Penalizing null recurrent diffusions
Probability
2011-11-15 v1
Abstract
We present some limit theorems for the normalized laws (with respect to functionals involving last passage times at a given level up to time t) of a large class of null recurrent diffusions. Our results rely on hypotheses on the L\'evy 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.
Keywords
Cite
@article{arxiv.1111.3343,
title = {Penalizing null recurrent diffusions},
author = {Christophe Profeta},
journal= {arXiv preprint arXiv:1111.3343},
year = {2011}
}