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Continuous-state branching processes with migration

Vidmar Matija

Probability and Mathematical Statistics

2022

Vol. 42, Fasc. 2

227--249

Continuous-state branching processes (CSBPs) with immigration (CBIs), stopped on hitting zero, are generalized by allowing the process governing immigration to be any Lévy process without negative jumps. Unlike CBIs, these newly introduced processes do not appear to satisfy any natural affine property on the level of the Laplace transforms of the semigroups. Basic properties of these processes are described. Explicit formulae (on neighborhoods of infinity) for the Laplace transforms of the first passage times downwards and of the explosion time are derived.