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Brownian motion and Random Walk above Quenched Random Wall

Abstract : We study the persistence exponent for the first passage time of a random walk below the trajectory of another random walk. More precisely, let $\{B_n\}$ and $\{W_n\}$ be two centered, weakly dependent random walks. We establish that $\mathbb{P}(\forall_{n\leq N} B_n \geq W_n|W) = N^{-\gamma + o(1)}$ for a non-random $\gamma\geq 1/2$. In the classical setting, $W_n \equiv 0$, it is well-known that $\gamma = 1/2$. We prove that for any non-trivial $W$ one has $\gamma>1/2$ and the exponent $\gamma$ depends only on $\text{Var}(B_1)/\text{Var}(W_1)$. Our result holds also in the continuous setting, when $B$ and $W$ are independent and possibly perturbed Brownian motions or Ornstein-Uhlenbeck processes. In the latter case the probability decays at exponential rate.
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Contributor : Bastien Mallein <>
Submitted on : Saturday, May 18, 2019 - 10:03:51 AM
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Bastien Mallein, Piotr Miłoś. Brownian motion and Random Walk above Quenched Random Wall. Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, Institute Henri Poincaré, 2018, ⟨10.1214/17-AIHP859⟩. ⟨hal-01322463v2⟩



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