Local time penalizations with various clocks for one-dimensional diffusions

DOI10.2969/JMSJ/75947594zbMATH Open1481.60056arXiv1608.07006OpenAlexW2963614633WikidataQ128913462 ScholiaQ128913462MaRDI QIDQ2414892FDOQ2414892

Kouji Yano, Yuko Yano, Christophe Profeta

Publication date: 17 May 2019

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

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.

Full work available at URL: https://arxiv.org/abs/1608.07006

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)

Cited In (3)

• Penalizations of the Brownian motion with a functional of its local times
• On universality in penalisation problems with multiplicative weights
• Local time penalizations with various clocks for Lévy processes

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