Weak limits of perturbed random walks and the equation Y_ t = B_ t+\Y_ s:s t\ + \Y_ s:s t\
The analytical problem is the following: Let \(\alpha\) and \(\beta\) be two fixed real parameters. Given the continuous function \(f: [0,\infty)\to (-\infty,\infty)\) with \(f(0)=0\), solve the functional equation \[ g(t) = f(t) +\alpha\sup\{f(s):s\leq t\}+\beta\inf\{f(s):s\leq t\}. \leqno (*) \] Denote \(\rho:=\alpha\beta/(1-\alpha)(1-\beta)\). \textit{Ph. Carmona, F. Petit} and \textit{M. Yor} [``Beta variables as times spent in \([0,\infty[\) by certain perturbed Brownian motions (to appear in J. Lond. Math. Soc., II. Ser. (1997)] showed that (a) if \(\max\{\alpha,\beta\}\geq 1\), then the equation \((*)\) is not solvable for most functions \(f\); (b) if \(\max\{\alpha,\beta\}<1\) and \(|\rho|<1\), then the equation \((*)\) admits a unique solution for all functions \(f\). The paper under review improves on result (b) of Carmona, Petit and Yor in the following sense: Existence of solution of equation \((*)\) for all functions \(f\) is proved under condition \(\max\{\alpha,\beta\}<1\), without any restriction on \(\rho\). Unicity of this solution holds under the relaxed additional condition \(|\rho|\leq1\). It is also shown that if \(|\rho|>1\), then unicity of solution fails for particular choices of the function \(f\). If in equation \((*)\) we insert \(f(t)=B_t\) a one-dimensional Brownian path, and if \(|\rho|\leq 1\), the (unique) solution \(g(t)=Y_t\) will be the so-called `Brownian motion perturbed at its past extrema'. Various properties of this stochastic process are stated. It is also proved that \(Y_t\) arises as weak limit of certain `reinforced' random walks. For further recent results on the subject see also the paper by \textit{M. Perman} and the reviewer [``Perturbed Brownian motions (to appear in Probab. Theory Relat. Fields (1997)].
- `True' self-avoiding walks with generalized bond repulsion on \(\mathbb{Z}\)
- An excursion approach to Ray-Knight theorems for perturbed Brownian motion
- Beta Variables as Times Spent in [0, ∞[ By Certain Perturbed Brownian Motions
- Convergence of stochastic processes
- Enlacements du Mouvement Brownien Autour Des Courbes de L'Espace
- Generalized Ray-Knight theory and limit theorems for self-interacting random walks on \(\mathbb{Z}^ 1\)
- scientific article; zbMATH DE number 4161783 (Why is no real title available?)
- scientific article; zbMATH DE number 4123000 (Why is no real title available?)
- scientific article; zbMATH DE number 816095 (Why is no real title available?)
- On skew Brownian motion
- Phase transition in reinforced random walk and RWRE on trees
- Recurrence of reinforced random walk on a ladder
- Reinforced random walk
- Some extensions of the arc sine law as partial consequences of the scaling property of Brownian motion
- The ``true self-avoiding walk with bond repulsion on \(\mathbb{Z}\): Limit theorems
- Vertex-reinforced random walk
- Some calculations for doubly perturbed Brownian motion
- Density functions of doubly-perturbed stochastic differential equations with jumps
- Approximate solutions for a class of doubly perturbed stochastic differential equations
- Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
- Perturbed Skorohod equations and perturbed reflected diffusion processes
- Numerical solutions of doubly perturbed stochastic delay differential equations driven by Lévy process
- Excited Brownian motions as limits of excited random walks
- Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the maximum process
- Convergence of random walks with Markovian cookie stacks to Brownian motion perturbed at extrema
- The averaging method for doubly perturbed distribution dependent SDEs
- Fine mesh limit of the VRJP in dimension one and Bass-Burdzy flow
- Almost sure behavior of linearly edge-reinforced random walks on the half-line
- Greedy walk on the real line
- Doubly perturbed neutral stochastic functional equations
- Snakes and perturbed random walks
- Convergence to the maximum process of a fractional Brownian motion with shot noise
- Doubly perturbed jump-diffusion processes
- Transience, recurrence and speed of diffusions with a non-Markovian two-phase ``use it or lose it drift
- Explicit laws for the records of the perturbed random walk on \(\mathbb{Z} \)
- Existence and pathwise uniqueness of solutions for stochastic differential equations involving the local time at point zero
- The range of once‐reinforced random walk in one dimension
- Perturbations of singular fractional SDEs
- Strong convergence of Euler-Maruyama schemes for doubly perturbed McKean-Vlasov stochastic differential equations
- Rough differential equations containing path-dependent bounded variation terms
- On Carathéodory approximate scheme for a class of one-dimensional doubly perturbed diffusion processes
- Stochastic optimal control of Lévy tax processes with bailouts
- Convergence of scaled asymptotically-free self-interacting random walks to Brownian motion perturbed at extrema
- Law of the iterated logarithm for 1-D once-reinforced random walks
- Law of the iterated logarithm for \(p\)-walks on \(\mathbb{Z}\)
This page was built for publication: Weak limits of perturbed random walks and the equation \(Y_ t = B_ t+\alpha\sup\{Y_ s:s \leq t\} + \beta\inf\{Y_ s:s\leq t\}\)
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q674516)
