Persistence of integrable stable processes

  • Thomas Simon (Université Lille 1, Villeneuve d'Ascq, France)
A3 01 (Sophus-Lie room)


We compute the persistence exponent of the integral of a stable Lévy process in terms of its self-similarity and positivity parameters. This solves a problem raised by Zhan Shi (2003). Along the way, we investigate the law of the stable process evaluated at the first time its integral hits zero, extending classical formulae by McKean (1963) and Gor'kov (1975) for integrated Brownian motion. This is joint work with Christophe Profeta (Evry-Val d’Essonne).

Katja Heid

MPI for Mathematics in the Sciences Contact via Mail

Upcoming Events of This Seminar

  • Mar 12, 2024 tba with Theresa Simon
  • Mar 26, 2024 tba with Phan Thành Nam
  • Mar 26, 2024 tba with Dominik Schmid
  • May 7, 2024 tba with Manuel Gnann
  • May 14, 2024 tba with Barbara Verfürth
  • May 14, 2024 tba with Lisa Hartung
  • Jun 25, 2024 tba with Paul Dario
  • Jul 16, 2024 tba with Michael Loss