TY - JOUR
T1 - Self-Decomposable Laws from Continuous Branching Processes
AU - Pakes, Anthony G.
PY - 2020/3/1
Y1 - 2020/3/1
N2 - The martingale limit law of the supercritical continuous time and state branching process either is compound Poisson or self-decomposable. This paper explores some general aspects of the latter case. A fundamental question for the latter case is whether the cumulant function of the martingale limit is a Thorin–Bernstein function. We make some progress by showing that it is special Bernstein if the cumulant function of the generating subordinator is special Bernstein. A specific parametric family of martingale limit cumulant functions is shown to be Thorin–Bernstein. Two complementary proofs of this fact are offered, one of which entirely avoids complex variable issues. The principal Lambert W-function is a boundary case of this family, thereby giving a new proof that it too is Thorin–Bernstein. Tail estimates of the distribution functions for this family are derived along with the right-hand tail and integral representations of their Lévy densities.
AB - The martingale limit law of the supercritical continuous time and state branching process either is compound Poisson or self-decomposable. This paper explores some general aspects of the latter case. A fundamental question for the latter case is whether the cumulant function of the martingale limit is a Thorin–Bernstein function. We make some progress by showing that it is special Bernstein if the cumulant function of the generating subordinator is special Bernstein. A specific parametric family of martingale limit cumulant functions is shown to be Thorin–Bernstein. Two complementary proofs of this fact are offered, one of which entirely avoids complex variable issues. The principal Lambert W-function is a boundary case of this family, thereby giving a new proof that it too is Thorin–Bernstein. Tail estimates of the distribution functions for this family are derived along with the right-hand tail and integral representations of their Lévy densities.
KW - Continuous state branching
KW - Convolution equivalence
KW - Lambert W-function
KW - Self-decomposable laws
KW - Special and Thorin–Bernstein functions
KW - Stable laws
KW - Subordinators
UR - http://www.scopus.com/inward/record.url?scp=85062775758&partnerID=8YFLogxK
U2 - 10.1007/s10959-019-00886-0
DO - 10.1007/s10959-019-00886-0
M3 - Article
AN - SCOPUS:85062775758
SN - 0894-9840
VL - 33
SP - 361
EP - 395
JO - Journal of Theoretical Probability
JF - Journal of Theoretical Probability
IS - 1
ER -