We study stochastic equations of non-negative processes with jumps. The existence and uniqueness of strong solutions are established under Lipschitz and non-Lipschitz conditions. Under suitable conditions, the comparison properties of solutions are proved. Those results are applied to construct continuous state branching processes with immigration as strong solutions of stochastic equations.
We first prove some general results on pathwise uniqueness, comparison
property and existence of nonnegative strong solutions of stochastic equations
driven by white noises and Poisson random measures. The results are then used
to prove the strong existence of two classes of stochastic flows associated
with coalescents with multiple collisions, that is, generalized Fleming--Viot
flows and flows of continuous-state branching processes with immigration. One
of them unifies the different treatments of three kinds of flows in Bertoin and
Le Gall [Ann. Inst. H. Poincar\'{e} Probab. Statist. 41 (2005) 307--333]. Two
scaling limit theorems for the generalized Fleming--Viot flows are proved,
which lead to sub-critical branching immigration superprocesses. From those
theorems we derive easily a generalization of the limit theorem for finite
point motions of the flows in Bertoin and Le Gall [Illinois J. Math. 50 (2006)
147--181].Comment: Published in at http://dx.doi.org/10.1214/10-AOP629 the Annals of
Probability (http://www.imstat.org/aop/) by the Institute of Mathematical
Statistics (http://www.imstat.org
A general affine Markov semigroup is formulated as the convolution of a
homogeneous one with a skew convolution semigroup. We provide some sufficient
conditions for the regularities of the homogeneous affine semigroup and the
skew convolution semigroup. The corresponding affine Markov process is
constructed as the strong solution of a system of stochastic equations with
non-Lipschitz coefficients and Poisson-type integrals over some random sets.
Based on this characterization, it is proved that the affine process arises
naturally in a limit theorem for the difference of a pair of reactant processes
in a catalytic branching system with immigration.Comment: Published at http://dx.doi.org/10.1214/009117905000000747 in the
Annals of Probability (http://www.imstat.org/aop/) by the Institute of
Mathematical Statistics (http://www.imstat.org
We study the estimation of a stable Cox-Ingersoll-Ross model, which is a special subcritical continuousstate branching process with immigration. The exponential ergodicity and strong mixing property of the process are proved by a coupling method. The regular variation properties of distributions of the model are studied. The key is to establish the convergence of some point processes and partial sums associated with the model. From those results, we derive the consistency and central limit theorems of the conditional least squares estimators (CLSEs) and the weighted conditional least squares estimators (WCLSEs) of the drift parameters based on low frequency observations. The theorems show that the WCLSEs are more efficient than the CLSEs and their errors have distinct decay rates n −(α−1)/α and n −(α−1)/α 2 , respectively, as the sample sizes n goes to infinity. The arguments depend heavily on the recent results on the construction and characterization of the model in terms of stochastic equations.
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