Universality of the asymptotics of the one-sided exit problem for integrated processes

DOI10.1214/11-AIHP427zbMath1285.60042arXiv1008.0485MaRDI QIDQ1943327

Frank Aurzada, Steffen Dereich

Publication date: 19 March 2013

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/1008.0485

zbMATH Keywords

random polynomialsone-sided exit problemmoving barrierintegrated random walkpersistence exponentfractionally integrated Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50)

Related Items

Persistence probabilities of mixed FBM and other mixed processes, Asymptotics of the Persistence Exponent of Integrated Fractional Brownian Motion and Fractionally Integrated Brownian Motion, Persistence of iterated partial sums, The inviscid Burgers equation with fractional Brownian initial data: the dimension of regular Lagrangian points, The first exit time of fractional Brownian motion from the minimum and maximum parabolic domains, Survival exponents for some Gaussian processes, Persistence probabilities of a smooth self-similar anomalous diffusion process, Positivity of integrated random walks, Persistence Probabilities and a Decorrelation Inequality for the Rosenblatt Process and Hermite Processes, Persistence of integrated stable processes, Persistence probabilities for stationary increment processes, Persistence probabilities of two-sided (integrated) sums of correlated stationary Gaussian sequences, Persistence exponents for Gaussian random fields of fractional Brownian motion type, Exit times for integrated random walks, On the probability that integrated random walks stay positive, Boundary non-crossing probabilities of Gaussian processes: sharp bounds and asymptotics, Persistence Probabilities and Exponents, Small deviations for a family of smooth Gaussian processes, The persistence exponents of Gaussian random fields connected by the Lamperti transform, The First Exit Time of Fractional Brownian Motion from a Parabolic Domain, Survival exponents for fractional Brownian motion with multivariate time, Persistence Probability for a Class of Gaussian Processes Related to Random Interface Models

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