Lamperti transformation for continuous-state branching processes with competition and applications

被引：6
|
作者：
Ma, Rugang [1 ]
机构：
[1] Cent Univ Finance & Econ, Sch Math & Stat, Beijing 100081, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2015年 / 107卷
关键词：
Lamperti transformation; Continuous-state branching process; Competition; Stochastic equation; STOCHASTIC-EQUATIONS; LOGISTIC GROWTH;
D O I：
10.1016/j.spl.2015.07.038
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The Lamperti transformation is established between continuous-state branching processes (CB-processes) with competition and strong solutions of a certain type of stochastic equations driven by Levy processes without negative jumps. Using this result we study the maximal jumps of CB-processes with competition. In particular, we obtain the distributions of the maximal jumps of CB-processes and logistic branching processes. (C) 2015 Elsevier B.V. All rights reserved.
引用
收藏
页码：11 / 17
页数：7
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