Local time of a diffusion in a stable Lévy environment

DOI10.1080/17442508.2010.521559MaRDI QIDQ3017912zbMATH OpenOpenAlexFDO

Authors Roland Diel, Guillaume Voisin

Publication date 20 July 2011

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0909.2929

zbMATH Keywords

local timeLevy processdiffusion process in the random environment

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Local time and additive functionals (60J55)

Abstract: We consider a one-dimensional diffusion in a stable L'evy environment. We show that the normalized local time process refocused at the bottom of the standard valley with height $logt$, $(L_X(t,mathfrak{m}_{logt}+x)/t,xinR)$, converges in law to a functional of two independent L'evy processes conditioned to stay positive. To prove this result, we show that the law of the standard valley is close to a two-sided L'evy process conditioned to stay positive. We also obtain the limit law of the supremum of the normalized local time. This result has been obtained by Andreoletti and Diel in the case of a Brownian environment.

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Cited in

(5)

• scientific article; zbMATH DE number 3909478 (Why is no real title available?)
• Almost sure asymptotics for the local time of a diffusion in Brownian environment
• An Analog of Local Time for a Class of Lévy Processes
• Almost sure behavior for the local time of a diffusion in a spectrally negative Lévy environment
• The maximum of the local time of a diffusion process in a drifted Brownian potential

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