Universality of persistence exponents for fractionally integrated Lévy processes

For each β0\beta\ge0, consider a β\beta-fractionally integrated Lévy process and let θ(β)\theta(\beta) be its persistence exponent. The Lévy universality conjecture. For every β0\beta\ge0, the exponent θ(β)\theta(\beta) is the same for all β\beta-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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