Persistence of integrated stable processes

DOI10.1007/s00440-014-0577-5zbMath1375.60090arXiv1403.1064OpenAlexW2149846146MaRDI QIDQ495550

Christophe Profeta, Thomas Simon

Publication date: 14 September 2015

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

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

zbMATH Keywords

Mellin transformpersistenceintegrated processstable Lévy processlower tail probabilityhalf-Cauchy distributionhitting place

Mathematics Subject Classification ID

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

Related Items (8)

Cramér's estimate for stable processes with power drift ⋮ Persistence and exit times for some additive functionals of skew Bessel processes ⋮ Stochastic processes under constraints. Abstracts from the workshop held September 27 -- October 3, 2020 (hybrid meeting) ⋮ Persistence exponents for Gaussian random fields of fractional Brownian motion type ⋮ A stable Langevin model with diffusive-reflective boundary conditions ⋮ The area of a spectrally positive stable process stopped at zero ⋮ Persistence Probabilities and Exponents ⋮ Record statistics of integrated random walks and the random acceleration process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Persistence of iterated partial sums
• Applications of size biased couplings for concentration of measures
• Mellin transforms and asymptotics: Harmonic sums
• On the Hausdorff dimension of regular points of inviscid Burgers equation with stable initial data
• Moments of gamma type and the Brownian supremum process area
• Sur le premier instant de passage de l'intégrale du mouvement brownien. (The first passage time for the integrated Brownian motion)
• Small values of the maximum for the integral of fractional Brownian motion
• On the small deviations of a Lévy process
• Universality of the asymptotics of the one-sided exit problem for integrated processes
• Positivity of integrated random walks
• A winding problem for a resonator driven by a white noise
• Some limiting laws associated with the integrated Brownian motion
• Persistence Probabilities and Exponents
• On the First Passage of the Integrated Wiener Process
• L'intégrale du mouvement brownien
• Maxima of sums of random variables and suprema of stable processes

This page was built for publication: Persistence of integrated stable processes