On the law of terminal value of additive martingales in a remarkable branching stable process

Abstract

We give an explicit description of the law of terminal value \(W\) of additive martingales in a remarkable branching stable process. We show that the right tail probability of the terminal value decays exponentially fast and the left tail probability follows that \(-\log \mathbb{P}(W<x) \sim \frac{1}{2} (\log x)^2\) as \(x \rightarrow 0+\). These are in sharp contrast with results in the literature such as Liu (2000, 2001) and Buraczewski (2009). We further show that the law of \(W\) is self-decomposable, and therefore, possesses a unimodal density. We specify the asymptotic behavior at \(0\) and at \(+\infty\) of the latter.