Persistence probabilities and exponents

DOI10.1007/978-3-319-23138-9_3zbMATH Open1338.60077OpenAlexW2338113466MaRDI QIDQ2807249FDOQ2807249

Authors Frank Aurzada, Thomas Simon

Publication date 19 May 2016

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.6554

zbMATH Keywords

random walkGaussian processsurvival functionfirst passage timepersistencestable processlower tail probabilityintegrated processLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Large deviations (60F10) Gaussian processes (60G15) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stationary stochastic processes (60G10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Sums of independent random variables; random walks (60G50) Limit theorems in probability theory (60F99) Stable stochastic processes (60G52) Self-similar stochastic processes (60G18) Other physical applications of random processes (60K40)

Abstract: This article deals with the asymptotic behaviour as $to+infty$ of the survival function $P[T>t],$ where $T$ is the first passage time above a non negative level of a random process starting from zero. In many cases of physical significance, the behaviour is of the type $P[T>t]=t^{-heta+o(1)}$ for a known or unknown positive parameter $heta$ which is called a persistence exponent. The problem is well understood for random walks or L'evy processes but becomes more difficult for integrals of such processes, which are more related to physics. We survey recent results and open problems in this field.

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