Persistence Probabilities

Saturday, November 1, 2014 - 10:30am - 11:30am
Keller 3-180
Amir Dembo (Stanford University)
Persistence probabilities concern how likely it is that a stochastic
process has a long excursion above fixed level and of what are the
relevant scenarios for this behavior. Power law decay is expected
in many cases of physical significance and the issue is to determine
its power exponent parameter. I will describe recent progress in this
direction (jointly with Sumit Mukherjee), dealing with stationary
Gaussian processes that arise from random algebraic polynomials
of independent coefficients, as well as recent progress
(jointly with Jian Ding and Fuchang Gao), on universality of the
persistence power exponent for iterated partial sums (an
exponent which was determined by Yakov Sinai, over 30 years ago).
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