Integral Functionals for Spectrally Positive Lévy Processes

Pei-Sen Li () and Xiaowen Zhou ()
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Pei-Sen Li: Beijing Institute of Technology
Xiaowen Zhou: Concordia University

Journal of Theoretical Probability, 2023, vol. 36, issue 1, 297-314

Abstract: Abstract We find necessary and sufficient conditions for almost sure finiteness of integral functionals of spectrally positive Lévy processes under conditional probabilities. Via Lamperti-type transforms, these results can be applied to obtain new integral tests on extinction and explosion behaviors for a class of continuous-state nonlinear branching processes.

Keywords: Lévy process; Continuous-state branching process; Stochastic integral equation; Explosion; Extinction; Lamperti transform; Integral test; Primary 60J80; Secondary 60H30; 92D15; 92D25 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10959-022-01176-y

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