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Local time penalizations with various clocks for one-dimensional diffusions

Authors :
Yuko Yano
Kouji Yano
Christophe Profeta
Laboratoire de Mathématiques et Modélisation d'Evry (LaMME)
Institut National de la Recherche Agronomique (INRA)-Université d'Évry-Val-d'Essonne (UEVE)-ENSIIE-Centre National de la Recherche Scientifique (CNRS)
Department of Mathematics, Kyoto University (Kyoto)
Kyoto University [Kyoto]
Kyoto Sangyo University
Laboratoire de Mathématiques et Modélisation d'Evry
Institut National de la Recherche Agronomique (INRA)-Université d'Évry-Val-d'Essonne (UEVE)-Centre National de la Recherche Scientifique (CNRS)
Kyoto University
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.

Details

Language :
English
Database :
OpenAIRE
Journal :
J. Math. Soc. Japan 71, no. 1 (2019), 203-233
Accession number :
edsair.doi.dedup.....5bf7ab93cb4d3617007cb5b0296b4a12