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.
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