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2018 Squared Bessel processes of positive and negative dimension embedded in Brownian local times
Jim Pitman, Matthias Winkel
Electron. Commun. Probab. 23: 1-13 (2018). DOI: 10.1214/18-ECP174

Abstract

The Ray–Knight theorems show that the local time processes of various path fragments derived from a one-dimensional Brownian motion $B$ are squared Bessel processes of dimensions $0$, $2$, and $4$. It is also known that for various singular perturbations $X= |B| + \mu \ell $ of a reflecting Brownian motion $|B|$ by a multiple $\mu $ of its local time process $\ell $ at $0$, corresponding local time processes of $X$ are squared Bessel with other real dimension parameters, both positive and negative. Here, we embed squared Bessel processes of all real dimensions directly in the local time process of $B$. This is done by decomposing the path of $B$ into its excursions above and below a family of continuous random levels determined by the Harrison–Shepp construction of skew Brownian motion as the strong solution of an SDE driven by $B$. This embedding connects to Brownian local times a framework of point processes of squared Bessel excursions of negative dimension and associated stable processes, recently introduced by Forman, Pal, Rizzolo and Winkel to set up interval partition evolutions that arise in their approach to the Aldous diffusion on a space of continuum trees.

Citation

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Jim Pitman. Matthias Winkel. "Squared Bessel processes of positive and negative dimension embedded in Brownian local times." Electron. Commun. Probab. 23 1 - 13, 2018. https://doi.org/10.1214/18-ECP174

Information

Received: 26 April 2018; Accepted: 1 October 2018; Published: 2018
First available in Project Euclid: 17 October 2018

zbMATH: 06964417
MathSciNet: MR3866047
Digital Object Identifier: 10.1214/18-ECP174

Subjects:
Primary: 60J80

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