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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2026
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2606.01832 |
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| _version_ | 1866917553641619456 |
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| author | Aurzada, Frank Worf, Virginia |
| author_facet | Aurzada, Frank Worf, Virginia |
| contents | We study an MA(1)-process with uniform innovations conditioned to stay positive. Representing the model as a Markov chain, we prove the existence of the limiting finite-dimensional distributions under this conditioning and identify the limiting process explicitly as a Doob $h$-transform. In the non-expanding case, i.e. when the coupling parameter $θ$ satisfies $θ\in[-1,1)$, we compute the relevant generating functions, extract sharp persistence asymptotics, and give explicit formulas for the eigenfunction $h$ and the persistence exponent. The resulting transition kernel of the limiting process is therefore fully explicit and displays a phase-dependent structure in the parameters. This provides a rare solvable example of a Markov chain on a continuous state space conditioned on persistence. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2606_01832 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | MA(1) processes with uniform innovations conditioned to stay positive in the non-expanding regime Aurzada, Frank Worf, Virginia Probability 60J05, 60G10, 60J35 We study an MA(1)-process with uniform innovations conditioned to stay positive. Representing the model as a Markov chain, we prove the existence of the limiting finite-dimensional distributions under this conditioning and identify the limiting process explicitly as a Doob $h$-transform. In the non-expanding case, i.e. when the coupling parameter $θ$ satisfies $θ\in[-1,1)$, we compute the relevant generating functions, extract sharp persistence asymptotics, and give explicit formulas for the eigenfunction $h$ and the persistence exponent. The resulting transition kernel of the limiting process is therefore fully explicit and displays a phase-dependent structure in the parameters. This provides a rare solvable example of a Markov chain on a continuous state space conditioned on persistence. |
| title | MA(1) processes with uniform innovations conditioned to stay positive in the non-expanding regime |
| topic | Probability 60J05, 60G10, 60J35 |
| url | https://arxiv.org/abs/2606.01832 |