English

Transience and recurrence of a Brownian path with limited local time and its repulsion envelope

Probability 2015-03-10 v2

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>0f(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)/t3/2f(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)/t3/2f(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.

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}
}