Local time penalizations with various clocks for one-dimensional diffusions

Abstract : For a generalized one-dimensional diffusion, we consider the measure weighted and normalized by a non-negative function of the local time evaluated at a parametrized family of random times, which we will call a clock. The aim is to give a systematic study of the penalization with the clock, i.e., its limit as the clock tends to infinity. We also discuss universal σ-finite measures which govern certain classes of penalizations, thus giving a path interpretation of these penalized processes.
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Submitted on : Thursday, September 1, 2016 - 10:21:08 AM
Last modification on : Friday, July 20, 2018 - 11:12:46 AM
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  • HAL Id : hal-01358615, version 1
  • ARXIV : 1608.07006

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Christophe Profeta, Kouji Yano, Yuko Yano. Local time penalizations with various clocks for one-dimensional diffusions. 2016. ⟨hal-01358615⟩

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