The sector constants of continuous state branching processes with immigration
Abstract
Continuous state branching processes with immigration are studied. We are particularly concerned with the associated (non-symmetric) Dirichlet form. After observing that gamma distributions are only reversible distributions for this class of models, we prove that every generalized gamma convolution is a stationary distribution of the process with suitably chosen branching mechanism and with continuous immigration. For such non-reversible processes, the strong sector condition is discussed in terms of a characteristic called the Thorin measure. In addition, some connections with notion from noncommutative probability theory will be pointed out through calculations involving the Stieltjes transform.
Keywords
Cite
@article{arxiv.1108.1289,
title = {The sector constants of continuous state branching processes with immigration},
author = {Kenji Handa},
journal= {arXiv preprint arXiv:1108.1289},
year = {2011}
}
Comments
36 pages, LaTex; The proof of Lemma 2.1 has been removed