Renewal structure and local time for diffusions in random environment

MaRDI QIDQ2829200zbMATH OpenFDO

Authors Pierre Andreoletti, Alexis Devulder, Grégoire Véchambre

Publication date 27 October 2016

Published in ALEA. Latin American Journal of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.02895, http://alea.impa.br/english/articles/v13/13-34.pdf

zbMATH Keywords

renewal processlocal timerandom environmentdiffusionsrandom potential

Mathematics Subject Classification ID

Diffusion processes (60J60) Local time and additive functionals (60J55) Processes in random environments (60K37) Renewal theory (60K05)

Abstract: We study a one-dimensional diffusion $X$ in a drifted Brownian potential $W_{k}appa$, with $0extlesskappaextless1$, and focus on the behavior of the local times $(mathcalL(t,x),x)$ of $X$ before time $textgreater0$.In particular we characterize the limit law of the supremum of the local time, as well as the position of the favorite sites. These limits can be written explicitly from a two dimensional stable L{'e}vy process. Our analysis is based on the study of an extension of the renewal structure which is deeply involved in the asymptotic behavior of $X$.

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Cited in

(6)

• Diffusion in random environment and the renewal theorem
• Almost sure behavior for the local time of a diffusion in a spectrally negative Lévy environment
• Exponential functionals of spectrally one-sided Lévy processes conditioned to stay positive
• Arbitrary many Walkers meet infinitely often in a subballistic random environment
• Localization of favorite points for diffusion in a random environment
• The maximum of the local time of a diffusion process in a drifted Brownian potential

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