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On SDE associated with continuous-state branching processes conditioned to never be extinct


 
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1. Title Title of document On SDE associated with continuous-state branching processes conditioned to never be extinct
 
2. Creator Author's name, affiliation, country Maria Clara Fittipaldi; Universidad de Chile; Chile
 
2. Creator Author's name, affiliation, country Joaquin Fontbona T.; University of Chile; Chile
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Stochastic Differential Equations; Continuous-state branching processes; Non-extinction; Immigration
 
3. Subject Subject classification 60J80; 60H20; 60H10
 
4. Description Abstract We study the  pathwise description of  a (sub-)critical continuous-state branching process (CSBP) conditioned to be never extinct, as  the solution to a stochastic differential equation driven by Brownian motion  and Poisson point measures. The interest of our approach,  which relies on applying Girsanov theorem on the SDE that describes the unconditioned CSBP, is that it  points out an explicit mechanism to build the immigration term appearing in the conditioned process, by randomly selecting jumps of the original one. These techniques should also be useful to represent more general $h$-transforms of diffusion-jump processes.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) CONICYT
 
7. Date (YYYY-MM-DD) 2012-10-09
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1972
 
10. Identifier Digital Object Identifier 10.1214/ECP.v17-1972
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 17
 
12. Language English=en en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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