A martingale transformation for superprocesses

Hui He and Nana Luan

Statistics & Probability Letters, 2012, vol. 82, issue 6, 1082-1087

Abstract: In this note, we prove a new martingale transformation for superprocesses with general branching mechanisms which could be regarded as a Girsanov type transformation in measure-valued setting. As an application, a criterion for global extinction of superprocesses with spatially dependent branching mechanisms is given.

Keywords: Superprocess; Martingale transformation; Girsanov transformation; Extinction probability (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spl.2012.03.001

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