Transience and recurrence of a Brownian path with limited local time and its repulsion envelope
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 , 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 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 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.
Keywords
Cite
@article{arxiv.1312.4131,
title = {Transience and recurrence of a Brownian path with limited local time and its repulsion envelope},
author = {Martin Kolb and Mladen Savov},
journal= {arXiv preprint arXiv:1312.4131},
year = {2015}
}