On the local times of noise reinforced Bessel processes

DOI10.5802/AHL.151zbMATH Open1517.60099arXiv2109.12521OpenAlexW3204006436MaRDI QIDQ6159734FDOQ6159734

Authors: Jean Bertoin 

Publication date: 20 June 2023

Published in: Annales Henri Lebesgue (Search for Journal in Brave)

Abstract: We investigate the effects of noise reinforcement on a Bessel process of dimension $din(0,2)$, and more specifically on the asymptotic behavior of its additive functionals. This leads us to introduce a local time process and its inverse. We identify the latter as an increasing self-similar (time-homogeneous) Markov process, and from this, several explicit results can be deduced.

Full work available at URL: https://arxiv.org/abs/2109.12521

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zbMATH Keywords

local timeadditive functionalsBessel processself-similar Markov processstochastic reinforcementnoise reinforced Brownian motion

Mathematics Subject Classification ID

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

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Cited In (5)

• Penalizing a BES ( d ) process (0 < d < 2) with a function of its local time, V
• Noise reinforced Lévy processes: Lévy-Itô decomposition and applications
• Title not available (Why is that?)
• A note on the \(\alpha\)-sun distribution
• Noise reinforcement for Lévy processes

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