On Two Dimensional Markov Processes with Branching Property

Shinzo Watanabe
1969 Transactions of the American Mathematical Society  
Introduction. A continuous state branching Markov process (C.B.P.) was introduced by Jirina [8] and recently Lamperti [10] determined all such processes on the half line. (A quite similar result was obtained independently by the author.) This class of Markov processes contains as a special case the diffusion processes (which we shall call Feller's diffusions) studied by Feller [2] . The main objective of the present paper is to extend Lamperti's result to multi-dimensional case. For simplicity
more » ... se. For simplicity we shall consider the case of 2-dimensions though many arguments can be carried over to the case of higher dimensions(2). In Theorem 2 below we shall characterize all C.B.P.'s in the first quadrant of a plane and construct them. Our construction is in an analytic way, by a similar construction given in Ikeda, Nagasawa and Watanabe [5], through backward equations (or in the terminology of [5] through S-equations) for a simpler case and then in the general case by a limiting procedure. A special attention will be paid to the case of diffusions. We shall show that these diffusions can be obtained as a unique solution of a stochastic equation of Ito (Theorem 3). This fact may be of some interest since the solutions of a stochastic equation with coefficients Holder continuous of exponent 1/2 (which is our case) are not known to be unique in general. Next we shall examine the behavior of sample functions near the boundaries (xj-axis or x2-axis). We shall explain, for instance, the case of xraxis. There are two completely different types of behaviors. In the first case Xj-axis acts as a pure exit boundary: when a sample function reaches the Xj-axis then it remains on it moving as a one-dimensional Feller diffusion up to the time when it hits the origin and then it is stopped. In the second case, there is a point x0 on x^-axis such that 22 = (0, *o) acts as a reflecting boundary and Ex= (x0, oo) acts as a pure entrance boundary (Theorem 4 and Corollaries).
doi:10.2307/1994726 fatcat:ftqo3djy35ewph745hee4jhiqe