Persistence of some iterated processes

MaRDI QIDQ5175422zbMATH OpenFDO

Authors Christoph Baumgarten

Publication date 23 February 2015

Full work available at URL http://www.math.uni.wroc.pl/%7epms/publicationsArticle.php?ppB=293&nr=34.2&nrA=8&ppE=316

zbMATH Keywords

random walkfractional Brownian motionself-similaritysurvival probabilityiterated Brownian motionone-sided exit problempersistence probabilityasymptotic decayone-sided barrier problemiterated processessmall deviation probabilityLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Limit theorems in probability theory (60F99) Self-similar stochastic processes (60G18)

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Cited in

(6)

• Limit theorems for random walks that avoid bounded sets, with applications to the largest gap problem
• Persistence problems for fractional processes
• Persistence of sums of independent random variables, iterated processes and fractional Brownian motion
• Persistence for a class of order-one autoregressive processes and Mallows-Riordan polynomials
• Persistence probabilities and exponents
• Persistence of iterated partial sums

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