Limiting behavior of a diffusion in an asymptotically stable environment

DOI10.1016/J.ANIHPB.2006.01.003MaRDI QIDQ868053zbMATH OpenOpenAlexFDO

Authors Arvind Singh

Publication date 19 February 2007

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0505332, http://www.numdam.org/item?id=AIHPB_2007__43_1_101_0, http://www.numdam.org/item?id=AIHPB_2007__43_1_101_0/, https://eudml.org/doc/77920

zbMATH Keywords

random environmentstable processiterated logarithm law

Mathematics Subject Classification ID

Diffusion processes (60J60) Strong limit theorems (60F15) Stable stochastic processes (60G52) Processes in random environments (60K37)

Abstract: Let $V$ be a two sided random walk and let $X$ denote a real valued diffusion process with generator $1/2e^{V([x])}fracddx(e^{-V([x])}fracddx)$. This process is known to be the continuous equivalent of the one dimensional random walk in random environment with potential $V$. Hu and Shi (1997) described the L'evy classes of $X$ in the case where $V$ behaves approximately like a Brownian motion. In this paper, based on some fine results on the fluctuations of random walks and stable processes, we obtain an accurate image of the almost sure limiting behavior of $X$ when $V$ behaves asymptotically like a stable process. These results also apply for the corresponding random walk in random environment.

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• The maximum of the local time of a diffusion process in a drifted Brownian potential
• Random walk in mixed random environment without uniform ellipticity
• Almost sure behavior for the local time of a diffusion in a spectrally negative Lévy environment
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