Persistence problems for additive functionals of one-dimensional Markov processes

Authors Quentin Berger, Loïc Béthencourt, Camille Tardif

Publication date 18 April 2023

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Local time and additive functionals (60J55)

Abstract: In this article, we consider additive functionals

z e t a_{t} = i n t_{0}^{t} f (X_{s}) m a t h r m d s

of a c`adl`ag Markov process

(X_{t})_{t g e q 0}

on

m a t h b b R

. Under some general conditions on the process

(X_{t})_{t g e q 0}

and on the function

f

, we show that the persistence probabilities verify

m a t h b b P (z e t a_{s} < z e x t f o r a l l s l e q t) s i m m a t h c a l V (z) v a r s i g m a (t) t^{- h e t a}

as

t o i n f t y

, for some (explicit)

m a t h c a l V (c d o t)

, some slowly varying function

v a r s i g m a (c d o t)

and some

h e t a i n (0, 1)

. This extends results in the literature, which mostly focused on the case of a self-similar process

(X_{t})_{t g e q 0}

(such as Brownian motion or skew-Bessel process) with a homogeneous functional

f

(namely a pure power, possibly asymmetric). In a nutshell, we are able to deal with processes which are only asymptotically self-similar and functionals which are only asymptotically homogeneous. Our results rely on an excursion decomposition of

(X_{t})_{t g e q 0}

, together with a Wiener--Hopf decomposition of an auxiliary (bivariate) L'evy process, with a probabilistic point of view. This provides an interpretation for the asymptotic behavior of the persistence probabilities, and in particular for the exponent

h e t a

, which we write as

, with

the scaling exponent of the local time of

(X_{t})_{t g e q 0}

at level

0

and

h o

the (asymptotic) positivity parameter of the auxiliary L'evy process.

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