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Local time penalizations with various clocks for one-dimensional diffusions
- Source :
- J. Math. Soc. Japan 71, no. 1 (2019), 203-233
- Publication Year :
- 2016
- Publisher :
- HAL CCSD, 2016.
-
Abstract
- We study some limit theorems for the law of a generalized one-dimensional diffusion weighted and normalized by a non-negative function of the local time evaluated at a parametrized family of random times (which we will call a clock). As the clock tends to infinity, we show that the initial process converges towards a new penalized process, which generally depends on the chosen clock. However, unlike with deterministic clocks, no specific assumptions are needed on the resolvent of the diffusion. We then give a path interpretation of these penalized processes via some universal $ \sigma $-finite measures.
- Subjects :
- one-dimensional diffusion
Diffusion (acoustics)
penalization
General Mathematics
media_common.quotation_subject
01 natural sciences
Measure (mathematics)
Interpretation (model theory)
010104 statistics & probability
local time
60F05
FOS: Mathematics
Applied mathematics
60G44
Limit (mathematics)
0101 mathematics
60J60
media_common
Mathematics
Probability (math.PR)
excursion measure
010102 general mathematics
Function (mathematics)
Infinity
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
Local time
Path (graph theory)
Mathematics - Probability
Subjects
Details
- Language :
- English
- Database :
- OpenAIRE
- Journal :
- J. Math. Soc. Japan 71, no. 1 (2019), 203-233
- Accession number :
- edsair.doi.dedup.....5bf7ab93cb4d3617007cb5b0296b4a12