English

Local time penalizations with various clocks for L\'{e}vy processes

Probability 2023-01-18 v2

Abstract

Several long-time limit theorems of one-dimensional L\'{e}vy processes weighted and normalized by functions of the local time are studied. The long-time limits are taken via certain families of random times, called clocks: exponential clock, hitting time clock, two-point hitting time clock and inverse local time clock. The limit measure can be characterized via a certain martingale expressed by an invariant function for the process killed upon hitting zero. The limit processes may differ according to the choice of the clocks when the original L\'{e}vy process is recurrent and of finite variance.

Keywords

Cite

@article{arxiv.2203.08428,
  title  = {Local time penalizations with various clocks for L\'{e}vy processes},
  author = {Shosei Takeda and Kouji Yano},
  journal= {arXiv preprint arXiv:2203.08428},
  year   = {2023}
}

Comments

41 pages

R2 v1 2026-06-24T10:15:15.608Z