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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2012 Volume 57, Issue 4, Pages 788–794 (Mi tvp4481)

This article is cited in 4 papers

Short Communications

Multivariate extremes of random properties of particles in supercritical branching processes

A. V. Lebedev

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: The author considers a supercritical Galton–Watson process $(Z_n)_{n\geqslant0}$ initiated by a single ancestor in which each particle has at least one descendant. It is further assumed that each particle is assigned $p\geqslant2$ random properties and that for different particles these properties are i.i.d. Denote by $M_i(n)$, $i=1,\dots,p$, the maximum of the ith property in the $n$th generation.
Assuming that $Z_n/\mathbb{E}Z_n$ converges in mean to a random variable $W$ and that the joint distribution of properties of a particle belongs to the maximum domain of attraction of a multidimensional nondegenerate law with distribution function $G$. Then it is proved that the vector $M_n:=(M_1(n),\dots,M_p(n))$, properly normalized and centered, converges in distribution. The limit law is given by the distribution function $\varphi(-\log G)$, where $\varphi(t):=\mathbb{E}e^{-tW}$, $t\geqslant0$. Without the assumptions stated above a more general result is also obtained: $M_n$, properly normalized and centered, converges in distribution if and only if the limit distribution function solves the functional equation (explicitly given in the paper).

Keywords: supercritical branching processes; maxima; multivariate extremes; copulas; max-semistable distributions.

MSC: 60J80,60G70

Received: 30.09.2004

DOI: 10.4213/tvp4481


 English version:
Theory of Probability and its Applications, 2013, 57:4, 678–683

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