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arxiv: 2606.01832 · v1 · pith:YV5RM4TGnew · submitted 2026-06-01 · 🧮 math.PR

MA(1) processes with uniform innovations conditioned to stay positive in the non-expanding regime

classification 🧮 math.PR
keywords conditionedlimitingpersistenceprocesschainexplicitinnovationsmarkov
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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 $\theta$ satisfies $\theta\in[-1,1)$, 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.

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