Persistence of iterated partial sums

DOI10.1214/11-AIHP452MaRDI QIDQ372571zbMATH OpenOpenAlexFDO

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)

Full work available at URL https://arxiv.org/abs/1205.5596, https://projecteuclid.org/euclid.aihp/1372772647

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)

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 $n^{-gamma}$.

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Cited in

(15)

• Persistence of integrated stable processes
• The inviscid Burgers equation with fractional Brownian initial data: the dimension of regular Lagrangian points
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