Path transformations for local times of one-dimensional diffusions

DOI10.1016/J.SPA.2017.11.005zbMATH Open1409.60119arXiv1603.01886OpenAlexW2962907361MaRDI QIDQ1615897FDOQ1615897

Umut Cetin

Publication date: 31 October 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: Let $X$ be a regular one-dimensional transient diffusion and $L^y$ be its local time at $y$. The stochastic differential equation (SDE) whose solution corresponds to the process $X$ conditioned on $[L_{infty}^y=a]$ for a given $ageq0$ is constructed and a new path decomposition result for transient diffusions is given. In the course of the construction of the SDE the concept of {em recurrent transformation} is introduced and {em Bessel-type motions} as well as their SDE representations are studied. A remarkable link between an $h$-transform with a minimal excessive function and recurrent transformations is found, which, as a by-product, gives a useful representation of last passage times as a mixture of first hitting times. Moreover, the Engelbert-Schmidt theory for the weak solutions of one dimensional SDEs is extended to the case when the initial condition is an entrance boundary for the diffusion. This extension was necessary for the construction of the Bessel-type motion which played an essential part in the SDE representation of $X$ conditioned on $[L_{infty}^y=a]$.

Full work available at URL: https://arxiv.org/abs/1603.01886

zbMATH Keywords

local timeBessel processestime reversalEngelbert-Schmidt theory of weak solutionspath decomposition of Markov processesregular one-dimensional diffusions

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Local time and additive functionals (60J55)

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Cited In (4)

• Two-parameter \(p,q\)-variation paths and integrations of local times
• Local time penalizations with various clocks for one-dimensional diffusions
• On bivariate distributions of the local time of Itô-McKean diffusions
• Transience and Recurrence of Markov Processes with Constrained Local Time

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