Persistence of Gaussian processes: non-summable correlations

DOI10.1007/S00440-016-0746-9MaRDI QIDQ1682497zbMATH OpenOpenAlexFDO

Authors Amir Dembo, Sumit Mukherjee

Publication date 30 November 2017

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1508.06659

zbMATH Keywords

Gaussian processesregularly varying\(\nabla \phi \)-interfacepersistence probabilities

Mathematics Subject Classification ID

Gaussian processes (60G15) Interface problems; diffusion-limited aggregation in time-dependent statistical mechanics (82C24)

Abstract: Suppose the auto-correlations of real-valued, centered Gaussian process $Z(cdot)$ are non-negative and decay as $ho(|s-t|)$ for some $ho(cdot)$ regularly varying at infinity of order $-alphain[-1,0)$. With $I_{h}o(t)=in{t}_0^{t}ho(s)ds$ its primitive, we show that the persistence probabilities decay rate of $-logmathbbP(su{p}_{tin[0,T]}Z(t)<0)$ is precisely of order $(T/I_{h}o(T))log{I}_{h}o(T)$, thereby closing the gap between the lower and upper bounds of cite{NR}, which stood as such for over fifty years. We demonstrate its usefulness by sharpening recent results of cite{Sak} about the dependence on $d$ of such persistence decay for the Langevin dynamics of certain $gradphi$-interface models on $$.

Recommendations

• Persistence of Gaussian stationary processes: a spectral perspective
• Persistence probabilities of weighted sums of stationary Gaussian sequences
• Persistence probabilities in centered, stationary, Gaussian processes in discrete time
• Persistence Probability for a Class of Gaussian Processes Related to Random Interface Models
• Persistence probabilities of two-sided (integrated) sums of correlated stationary Gaussian sequences

Cites work

• scientific article; zbMATH DE number 1526221 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 2247653 (Why is no real title available?)
• Aging for interacting diffusion processes
• An asymptotic property of Gaussian stationary processes
• Asymptotic Properties of the Maximum in a Stationary Gaussian Process
• Equilibrium fluctuations for \(\nabla\varphi\) interface model
• Invariance principle and empirical mean large deviations of the critical Ornstein-Uhlenbeck process
• Large deviations for stationary Gaussian processes
• Long gaps between sign-changes of Gaussian stationary processes
• Motion by mean curvature from the Ginzburg-Landau \(\nabla\phi\) interface model
• No zero-crossings for random polynomials and the heat equation
• On large deviations of empirical measures for stationary Gaussian processes
• Persistence Probability for a Class of Gaussian Processes Related to Random Interface Models
• Persistence probabilities and exponents
• Random Fields and Geometry
• Random polynomials having few or no real zeros
• Random walk: A modern introduction
• Real roots of random polynomials and zero crossing properties of diffusion equation
• Semi-Stable Stochastic Processes
• Stochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extension
• Survival exponents for some Gaussian processes
• Zero Crossing Probabilities for Gaussian Stationary Processes

Cited in

(19)

• Persistence Probabilities and a Decorrelation Inequality for the Rosenblatt Process and Hermite Processes
• Persistence probabilities of a smooth self-similar anomalous diffusion process
• Persistence probabilities of weighted sums of stationary Gaussian sequences
• Point processes, hole events, and large deviations: random complex zeros and Coulomb gases
• Stochastic processes under constraints. Abstracts from the workshop held September 27 -- October 3, 2020 (hybrid meeting)
• Asymptotics of the persistence exponent of integrated fractional Brownian motion and fractionally integrated Brownian motion
• Persistence exponents of non-Gaussian processes in statistical mechanics
• Persistence of heavy-tailed sample averages: principle of infinitely many big jumps
• Persistence Probability for a Class of Gaussian Processes Related to Random Interface Models
• Persistence of Gaussian stationary processes: a spectral perspective
• First passage times over stochastic boundaries for subdiffusive processes
• Persistence probability of a random polynomial arising from evolutionary game theory
• Persistence probabilities in centered, stationary, Gaussian processes in discrete time
• A class of processes defined in the white noise space through generalized fractional operators
• Persistence probabilities of mixed FBM and other mixed processes
• Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution
• Persistence exponents in Markov chains
• Leadership exponent in the pursuit problem for 1-D random particles
• Persistence probability of random Weyl polynomial

This page was built for publication: Persistence of Gaussian processes: non-summable correlations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1682497)