Persistence Probabilities and a Decorrelation Inequality for the Rosenblatt Process and Hermite Processes

DOI10.1137/S0040585X97T989325zbMath1442.60041arXiv1607.04045OpenAlexW2963344515WikidataQ128439059 ScholiaQ128439059MaRDI QIDQ4618081

Christian Mönch, Frank Aurzada

Publication date: 7 February 2019

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.04045

zbMATH Keywords

first passage timespersistencelong-range dependenceRosenblatt processrandom walkHermite processcorrelation inequality

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18)

Related Items (3)

Persistence probabilities of mixed FBM and other mixed processes ⋮ Universality for persistence exponents of local times of self-similar processes with stationary increments ⋮ PRICING DERIVATIVES IN HERMITE MARKETS

Cites Work

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• Asymptotics for Associated Random Variables
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• Persistence of fractional Brownian motion with moving boundaries and applications
• A simple proof of the Gaussian correlation conjecture extended to multivariate gamma distributions
• Royen’s Proof of the Gaussian Correlation Inequality
• Probability Inequalities

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