On the hitting times of continuous-state branching processes with immigration

We study a two-dimensional joint distribution related to the first passage time below a level for a continuous-state branching process with immigration. We provide an explicit expression of its Laplace transform and obtain a necessary and sufficient criterion for transience or recurrence. We follow the approach of Shiga (1990), by finding some λ-invariant functions for the generator.

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Year of publication:	2014
Authors:	Duhalde, Xan ; Foucart, Clément ; Ma, Chunhua
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 12, p. 4182-4201
Publisher:	Elsevier
Subject:	Continuous-state branching processes \| Immigration \| Scale function \| Entrance time \| Transience and recurrence \| Polarity

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011065116