Persistence probabilities for stationary increment processes
Abstract
We study the persistence probability for processes with stationary increments. Our results apply to a number of examples: sums of stationary correlated random variables whose scaling limit is fractional Brownian motion, random walks in random sceneries, random processes in Brownian scenery, and the Matheron-de Marsily model in Z^2 with random orientations of the horizontal layers. Using a new approach, strongly related to the study of the range, we obtain an upper bound of optimal order in the general case and improved lower bounds (compared to previous literature) for many processes.
Cite
@article{arxiv.1606.00236,
title = {Persistence probabilities for stationary increment processes},
author = {Frank Aurzada and Nadine Guillotin-Plantard and Françoise Pène},
journal= {arXiv preprint arXiv:1606.00236},
year = {2019}
}
Comments
This version corrects some mistakes from the printed version. In particular, the assumptions of Theorem 4 needed to be changed; Theorem 20 needed an extra assumption; the proof of Theorem 11 has been changed