Related papers: Refracted Continuous-State Branching Processes: Se…

Model reduction of Markov processes is a basic problem in modeling state-transition systems. Motivated by the state aggregation approach rooted in control theory, we study the statistical state compression of a discrete-state Markov chain…

In this article, we present a novel inference framework for estimating the parameters of Continuous-State Branching Processes (CSBPs). We do so by leveraging their subordinator representation. Our method reformulates the estimation problem…

We revisit an absolutely-continuous version of the stochastic control problem driven by a L\'evy process. A strategy must be absolutely continuous with respect to the Lebesgue measure and the running cost function is assumed to be convex.…

Markov-modulated L\'evy processes with two different regimes of restarting are studied. These regimes correspond to the completely renewed process and to the process of Markov modulation, accompanied by jumps. We give explicit expressions…

Scaling limits for continuous-time branching processes with discrete state space are provided as the initial state tends to infinity. Depending on the finiteness or non-finiteness of the mean and/or the variance of the offspring…

A branching L\'evy process can be seen as the continuous-time version of a branching random walk. It describes a particle system on the real line in which particles move and reproduce independently in a Poissonian manner. Just as for L\'evy…

Branching processes are models used to describe populations that reproduce and die over time. In the classical setting, an individual's reproductive capacity remains constant throughout its lifetime. However, in real-world situations,…

Representations of branching Markov processes and their measure-valued limits in terms of countable systems of particles are constructed for models with spatially varying birth and death rates. Each particle has a location and a "level,"…

We construct a family of self-similar Markov martingales with given marginal distributions. This construction uses the self-similarity and Markov property of a reference process to produce a family of Markov processes that possess the same…

This article studies the quasi-stationary behaviour of population processes with unbounded absorption rate, including one-dimensional birth and death processes with catastrophes and multi-dimensional birth and death processes, modeling…

We consider the diffusion approximation of branching processes in random environment (BPREs). This diffusion approximation is similar to and mathematically more tractable than BPREs. We obtain the exact asymptotic behavior of the survival…

We investigate the well-posedness and asymptotic self-similarity of solutions to a generalized Smoluchowski coagulation equation recently introduced by Bertoin and Le Gall in the context of continuous-state branching theory. In particular,…

We define the height process for super-critical continuous state branching processes with quadratic branching mechanism. It appears as a projective limit of Brownian motions with positive drift reflected at 0 and a>0 as a goes to infinity.…

Conditioning stable L\'evy processes on zero probability events recently became a tractable subject since several explicit formulas emerged from a deep analysis using the Lamperti transformations for self-similar Markov processes. In this…

In this paper we study a spectrally negative L\'evy process which is refracted at its running maximum and at the same time reflected from below at a certain level. Such a process can for instance be used to model an insurance surplus…

Since the seminal work of Lamperti there is a lot of interest in the understanding of the general structure of self-similar Markov processes. Lamperti gave a representation of positive self-similar Markov processes with initial condition…

In this paper, we study the extinction time of logistic branching processes which are perturbed by an independent random environment driven by a Brownian motion. Our arguments use a Lamperti-type representation which is interesting on its…

Consider a one-sided Markov additive process with an upper and a lower barrier, where each can be either reflecting or terminating. For both defective and non-defective processes and all possible scenarios we identify the corresponding…

In this work we give a complete description to the asymptotic behaviors of exponential functionals of L\'evy processes and divide them into five different types according to their convergence rates. Not only their exact convergence speeds…

In this paper we study positive self-similar Markov processes obtained by (partially) resurrecting a strictly $\alpha$-stable process at its first exit time from $(0,\infty)$. We construct those processes by using the Lamperti transform. We…