Asymptotic Results for Rough Continuous-state Branching Processes

2021/07/13 by Wei Xu, Xu, Wei
Economics, Econometrics and Finance · Mathematics · #60J80 #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Primary 60G22 #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #secondary 60E05

paper · pdf · doi:10.48550/arxiv.2107.05888

openalex publication_date 2021/07/13 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper we provide explicit representations of Laplace transforms of extinction time and total progeny of rough continuous-state branching processes introduced in [7]. Also, we show that their tail distributions are much fatter than those of Feller branching diffusions.

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