We revisit here a famous result by Sparre Andersen on persistence probabilities $\mathbf{ P}(S_k>0 \;\forall\, 0\leq k\leq n)$ for symmetric random walks $(S_n)_{ n\geq 0}$. We give a short proof of this result when considering sums of random variables that are only assumed exchangeable and sign-invariant. We then apply this result to the study of persistence probabilities of (symmetric) additive functionals of Markov chains, which can be seen as a natural generalization of integrated random walks.
Categories: math.PR