Persistence probabilities of autoregressive chains with continuous innovations

Abstract

We consider the persistence probabilities of an autoregressive chain of order one with continuous innovations. In the case of positive drifts, we show that these persistence probabilities are compound-geometric and satisfy a Baxter-Spitzer factorization generalizing that of the random walk. In the case of negative drifts, we exhibit a discrete Van Dantzig problem, which implies that the Baxter-Spitzer factorization never happens, except in a degenerate case. For positive drifts and log-concave innovations, we show that the first passage time in $(-\infty,0)$ has a log-convex distribution, whereas in the case of negative drifts and log-convex innovations on ${\mathbb R}^+$, it has a log-concave distribution. The case of the bi-exponential innovations is studied in detail, which leads for positive drifts to an additive factorization of the exponential law.