application

In this paper, we first give a direct construction of the ℕ-measure of a continuous state branching process. Then we prove, with the help of this ℕ-measure, that any continuous state branching process with immigration can be constructed as the independent sum of a continuous state branching process (without immigration), and two immigration parts (jump immigration and continuum immigration). As an application of this construction of a continuous state branching process with immigration, we give a proof of a necessary and sufficient condition, first stated without proof by M. A. Pinsky Bull. Amer. Math. Soc., 1972, 78: 242–244], for a continuous state branching process with immigration to a proper almost sure limit. As another application of the ℕ-measure, we give a “conceptual” proof of an L log L criterion for a continuous state branching process without immigration to have an L ¹-limit first proved by D. R. Grey J. Appl. Prob., 1974, 11: 669–677].