| Título: | On SDE associated with continuous-state branching processes conditioned to never be extinct |
| Autores: |
Fittipaldi, Maria Clara; Universidad de Chile Fontbona T., Joaquin; University of Chile |
| Fecha: | 2012-01-02 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: | Peer-reviewed Article |
| Tema: |
Stochastic Differential Equations; Continuous-state branching processes; Non-extinction; Immigration 60J80; 60H20; 60H10 |
| Descripción: | We study the pathwise description of a (sub-)critical continuous-state branching process (CSBP) conditioned to be never extinct, as the solution to a stochastic differential equation driven by Brownian motion and Poisson point measures. The interest of our approach, which relies on applying Girsanov theorem on the SDE that describes the unconditioned CSBP, is that it points out an explicit mechanism to build the immigration term appearing in the conditioned process, by randomly selecting jumps of the original one. These techniques should also be useful to represent more general $h$-transforms of diffusion-jump processes. |
| Idioma: | Inglés |
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