The sector constants of continuous state branching processes with immigration

Details The sector constants of continuous state branching processes with immigration The sector constants of continuous state branching processes with immigration

2011-08-05

arxiv.org/abs/1108.1289v2

Mathematics

Probability

36 pages, LaTex; The proof of Lemma 2.1 has been removed

Scientific paper

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.

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