Linear-fractional branching processes with countably many types
Serik Sagitov

TL;DR
This paper analyzes multi-type linear-fractional branching processes with countably many types, providing a clear recurrence criterion based on the Malthusian parameter and mean age at childbearing, using advanced analytical tools.
Contribution
It introduces a transparent criterion for R-positive recurrence in countably many type branching processes, linking it to the Malthusian parameter and age at childbearing.
Findings
Established a criterion for R-positive recurrence.
Linked recurrence to the Malthusian parameter.
Utilized contour process, spinal representation, and Perron-Frobenius theorem.
Abstract
We study multi-type Bienaym\'e-Galton-Watson processes with linear-fractional reproduction laws using various analytical tools like contour process, spinal representation, Perron-Frobenius theorem for countable matrices, renewal theory. For this special class of branching processes with countably many types we present a transparent criterion for -positive recurrence with respect to the type space. This criterion appeals to the Malthusian parameter and the mean age at childbearing of the associated linear-fractional Crump-Mode-Jagers process.
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Taxonomy
TopicsStochastic processes and statistical mechanics · Stochastic processes and financial applications · Financial Risk and Volatility Modeling
