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.
Recommendations
- 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
- The lower tail problem for homogeneous functionals of stable processes with no negative jumps
- Integral equations in the theory of stable processes
- Persistence probabilities and exponents
Cites work
- scientific article; zbMATH DE number 3828921 (Why is no real title available?)
- scientific article; zbMATH DE number 3507228 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 1552486 (Why is no real title available?)
- scientific article; zbMATH DE number 3081880 (Why is no real title available?)
- A winding problem for a resonator driven by a white noise
- Applications of size biased couplings for concentration of measures
- L'intégrale du mouvement brownien
- Maxima of sums of random variables and suprema of stable processes
- Mellin transforms and asymptotics: Harmonic sums
- Moments of gamma type and the Brownian supremum process area
- On the First Passage of the Integrated Wiener Process
- On the Hausdorff dimension of regular points of inviscid Burgers equation with stable initial data
- On the small deviations of a Lévy process
- Persistence of iterated partial sums
- Persistence probabilities and exponents
- Positivity of integrated random walks
- Small values of the maximum for the integral of fractional Brownian motion
- Some limiting laws associated with the integrated Brownian motion
- Sur le premier instant de passage de l'intégrale du mouvement brownien. (The first passage time for the integrated Brownian motion)
- The lower tail problem for homogeneous functionals of stable processes with no negative jumps
- Universality of the asymptotics of the one-sided exit problem for integrated processes
Cited in
(13)- Stochastic processes under constraints. Abstracts from the workshop held September 27 -- October 3, 2020 (hybrid meeting)
- Persistence and exit times for some additive functionals of skew Bessel processes
- The lower tail problem for homogeneous functionals of stable processes with no negative jumps
- 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
This page was built for publication: Persistence of integrated stable processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q495550)
