On the remarkable Lamperti representation of the inverse local time of a radial Ornstein-Uhlenbeck process (Q372705)

Let \(\alpha \in (0,1)\), \(\mu >0\), \(\beta_{s}\) be an \(\mathbb{R}\)-valued standard Brownian motion starting from \(0\), \(Z_{t}\geq 0\), \(Z_{t}=2\int_{0}^{t}Z_{s}^{1/2}d\beta_{s}-2\mu \int_{0}^{t}Z_{s}ds+2(1-\alpha )t\), \(R_{t}^{(\alpha ,\mu )}=Z_{t}^{1/2}\) (the radial Ornstein-Uhlenbeck process of dimension \(2(1-\alpha )\) and parameter \(\mu\)), \(L_{t}^{(\alpha ,\mu )}\) the local time at \(0\) of \(R^{(\alpha ,\mu )}\), and \(I^{(\alpha ,\mu )}\) the inverse local time at \(0\) of \(R^{(\alpha ,\mu )}\). In [\textit{J. Pitman} and \textit{M. Yor}, Lect. Notes Math. 1655, 287--305 (1997; Zbl 0884.60072)], the Lévy measure of (the subordinator without drift) \(I^{(\alpha ,\mu )}\) was determined. In [\textit{J. Lamperti}, Z. Wahrscheinlichkeitstheor. Verw. Geb. 22, 205--225 (1972; Zbl 0274.60052)], a correspondence between Lévy processes on \(\mathbb{R}\) and semistable processes (\(X_{x,t}\), \(t\geq 0\), \(X_{x,0}=x\), \(X_{x,ct}=cX_{x/c,t}\) in law, \(c>0\)) was established. The first part of the paper shows that the semistable process corresponding to \(2\mu \alpha I^{(\alpha ,\mu )}\) is \((x+2\mu \alpha \lambda_{\alpha}\tau_{t}^{(\alpha )})^{\alpha }\), \(\operatorname{E}(e^{-s\tau^{(\alpha )}_{t}})=e^{-ts^{\alpha }}\) with a constant \(\lambda_{\alpha }\). This result allows to deduce the result above from one in [\textit{F. Hirsch} and \textit{M. Yor}, Probab. Surv. 9, 253--286 (2012; Zbl 1245.60071)]. The motivation of the paper was the understanding of why the two results coincide for \(\mu = 1/2\alpha\). Intermediary results are: \(I^{(\alpha ,0)}\) is a stable subordinator with Lévy measure \(C x^{-\alpha -1}dx\), \((I_{t}^{(\alpha ,\mu )})\) is equal in law to \((2\mu )^{-1}\log(1+2\mu I_{K_{\alpha ,\mu }(t)}^{(\alpha ,0)})\), \(K_{\alpha ,\mu }\) being the inverse of \(\int_{0}^{t}(1+2\mu I_{s}^{(\alpha ,0)})^{-\alpha }ds\). Attention has to be paid to the exact values of the constants in the local times. The laws of \({\mathcal I}(I^{(\alpha ,1/2\alpha )})\) and \({\mathcal I}(I^{(1-\alpha ,1/2\alpha )})\), \({\mathcal I}(\xi ) =\int_{0}^{\infty }e^{-\xi_{t}}dt\), are described.