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2009 On subexponentiality of the Lévy measure of the inverse local time; with applications to penalizations
Paavo Salminen, Pierre Vallois
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Electron. J. Probab. 14: 1963-1991 (2009). DOI: 10.1214/EJP.v14-686

Abstract

Abstract. For a recurrent linear diffusion on the positive real axis we study the asymptotics of the distribution of its local time at 0 as the time parameter tends to infinity. Under the assumption that the Lévy measure of the inverse local time is subexponential this distribution behaves asymptotically as a multiple of the Lévy measure. Using spectral representations we find the exact value of the multiple. For this we also need a result on the asymptotic behavior of the convolution of a subexponential distribution and an arbitrary distribution on the positive real axis. The exact knowledge of the asymptotic behavior of the distribution of the local time allows us to analyze the process derived via a penalization procedure with the local time. This result generalizes the penalizations obtained by Roynette, Vallois and Yor in Studia Sci. Math. Hungar. 45(1), 2008 for Bessel processes.

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Paavo Salminen. Pierre Vallois. "On subexponentiality of the Lévy measure of the inverse local time; with applications to penalizations." Electron. J. Probab. 14 1963 - 1991, 2009. https://doi.org/10.1214/EJP.v14-686

Information

Accepted: 17 September 2009; Published: 2009
First available in Project Euclid: 1 June 2016

zbMATH: 1192.60089
MathSciNet: MR2540855
Digital Object Identifier: 10.1214/EJP.v14-686

Subjects:
Primary: 60J60
Secondary: 60J30, 60J65

JOURNAL ARTICLE
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