The most visited sites of certain Lévy processes (Q5952046): Difference between revisions

Let \(\mathbb X = \{X_t\}_{t\geq 0}\) be a real-valued symmetric Lévy process with characteristic exponent (symbol) \(\psi(\xi)\) and define \(\varphi(x) = \frac 2\pi \int_0^\infty (1-\cos(x\xi)) \psi(\xi)^{-1} d\xi\). The most visited (or favourite) site \(V(t)\) of the process \(\mathbb X\) is the point in space where \(\mathbb X\) spends most of its time during \([0,t]\), i.e., where \(L^{V(t)}_t = \sup_{x\in\mathbb{R}} L_t^x\) holds for the (jointly continuous version of the) local time \(L_t^x\) at level \(x\). This notion is due to \textit{R. F. Bass} and \textit{Ph. S. Griffin} [Z. Wahrscheinlichkeitstheorie Verw. Geb. 70, 417-436 (1985; Zbl 0554.60076)] in the Brownian case, and \textit{R. F. Bass, N. Eisenbaum} and \textit{Z. Shi} [Probab. Theory Relat. Fields 116, No. 3, 391-404 (2000: Zbl 0955.60073] for Lévy processes. The present paper extends the transience of \(V(t)\), proved by Bass, Eisenbaum and Shi (loc. cit.) for symmetric \(\alpha\)-stable Lévy processes, to more general symmetric Lévy processes. Under the assumption that \(\psi\) is regularly varying with index \(\alpha\in(1,2]\) at zero, \(\psi^{-1}{\mathbf 1}_{(1,\infty)}\in L^1(\mathbb R)\), and \(\varphi\) is increasing on \([0,\infty)\) it is shown that for all \(a>8\) and \(\gamma>9\) \[ \lim_{t\to\infty} \frac{|V(t)|}{\varphi^{-1}\left(\frac{L_t^0}{(\log L_t^0)^a} \right)} = \lim_{t\to\infty} \frac{|V(t)|}{\varphi^{-1}\left(\frac{t \psi^{-1}(1/t)}{(\log t)^\gamma} \right)} = \infty \] holds almost surely. The proof follows the paper by Bass et al. to the point where scaling arguments come in. These are only available for stable Lévy processes and must be replaced by a more careful analysis of the growth of \(V(t)\) using the behaviour of \(\varphi\) at infinity. The first equality in the above formula can be derived by typical regular-variation arguments and well-known growth results for the càdlàg inverse \(\tau_t\) of \(L_t^0\) which is itself a subordinator. The hypotheses on \(\psi\) are, of course, satisfied by symmetric stable Lévy processes with \(\psi(\xi)=|\xi|^\alpha\), \(\alpha\in (1,2]\). Another huge class of examples is given by symmetric Lévy processes where \(\psi(\xi) \sim |\xi|^\alpha g(|\log|\xi||)\) as \(\xi\to 0\), \(\alpha\in (1,2)\), and with any function \(g\) which is decreasing at infinity and of regular variation.