Persistence probabilities for stationary increment processes

Frank Aurzada, Nadine Guillotin-Plantard and Françoise Pène

Stochastic Processes and their Applications, 2018, vol. 128, issue 5, 1750-1771

Abstract: We study the persistence probability for processes with stationary increments. Our results apply to a number of examples: sums of stationary correlated random variables whose scaling limit is fractional Brownian motion; random walks in random sceneries; random processes in Brownian scenery; and the Matheron–de Marsily model in Z2 with random orientations of the horizontal layers. Using a new approach, strongly related to the study of the range, we obtain an upper bound of the optimal order in general and improved lower bounds (compared to previous literature) for many specific processes.

Keywords: Fractional Brownian motion; Random walk in random scenery; Persistence (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spa.2017.07.016

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