Speed of extinction for continuous state branching processes in subcritical L\'evy environments: the strongly and intermediate regimes

Abstract

In this paper, we study the speed of extinction of continuous state branching processes in subcritical L\'evy environments. More precisely, when the associated L\'evy process to the environment drifts to $-\infty$ and, under a suitable exponential martingale change of measure (Esscher transform), the environment either drifts to $-\infty$ or oscillates. We extend recent results of Palau et al. (2016) and Li and Xu (2018), where the branching term is associated to a spectrally positive stable L\'evy process and complement the recent article of Bansaye et al. (2021) where the critical case was studied. Our methodology combines a path analysis of the branching process together with its L\'evy environment, fluctuation theory for L\'evy processes and the asymptotic behaviour of exponential functionals of L\'evy processes. As an application of the aforementioned results, we characterise the process conditioned to survival also known as the $Q$-process.