MA(1) processes with uniform innovations conditioned to stay positive
Oberseminar Darmstadt
Date: 21.05.2026
Time: 16:15–17:45 h
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. For all parameter regimes with coupling parameter 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.
Speaker
- Virginia Worf, TU Darmstadt
Place
- TU Darmstadt S2|15 Raum 401
- Schlossgartenstr. 7, 64289 Darmstadt
Organizers
- Technische Universität Darmstadt
Fachbereich Mathematik - Stochastik
Schlossgartenstraße 7
64289 Darmstadt
Telefon: +49 6151 16-23380
Telefax: +49 6151 16-23381
info(at)stochastik-rhein-mainde
Organizing partners
Goethe-Universität Frankfurt am Main, Johannes Gutenberg-Universität Mainz, Justus-Liebig-Universität Gießen