On the law of terminal value of additive martingales in a remarkable branching stable process

Hairuo Yang

Stochastic Processes and their Applications, 2023, vol. 158, issue C, 361-376

Abstract: We give an explicit description of the law of terminal value W of additive martingales in a remarkable branching stable process. We show that the right tail probability of the terminal value decays exponentially fast and the left tail probability follows that −logP(WKeywords: Branching random walk; Additive martingale; Branching stable processes; Smoothing transforms (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spa.2023.01.005

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