Persistence of a continuous stochastic process with discrete-time sampling: non-Markov processes
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Abstract: We consider the problem of `discrete-time persistence', which deals with the zero-crossings of a continuous stochastic process, X(T), measured at discrete times, T = n(Delta T). For a Gaussian Stationary Process the persistence (no crossing) probability decays as exp(- heta_D T) = [
ho(a)]^n for large n, where a = exp[-(Delta T)/2], and the discrete persistence exponent, heta_D, is given by heta_D = ln(
ho)/2ln(a). Using the `Independent Interval Approximation', we show how heta_D varies with (Delta T) for small (Delta T) and conclude that experimental measurements of persistence for smooth processes, such as diffusion, are less sensitive to the effects of discrete sampling than measurements of a randomly accelerated particle or random walker. We extend the matrix method developed by us previously [Phys. Rev. E 64, 015151(R) (2001)] to determine
ho(a) for a two-dimensional random walk and the one-dimensional random acceleration problem. We also consider `alternating persistence', which corresponds to a < 0, and calculate
ho(a) for this case.
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Cites work
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- Analytical results for generalized persistence properties of smooth processes
- scientific article; zbMATH DE number 4169761 (Why is no real title available?)
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- Generating stochastic trajectories with global dynamical constraints
- Numerical bounds for the distributions of the maxima of some one- and two-parameter Gaussian processes
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