Persistence of iterated partial sums

DOI10.1214/11-AIHP452zbMATH Open1274.60144arXiv1205.5596OpenAlexW3101904299MaRDI QIDQ372571FDOQ372571

Authors: Amir Dembo, Jian Ding, Fuchang Gao 

Publication date: 9 October 2013

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

Abstract: Let $S_n^{(2)}$ denote the iterated partial sums. That is, $S_n^{(2)}=S_1+S_2+\mathrm{...}+S_n$, where $S_i=X_1+X_2+\mathrm{...}s+X_i$. Assuming $X_1,X_2,\mathrm{....},X_n$ are integrable, zero-mean, i.i.d. random variables, we show that the persistence probabilities ${\displaystyle }$p_n^{(2)}:=PP(max_{1le i le n}S_i^{(2)}< 0) le csqrt{frac{EE|S_{n+1}|}{(n+1)EE|X_1|}},${\displaystyle }$ with $cle6sqrt30$ (and $c=2$ whenever $X_1$ is symmetric). The converse inequality holds whenever the non-zero $min(-X_1,0)$ is bounded or when it has only finite third moment and in addition $X_1$ is squared integrable. Furthermore, $p_n^{(2)}asymp{n}^{-1/4}$ for any non-degenerate squared integrable, i.i.d., zero-mean $X_i$. In contrast, we show that for any $0<gamma<1/4$ there exist integrable, zero-mean random variables for which the rate of decay of $p_n^{(2)}$ is $n^{-gamma}$.

Full work available at URL: https://arxiv.org/abs/1205.5596

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zbMATH Keywords

random walkfirst passage timepersistenceiterated partial sumslower tail probabilityone-sided probability

Mathematics Subject Classification ID

Large deviations (60F10) Sums of independent random variables; random walks (60G50)

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Cited In (15)

• The inviscid Burgers equation with fractional Brownian initial data: the dimension of regular Lagrangian points
• Limit theorems for Markov walks conditioned to stay positive under a spectral gap assumption
• Positivity of integrated random walks
• Limit theorems for affine Markov walks conditioned to stay positive
• Persistence of some iterated processes
• Persistence exponents for Gaussian random fields of fractional Brownian motion type
• Constant weighted sums of iterates
• Persistence Probability for a Class of Gaussian Processes Related to Random Interface Models
• Probability to be positive for the membrane model in dimensions 2 and 3
• Infinite paths with bounded or recurrent partial sums
• Invariance principles for integrated random walks conditioned to stay positive
• Persistence of integrated stable processes
• Persistence probabilities and exponents
• Exit times for integrated random walks
• Survival exponents for some Gaussian processes

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