Persistence of fractional Brownian motion with moving boundaries and applications

Abstract: We consider various problems related to the persistence probability of fractional Brownian motion (FBM), which is the probability that the FBM $X$ stays below a certain level until time $T$. Recently, Oshanin et al. study a physical model where persistence properties of FBM are shown to be related to scaling properties of a quantity $J_N$, called steady-state current. It turns out that for this analysis it is important to determine persistence probabilities of FBM with a moving boundary. We show that one can add a boundary of logarithmic order to a FBM without changing the polynomial rate of decay of the corresponding persistence probability which proves a result needed in Oshanin et al. Moreover, we complement their findings by considering the continuous-time version of $J_N$. Finally, we use the results for moving boundaries in order to improve estimates by Molchan concerning the persistence properties of other quantities of interest, such as the time when a FBM reaches its maximum on the time interval $(0,1)$ or the last zero in the interval $(0,1)$.