2022/08/26 by Abdellatif, Mariem, Friesen, Martin, Kuchling, Peter +1
#60F05 #60F10 (Primary) #60J25 #60J76 60J80 (Secondary) #FOS: Mathematics #Probability (math.PR)
paper · doi:10.48550/arxiv.2208.12695
In this work we investigate limit theorems for the time-averaged process ((1)/(t)∫0t Xsx ds)t≥ 0 where Xx is a subcritical continuous-state branching processes with immigration (CBI processes) starting in x ≥ 0. Under a second moment condition on the branching and immigration measures we first prove the law of large numbers in L2 and afterward establish the central limit theorem. Assuming additionally that the big jumps of the branching and immigration measures have finite exponential moments of some order, we prove in our main result the large deviation principle and provide a semi-explicit expression for the good rate function in terms of the branching and immigration mechanisms. Our methods are deeply based on a detailed study of the corresponding generalized Riccati equation and related exponential moments of the time-averaged process.