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Lamperti transformation for continuous-state branching processes with competition and applications

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  • Ma, Rugang

Abstract

The Lamperti transformation is established between continuous-state branching processes (CB-processes) with competition and strong solutions of a certain type of stochastic equations driven by Lévy processes without negative jumps. Using this result we study the maximal jumps of CB-processes with competition. In particular, we obtain the distributions of the maximal jumps of CB-processes and logistic branching processes.

Suggested Citation

  • Ma, Rugang, 2015. "Lamperti transformation for continuous-state branching processes with competition and applications," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 11-17.
    • Handle: RePEc:eee:stapro:v:107:y:2015:i:c:p:11-17
    DOI: 10.1016/j.spl.2015.07.038
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    References listed on IDEAS

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    1. Patie, Pierre, 2005. "On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance," Stochastic Processes and their Applications, Elsevier, vol. 115(4), pages 593-607, April.
    2. Fu, Zongfei & Li, Zenghu, 2010. "Stochastic equations of non-negative processes with jumps," Stochastic Processes and their Applications, Elsevier, vol. 120(3), pages 306-330, March.
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