The persistence asymptotic conjecture for fractional Brownian motion

Let BHB^H be fractional Brownian motion with Hurst parameter H(0,1)H\in(0,1), let AtH=0tBsHdsA_t^H=\int_0^tB_s^H\,\mathrm{d}s, and define T1H=inf{t0:AtH>1}T_1^H=\inf\{t\ge0:A_t^H>1\}. The fractional Brownian persistence conjecture. For every H(0,1)H\in(0,1),

P[T1H>t]tH1.{\mathbb{P}}[T_1^H>t]\asymp t^{H-1}.

Molchan proved the corresponding logarithmic exponent, while the two-sided estimate with comparable constants is presented here as open.

Sources & referencesView supporting material

Primary source

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

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