The persistence exponent conjecture for general integrated Lévy processes

Let ZZ be a Lévy process, let At=0tZsdsA_t=\int_0^tZ_s\,\mathrm{d}s, and for x>0x>0 define Tx=inf{t0:At>x}T_x=\inf\{t\ge0:A_t>x\}. The general Lévy persistence conjecture. If

P[Zt>0]ρ(0,1)as t+,{\mathbb{P}}[Z_t>0]\to\rho\in(0,1)\quad\text{as }t\to+\infty,

then for every x>0x>0,

P[Tx>t]=tρ/2+o(1).{\mathbb{P}}[T_x>t]=t^{-\rho/2+o(1)}.

This is posed as a generalization of the discrete and stable-process conjectures; no proof is supplied.

Sources & referencesView supporting material

Primary source

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

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