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