Universality for persistence exponents of local times of self-similar processes with stationary increments

Christian Mönch

Published 2018-11-06Version 1

We show that $\mathbb{P} ( \ell_X(0,T] \leq 1)=(c_X+o(1))T^{-(1-H)}$, where $\ell_X$ is the local time measure at $0$ of any recurrent $H$-self-similar real-valued process $X$ with stationary increments that admits a sufficiently regular local time and $c_X$ is some constant depending only on $X$. A special case is the Gaussian setting, i.e. when the underlying process is fractional Brownian motion, in which our result settles a conjecture by Molchan [Commun. Math. Phys. 205, 97-111 (1999)] who obtained the upper bound $1-H$ on the decay exponent of $\mathbb{P} ( \ell_X(0,T] \leq 1)$. Our approach establishes a new connection between persistence probabilities and Palm theory for self-similar random measures, thereby providing a general framework which extends far beyond the Gaussian case.