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Authors: Mönch, Christian
Title: Universality for persistence exponents of local times of self-similar processes with stationary increments
Online publication date: 14-Oct-2022
Year of first publication: 2021
Language: english
Abstract: We show that P(ℓX(0,T]≤1)=(cX+o(1))T−(1−H), where ℓX is the local time measure at 0 of any recurrent H-self-similar real-valued process X with stationary increments that admits a sufficiently regular local time and cX is some constant depending only on X. A special case is the Gaussian setting, i.e. when the underlying process is fractional Brownian motion, in which our result settles a conjecture by Molchan [Commun. Math. Phys. 205, 97-111 (1999)] who obtained the upper bound 1−H on the decay exponent of P(ℓX(0,T]≤1). Our approach establishes a new connection between persistence probabilities and Palm theory for self-similar random measures, thereby providing a general framework which extends far beyond the Gaussian case.
DDC: 510 Mathematik
510 Mathematics
Institution: Johannes Gutenberg-Universität Mainz
Department: FB 08 Physik, Mathematik u. Informatik
Place: Mainz
Version: Published version
Publication type: Zeitschriftenaufsatz
License: CC BY
Information on rights of use:
Journal: Journal of theoretical probability
Pages or article number: 1842
Publisher: Springer Science + Business Media B.V.
Publisher place: New York, NY u.a.
Issue date: 2021
ISSN: 1572-9230
Publisher DOI: 10.1007/s10959-021-01102-8
Appears in collections:JGU-Publikationen

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