Brownian motion and random walk above quenched random wall

DOI10.1214/17-AIHP859MaRDI QIDQ1633908zbMATH OpenOpenAlexWikidataFDO

Authors Bastien Mallein, Piotr Miłoś

Publication date 21 December 2018

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.08578, https://projecteuclid.org/euclid.aihp/1539849787

zbMATH Keywords

Ornstein-Uhlenbeck processBrownian motionfirst passage timepersistence exponentquenched environment

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10) Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Processes in random environments (60K37)

Abstract: We study the persistence exponent for the first passage time of a random walk below the trajectory of another random walk. More precisely, let $B_n$ and $W_n$ be two centered, weakly dependent random walks. We establish that $mathbbP(foral{l}_{nleqN}{B}_{n}geq{W}_n|W)=N^{-gamma+o(1)}$ for a non-random $gammageq1/2$. In the classical setting, $W_{n}equiv0$, it is well-known that $gamma=1/2$. We prove that for any non-trivial $W$ one has $gamma>1/2$ and the exponent $gamma$ depends only on $extVar(B_1)/extVar(W_1)$. Our result holds also in the continuous setting, when $B$ and $W$ are independent and possibly perturbed Brownian motions or Ornstein-Uhlenbeck processes. In the latter case the probability decays at exponential rate.

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Cites work

• scientific article; zbMATH DE number 1022658 (Why is no real title available?)
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Cited in

(6)

• Brownian motion between two random trajectories
• Boundary behavior of a constrained Brownian motion between reflecting-repellent walls
• Maximal displacement of a supercritical branching random walk in a time-inhomogeneous random environment
• Quenched invariance principles for the maximal particle in branching random walk in random environment and the parabolic Anderson model
• Quasi-stationary regime of a branching random walk in presence of an absorbing wall
• Quenched Small Deviation for the Trajectory of a Random Walk with Random Environment in Time

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