Survival probabilities of some iterated processes

Abstract: We study the asymptotic behaviour of the probability that a stochastic process

(Z_{t})_{t g e q 0}

does not exceed a constant barrier up to time

T

(the so called survival probability) when Z is the composition of two independent processes

(X_{t})_{t i n I}

and

(Y_{t})_{t g e q 0}

. To be precise, we consider

(Z_{t})_{t g e q 0}

defined by

Z_{t} = X c i r c a b s Y_{t}

when

I = [0, i n f t y)

and

Z_{t} = X c i r c Y_{t}

when

I = m a t h b b R

. For continuous self-similar processes

(Y_{t})_{t g e q 0}

, the rate of decay of survival probability for

Z

can be inferred directly from the survival probability of

X

and the index of self-similarity of

Y

. As a corollary, we obtain that the survival probability for iterated Brownian motion decays asymptotically like

T^{- 1 / 2}

. If

Y

is discontinuous, the range of

Y

possibly contains gaps which complicates the estimation of the survival probability. We determine the polynomial rate of decay for

X

being a L'{e}vy process (possibly two-sided if

I = m a t h b b R

) and

Y

being a L'{e}vy process or random walk under suitable moments conditions.

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