Excursions of the integral of the Brownian motion (Q1958518)

The Langevin process is the \(\mathbb{R}^2\)-valued Markov process \[ Z_t= \Biggl(Y_t:= Y_0+ \int^t_0 W_s ds; W_t\Biggr), \] where \((W_t)\) is a real Brownian motion. Its transition density \(p_t(x,u; y,0)\) is well-known, and it was studied in particular by A. Lachal. Let \(\mathbb{P}_{x,u}\) denote its law (started from \((x,u)\)), \(\mathbb{P}_\lambda\) its stationary \(\sigma\)-finite law, \[ Q_{ex}:= \mathbb{E}_\lambda[\text{Card}\{t\in ]0,1[/Y_t= 0,\, e^t\in\cdot\}] \] its Pitman stationary excursion measure, and \(\mathbb{P}^\partial_{x,u}\) its law when killed at its hitting time of \(\{Y= 0\}\). The first result is that \[ Q_{ex}= \int_{\mathbb{R}} \mathbb{P}^\partial_{0,u}\times|u|\,du, \] and that \(JQ_{ex}\) is invariant under time-reserval (at lifetime J\(\xi\)). The second result gives the conditional measure \(Q_{ex}(\cdot/W_{0+}= u, W_{\xi-}= v)\) as a \(h\)-transform of \(\mathbb{E}^\partial_{0,u}\). The third result gives the Itô excursion measure of the reflected Langevin process (in \(\mathbb{R}^*_+\), as defined by Bertoin) as constant \(\times\lim_{u\downarrow 0} u^{-1/2}\mathbb{E}^\partial_{0,u}\) (instead of the alternative \(\lim_{x\downarrow 0} x^{-1/6}\mathbb{E}^\partial_{x,0}\) got by Bertoin).