On subexponentiality of the Lévy measure of the diffusion inverse local time; with applications to penalizations
| dc.creator | Salminen, Paavo | |
| dc.creator | Vallois, Pierre | |
| dc.date | 2008-05-28 | |
| dc.date.accessioned | 2026-07-07T09:41:21Z | |
| dc.date.available | 2026-07-07T09:41:21Z | |
| dc.description | For a recurrent linear diffusion on $\R_+$ we study the asymptotics of the distribution of its local time at 0 as the time parameter tends to infinity. Under the assumption that the Lévy measure of the inverse local time is subexponential this distribution behaves asymtotically as a multiple of the Lévy measure. Using spectral representations we find the exact value of the multiple. For this we also need a result on the asymptotic behavior of the convolution of a subexponential distribution and an arbitrary distribution on $\R_+.$ The exact knowledge of the asymptotic behavior of the distribution of the local time allows us to analyze the process derived via a penalization procedure with the local time. This result generalizes the penalizations obtained in Roynette, Vallois and Yor \cite{rvyV} for Bessel processes. | |
| dc.identifier | https://arxiv.org/abs/0805.4353 | |
| dc.identifier | http://arxiv.org/abs/0805.4353 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/161800 | |
| dc.subject | Probability | |
| dc.subject | 60J60, 60J65, 60J30 | |
| dc.title | On subexponentiality of the Lévy measure of the diffusion inverse local time; with applications to penalizations | |
| dc.type | text |