Stochastic equations for two-type continuous-state branching processes with immigration |
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| Authors: | Ru Gang Ma |
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| Affiliation: | 1. School of Mathematical Sciences, Beijing Normal University, Beijing, 100875, P. R. China
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| Abstract: | A two-dimensional stochastic integral equation system with jumps is studied. We first prove its unique weak solution is a two-type continuous-state branching process with immigration. Then the comparison property of the solution is established. These results imply the existence and uniqueness of the strong solution of the stochastic equation system. |
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| Keywords: | Continuous-state branching process immigration stochastic integral equation comparison property strong solution |
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