Sample paths of continuous-state branching processes with dependent immigration

We prove the existence and pathwise uniqueness of the solution to a stochastic integral equation driven by Poisson random measures based on Kuznetsov measures for a continuous-state branching process. That gives a direct construction of the sample path of a continuous-state branching process with dependent immigration. The immigration rates depend on the population size via some functions satisfying a Yamada–Watanabe type condition. We only assume the existence of the first moment of the process. The existence of excursion law for the continuous-state branching process is not required. By special choices of the ingredients, we can make changes in the branching mechanism or construct models with competition.