Limit Law of the Local Time for Brox’s Diffusion

Pierre Andreoletti () and Roland Diel ()
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Pierre Andreoletti: Université d’Orléans
Roland Diel: Université d’Orléans

Journal of Theoretical Probability, 2011, vol. 24, issue 3, 634-656

Abstract: Abstract We consider Brox’s model: a one-dimensional diffusion in a Brownian potential W. We show that the normalized local time process (L(t,m log t +x)/t, x∈R), where m log t is the bottom of the deepest valley reached by the process before time t, behaves asymptotically like a process which only depends on W. As a consequence, we get the weak convergence of the local time to a functional of two independent three-dimensional Bessel processes and thus the limit law of the supremum of the normalized local time. These results are discussed and compared to the discrete time and space case for which the same questions have been answered recently by Gantert, Peres, and Shi (Ann. Inst. Henri Poincaré, Probab. Stat. 46(2):525–536, 2010).

Keywords: Diffusion process in Brownian potential; Local time; 60J25; 60J55 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10959-010-0314-7

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