On joint returns to zero of Bessel processes
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arXiv
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| Format: | Preprint |
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2024
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| _version_ | 1866917707614519296 |
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| author | Berger, Quentin Béthencourt, Loïc Tardif, Camille |
| author_facet | Berger, Quentin Béthencourt, Loïc Tardif, Camille |
| contents | In this article, we consider joint returns to zero of $n$ Bessel processes ($n\geq 2$): our main goal is to estimate the probability that they avoid having joint returns to zero for a long time. More precisely, considering $n$ independent Bessel processes $(X_t^{(i)})_{1\leq i \leq n}$ of dimension $δ\in (0,1)$, we are interested in the first joint return to zero of any two of them: \[ H_n := \inf\big\{ t>0, \exists 1\leq i <j \leq n \text{ such that } X_t^{(i)} = X_t^{(j)} =0 \big\} \,. \] We prove the existence of a persistence exponent $θ_n$ such that $\mathbb{P}(H_n>t) = t^{-θ_n+o(1)}$ as $t\to\infty$, and we provide some non-trivial bounds on $θ_n$. In particular, when $n=3$, we show that $2(1-δ)\leq θ_3 \leq 2 (1-δ) + f(δ)$ for some (explicit) function $f(δ)$ with $\sup_{[0,1]} f(δ) \approx 0.079$. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2406_19344 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | On joint returns to zero of Bessel processes Berger, Quentin Béthencourt, Loïc Tardif, Camille Probability 60G40, 60H30 In this article, we consider joint returns to zero of $n$ Bessel processes ($n\geq 2$): our main goal is to estimate the probability that they avoid having joint returns to zero for a long time. More precisely, considering $n$ independent Bessel processes $(X_t^{(i)})_{1\leq i \leq n}$ of dimension $δ\in (0,1)$, we are interested in the first joint return to zero of any two of them: \[ H_n := \inf\big\{ t>0, \exists 1\leq i <j \leq n \text{ such that } X_t^{(i)} = X_t^{(j)} =0 \big\} \,. \] We prove the existence of a persistence exponent $θ_n$ such that $\mathbb{P}(H_n>t) = t^{-θ_n+o(1)}$ as $t\to\infty$, and we provide some non-trivial bounds on $θ_n$. In particular, when $n=3$, we show that $2(1-δ)\leq θ_3 \leq 2 (1-δ) + f(δ)$ for some (explicit) function $f(δ)$ with $\sup_{[0,1]} f(δ) \approx 0.079$. |
| title | On joint returns to zero of Bessel processes |
| topic | Probability 60G40, 60H30 |
| url | https://arxiv.org/abs/2406.19344 |