The persistence exponent conjecture for integrated stable Lévy processes

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Let ZZ be a strictly α\alpha-stable Lévy process, let At=∫0tZs dsA_t=\int_0^tZ_s\,\mathrm{d}s, and define T1=inf⁡{t≥0: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]∼c t−ρ/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.

References

Primary source

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

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