4 papers · 1 filter
MA(1) processes with Laplace innovations conditioned to stay positive
Frank Aurzada, Virginia Worf
We study a moving-average process with (not necessarily symmetric) Laplace innovations under the constraint of positivity. In the three nondegenerate parameter regimes , $θ>…
Persistence probabilities of fractional Lévy fields indexed by hyperbolic space and other Riemannian manifolds
Frank Aurzada, Max Helmer
We study the persistence probability of fractional Lévy fields, i.e. the analogue of fractional Brownian motion with generalised (multi-dimensional) index sets. First, we compute t…
MA(1) processes with uniform innovations conditioned to stay positive in the non-expanding regime
Frank Aurzada, Virginia Worf
We study an MA(1)-process with uniform innovations conditioned to stay positive. Representing the model as a Markov chain, we prove the existence of the limiting finite-dimensional…
Persistence Probability of Fractional Brownian Motion with Random Hurst Exponent
Frank Aurzada, Sabine Müller
We study the persistence properties of a fractional Brownian motion whose Hurst exponent is a random variable instead of a fixed constant. For each fixed , it is well…