Random paths with bounded local time
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Abstract: We consider one-dimensional Brownian motion conditioned (in a suitable sense) to have a local time at every point and at every moment bounded by some fixed constant. Our main result shows that a phenomenon of entropic repulsion occurs: that is, this process is ballistic and has an asymptotic velocity approximately 4.58... as high as required by the conditioning (the exact value of this constant involves the first zero of a Bessel function). We also study the random walk case and show that the process is asymptotically ballistic but with an unknown speed.
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Cites work
Cited in
(10)- Greedy walk on the real line
- Structural properties of conditioned random walks on integer lattices with random local constraints
- Transience and recurrence of Markov processes with constrained local time
- On a structure of a conditioned random walk on the integers with bounded local times
- Brownian motion conditioned to spend limited time below a barrier
- Microthesis: Processes with constrained local time.
- On representations and simulation of conditioned random walks on integer lattices
- Galton-Watson trees with vanishing martingale limit
- Stochastic Sequences with a Regenerative Structure that May Depend Both on the Future and on the Past
- An integral test for the transience of a Brownian path with limited local time
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