Universality of persistence exponents for fractionally integrated Lévy processes
Universality of persistence exponents for fractionally integrated Lévy processes
For each , consider a -fractionally integrated Lévy process and let be its persistence exponent. The Lévy universality conjecture. For every , the exponent is the same for all -fractionally integrated Lévy processes with finite variance.
This extends a theorem requiring exponential moments in a neighborhood of zero; the finite-variance formulation is posed as an open conjecture.
Sources & referencesView supporting material
Primary source
Frank Aurzada and Thomas Simon, “Persistence probabilities \& exponents”, arXiv:1203.6554 (2012).
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