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

Xan Duhalde, Clément Foucart and Chunhua Ma

Stochastic Processes and their Applications, 2014, vol. 124, issue 12, 4182-4201

Abstract: 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.

Keywords: Continuous-state branching processes; Immigration; Scale function; Entrance time; Transience and recurrence; Polarity (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (12)

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DOI: 10.1016/j.spa.2014.07.019

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