Transience and recurrence of a Brownian path with limited local time and its repulsion envelope release_epv2tahwl5bclc75dybjybbyei [as of editgroup_4cl2ufvmnjbl5eq4drkjfkf56i]

by Martin Kolb, Mladen Savov

Released as a article .

2013  

Abstract

In this note we investigate the behaviour of Brownian motion conditioned on a growth constraint of its local time which has been previously investigated by Berestycki and Benjamini. For a class of non-decreasing positive functions f(t); t>0, we consider the Wiener measure under the condition that the Brownian local time is dominated by the function f up to time T. In the case where f(t)/t^3/2 is integrable we describe the limiting process as T goes to infinity. Moreover, we prove two conjectures in [BB10] in the case for a class of functions f, for which f(t)/t^3/2 just fails to be integrable. Our methodology is more general as it relies on the study of the asymptotic of the probability of subordinators to stay above a given curve. Immediately or with adaptations one can study questions like the Brownian motioned conditioned on a growth constraint of its local time at the maximum or more generally a Levy process conditioned on a growth constraint of its local time at the maximum or at zero. We discuss briefly the former.
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Type  article
Stage   submitted
Date   2013-12-15
Version   v1
Language   en ?
arXiv  1312.4131v1
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