29 citations · 228 across the 47 of their papers we have counts for
4 papers · 2 filters
Persistence probabilities for an integrated random walk bridge
Frank Aurzada, Steffen Dereich, Mikhail Lifshits
We prove that an integrated simple random walk, where random walk and integrated random walk are conditioned to return to zero, has asymptotic probability to stay positi…
Persistence probabilities \& exponents
Frank Aurzada, Thomas Simon
This article deals with the asymptotic behaviour as of the survival function where is the first passage time above a non negative level of a random p…
First exit of Brownian motion from a one-sided moving boundary
Frank Aurzada, Tanja Kramm
We revisit a result of Uchiyama (1980): given that a certain integral test is satisfied, the rate of the probability that Brownian motion remains below the moving boundary is a…
First passage times of Lévy processes over a one-sided moving boundary
Frank Aurzada, Tanja Kramm, Mladen Savov
We study the asymptotic behaviour of the tail of the distribution of the first passage time of a Lévy process over a one-sided moving boundary. Our main result states that if the b…