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math.PR2024
A pursuit problem for squared Bessel processes
Christophe Profeta
In this note, we are interested in the probability that two independent squared Bessel processes do not cross for a long time. We show that this probability has a power decay which…
math.PR2024
Persistence exponents via perturbation theory: MA(1)-processes
Frank Aurzada, Dieter Bothe, Pierre-Étienne Druet +2
For the moving average process , , where and is an i.i.d. sequence of normally distributed random variables, we…