Local time penalizations with various clocks for one-dimensional diffusions

DOI10.2969/JMSJ/75947594MaRDI QIDQ2414892zbMATH OpenOpenAlexWikidataFDO

Authors Christophe Profeta, Kouji Yano, Yuko Yano

Publication date 17 May 2019

Published in Journal of the Mathematical Society of Japan (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1608.07006, https://projecteuclid.org/euclid.jmsj/1541408432

zbMATH Keywords

penalizationlocal timeexcursion measureone-dimensional diffusion

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Diffusion processes (60J60) Martingales with continuous parameter (60G44)

Abstract: We study some limit theorems for the law of a generalized one-dimensional diffusion weighted and normalized by a non-negative function of the local time evaluated at a parametrized family of random times (which we will call a clock). As the clock tends to infinity, we show that the initial process converges towards a new penalized process, which generally depends on the chosen clock. However, unlike with deterministic clocks, no specific assumptions are needed on the resolvent of the diffusion. We then give a path interpretation of these penalized processes via some universal $sigma$-finite measures.

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Cited in

(4)

• Penalizations of the Brownian motion with a functional of its local times
• Penalization of a positively recurrent diffusion by an exponential function of its local time
• On universality in penalisation problems with multiplicative weights
• Local time penalizations with various clocks for Lévy processes

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