The persistence exponent conjecture for integrated stable Lévy processes

Let ZZ be a strictly α\alpha-stable Lévy process, let At=0tZsdsA_t=\int_0^tZ_s\,\mathrm{d}s, and define T1=inf{t0:At>1}T_1=\inf\{t\ge0:A_t>1\}. The stable Lévy persistence conjecture. If

P[Z1>0]=ρ(0,1),{\mathbb{P}}[Z_1>0]=\rho\in(0,1),

then there exists c>0c>0 such that

P[T1>t]ctρ/2.{\mathbb{P}}[T_1>t]\sim c\,t^{-\rho/2}.

The paper notes that this is proved only in the spectrally positive case up to the stated refinement, while the general case remains open.

Sources & referencesView supporting material

Primary source

Frank Aurzada and Thomas Simon, “Persistence probabilities \& exponents”, arXiv:1203.6554 (2012).

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