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Persistence of Gaussian processes: non-summable correlations

Suppose the auto-correlations of real-valued, centered Gaussian process $Z(\cdot)$ are non-negative and decay as $ρ(|s-t|)$ for some $ρ(\cdot)$ regularly varying at infinity of order $-α\in [-1,0)$. With $I_ρ(t)=\int_0^t ρ(s)ds$ its primitive, we show that the persistence probabilities decay rate of $ -\log\mathbb{P}(\sup_{t \in [0,T]}\{Z(t)\}<0)$ is precisely of order $(T/I_ρ(T)) \log I_ρ(T)$, thereby closing the gap between the lower and upper bounds of \cite{NR}, which stood as such for over fifty years. We demonstrate its usefulness by sharpening recent results of \cite{Sak} about the dependence on $d$ of such persistence decay for the Langevin dynamics of certain $\grad ϕ$-interface models on $\Z^d$.

preprint2016arXivOpen access

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