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2012 Penalizing null recurrent diffusions
Christophe Profeta
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Electron. J. Probab. 17: 1-23 (2012). DOI: 10.1214/EJP.v17-2267

Abstract

We present some limit theorems for the normalized laws (with respect to functionals involving last passage times at a given level $a$ up to time $t$) of a large class of null recurrent diffusions. Our results rely on hypotheses on the Lévy measure of the diffusion inverse local time at 0. As a special case, we recover some of the penalization results obtained by Najnudel, Roynette and Yor in the (reflected) Brownian setting.

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Christophe Profeta. "Penalizing null recurrent diffusions." Electron. J. Probab. 17 1 - 23, 2012. https://doi.org/10.1214/EJP.v17-2267

Information

Accepted: 22 August 2012; Published: 2012
First available in Project Euclid: 4 June 2016

zbMATH: 1262.60080
MathSciNet: MR2968676
Digital Object Identifier: 10.1214/EJP.v17-2267

Subjects:
Primary: 60J60
Secondary: 60J55, 60J65

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Vol.17 • 2012
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