Universality of weighted-sum persistence for finite-variance increments

Let (Xi)i1(X_i)_{i\ge1} be i.i.d. with centered law μ\mu, let (σi)i1(\sigma_i)_{i\ge1} be deterministic, define

Σn=i=1nσiXi,Tσ=inf{n1:Σn>0}.\Sigma_n=\sum_{i=1}^n\sigma_iX_i,\qquad T_\sigma=\inf\{n\ge1:\Sigma_n>0\}.

Weighted-sum persistence conjecture. If μ\mu has finite variance and σnnp\sigma_n\asymp n^p for some p>0p>0, then

P[Tσ>n]=n(p+1/2)+o(1).{\mathbb{P}}[T_\sigma>n]=n^{-(p+1/2)+o(1)}.

This removes the exponential-moment assumption from the preceding theorem and is posed as a natural question.

Sources & referencesView supporting material

Primary source

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

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