Brownian motion and random walk above quenched random wall

DOI10.1214/17-AIHP859zbMATH Open1417.60072arXiv1507.08578OpenAlexW3099270777WikidataQ129003772 ScholiaQ129003772MaRDI QIDQ1633908FDOQ1633908

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)

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.

Full work available at URL: https://arxiv.org/abs/1507.08578

Recommendations

• Brownian motion between two random trajectories
• scientific article; zbMATH DE number 1446778
• Persistence exponent for random processes in Brownian scenery
• Persistence of random walk records
• First-passage times for random walks with nonidentically distributed increments

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)

Cites Work

• Title not available (Why is that?)
• Foundations of Modern Probability
• The Brunn-Minkowski inequality
• Title not available (Why is that?)
• Persistence probabilities and exponents
• Exponential trends of Ornstein–Uhlenbeck first-passage-time densities
• Maximal displacement of a branching random walk in time-inhomogeneous environment
• Enhanced interface repulsion from quenched hard-wall randomness
• FKG inequality for Brownian motion and stochastic differential equations
• On the repulsion of an interface above a correlated substrate

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

This page was built for publication: Brownian motion and random walk above quenched random wall

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1633908)