Persistence of integrated stable processes

DOI10.1007/S00440-014-0577-5zbMATH Open1375.60090arXiv1403.1064OpenAlexW2149846146MaRDI QIDQ495550FDOQ495550

Authors: Christophe Profeta, Thomas Simon 

Publication date: 14 September 2015

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: We compute the persistence exponent of the integral of a stable L'evy process in terms of its self-similarity and positivity parameters. This solves a problem raised by Z. Shi (2003). Along the way, we investigate the law of the stable process L evaluated at the first time its integral X hits zero, when the bivariate process (X,L) starts from a coordinate axis. This extends classical formulae by McKean (1963) and Gor'kov (1975) for integrated Brownian motion.

Full work available at URL: https://arxiv.org/abs/1403.1064

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zbMATH Keywords

Mellin transformpersistencelower tail probabilityintegrated processhalf-Cauchy distributionhitting placestable Lévy process

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99) Stable stochastic processes (60G52) Boundary theory for Markov processes (60J50)

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Cited In (13)

• Stochastic processes under constraints. Abstracts from the workshop held September 27 -- October 3, 2020 (hybrid meeting)
• The lower tail problem for homogeneous functionals of stable processes with no negative jumps
• Persistence and exit times for some additive functionals of skew Bessel processes
• Universality of the asymptotics of the one-sided exit problem for integrated processes
• Asymptotics of the persistence exponent of integrated fractional Brownian motion and fractionally integrated Brownian motion
• Record statistics of integrated random walks and the random acceleration process
• Persistence of some iterated processes
• Cramér's estimate for stable processes with power drift
• Persistence exponents for Gaussian random fields of fractional Brownian motion type
• The area of a spectrally positive stable process stopped at zero
• Persistence exponents via perturbation theory: autoregressive and moving average processes
• A stable Langevin model with diffusive-reflective boundary conditions
• Persistence probabilities and exponents

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