Persistence probabilities for stationary increment processes

Research paper by Frank Aurzada, Nadine Guillotin-Plantard, Françoise Pène

Indexed on: 01 Jun '16Published on: 01 Jun '16Published in: Mathematics - Probability


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 Z^2 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 optimal order in the general case and improved lower bounds (compared to previous literature) for many processes.