Extinction properties of multi-type continuous-state branching processes

Andreas Kyprianou, Sandra Palau Calderon

Research output: Contribution to journalArticle

3 Citations (Scopus)
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Abstract

Recently in Barczy, Li and Pap (2015), the notion of a multi-type continuous-state branching process (with immigration) having d-types was introduced as a solution to an d-dimensional vector- valued SDE. Preceding that, work on affine processes, originally motivated by math- ematical finance, in Duffie, Filipovic and Schachermayer (2003) also showed the existence of such processes. See also more recent contributions in this direction due to Gabrielli and Teichmann (2014) and Caballero, Perez Garmendia and Uribe Bravo (2015). Older work on multi-type continuous-state branching processes is more sparse but includes Watanabe (1969) and Ma (2013), where only two types are considered. In this paper we take a completely different approach and consider multi-type continuous-state branching process, now allowing for up to a countable infinity of types, defined instead as a super Markov chain with both local and non-local branching mechanisms. In the spirit of Englander and Kyprianou (2004) we explore their extinction properties and pose a number of open problems.
Original languageEnglish
Pages (from-to)1-24
Number of pages24
JournalStochastic Processes and their Applications
Volume128
Issue number10
Early online date24 Nov 2017
DOIs
Publication statusPublished - 1 Oct 2018

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Continuous-state Branching Process
Multitype Branching Process
Finance
Extinction
Markov processes
Mathematical Finance
Immigration
Countable
Branching
Open Problems
Markov chain
Infinity

Cite this

Extinction properties of multi-type continuous-state branching processes. / Kyprianou, Andreas; Palau Calderon, Sandra.

In: Stochastic Processes and their Applications, Vol. 128, No. 10, 01.10.2018, p. 1-24.

Research output: Contribution to journalArticle

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