Persistence and Ball Exponents for Gaussian Stationary Processes

Abstract: Consider a real Gaussian stationary process

f_{h} o

, indexed on either

m a t h b b R

or

m a t h b b Z

and admitting a spectral measure

h o

. We study

h e t a_{h o}^{e} l l = - l i m l i m i t s_{T o i n f t y} f r a c 1 T l o g m a t h b b P l e f t (i n f_{t i n [0, T]} f_{h o} (t) > e l l i g h t)

, the persistence exponent of

f_{h} o

. We show that, if

h o

has a positive density at the origin, then the persistence exponent exists; moreover, if

h o

has an absolutely continuous component, then

h e t a_{h o}^{e} l l > 0

if and only if this spectral density at the origin is finite. We further establish continuity of

h e t a_{h o}^{e} l l

in

e l l

, in

h o

(under a suitable metric) and, if

h o

is compactly supported, also in dense sampling. Analogous continuity properties are shown for

p s i_{h o}^{e} l l = - l i m l i m i t s_{T o i n f t y} f r a c 1 T l o g m a t h b b P l e f t (i n f_{t i n [0, T]} | f_{h o} (t) | l e e l l i g h t)

, the ball exponent of

f_{h} o

, and it is shown to be positive if and only if

h o

has an absolutely continuous component.

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