Estimates on the speedup and slowdown for a diffusion in a drifted Brownian potential

DOI10.1007/S10959-009-0251-5MaRDI QIDQ633133zbMATH OpenOpenAlexFDO

Authors Gabriel Faraud

Publication date 31 March 2011

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0907.1864

zbMATH Keywords

Brownian motiondiffusion in a random potentialmoderate deviationsrandom walk in random environmentstochastic calculus

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60) Processes in random environments (60K37)

Abstract: We study a model of diffusion in a brownian potential. This model was firstly introduced by T. Brox (1986) as a continuous time analogue of random walk in random environment. We estimate the deviations of this process above or under its typical behavior. Our results rely on different tools such as a representation introduced by Y. Hu, Z. Shi and M. Yor, Kotani's lemma, introduced at first by K. Kawazu and H. Tanaka (1997), and a decomposition of hitting times developed in a recent article by A. Fribergh, N. Gantert and S. Popov (2008). Our results are in agreement with their results in the discrete case.

Review text

The author considers a model of diffusion in a Brownian potential first studied by \textit{T. Brox} [Ann. Probab. 14, 1206--1218 (1986; Zbl 0608.60072)] as a continuous time analogue of a random walk in random environment. He estimates the deviations of this process above or under its typical behavior. The tools employed are a time-change representation due to \textit{Y. Hu, Z. Shi} and \textit{M. Yor} [Trans. Am. Math. Soc. 351, No. 10, 3915--3934 (1999; Zbl 0932.60083)], Kotani's lemma first proved by \textit{K. Kawazu} and \textit{H. Tanaka} [J. Math. Soc. Japon 49, No. 2, 189--211 (1997; Zbl 0914.60058)], and a decomposition of hitting times due to \textit{A. Fribergh, N. Gantert} and \textit{S. Popov} [Probab. Theory Relat. Fields 147, No.~1--2, 43--88 (2010; Zbl 1193.60122)].

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Cited in

(7)

• Moderate deviations for diffusions with Brownian potentials
• Bessel bridges decomposition with varying dimension: applications to finance
• The maximum of the local time of a diffusion process in a drifted Brownian potential
• Asymptotics for the fastest among N stochastic particles: role of an extended initial distribution and an additional drift component
• Almost sure behavior for the local time of a diffusion in a spectrally negative Lévy environment
• Asymptotic behavior of stochastic processes in random environments
• Annealed tail estimates for a Brownian motion in a drifted Brownian potential

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