Duhalde, Xan; Foucart, Clément; Ma, Chunhua - In: Stochastic Processes and their Applications 124 (2014) 12, pp. 4182-4201
We study a two-dimensional joint distribution related to the first passage time below a level for a continuous-state branching process with immigration. We provide an explicit expression of its Laplace transform and obtain a necessary and sufficient criterion for transience or recurrence. We...