Limit law of the local time for Brox's diffusion

Details Limit law of the local time for Brox's diffusion Limit law of the local time for Brox's diffusion

2008-09-12

arxiv.org/abs/0809.2195v4

Mathematics

Probability

Scientific paper

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 \in 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 which same questions have been solved recently by N. Gantert, Y. Peres and Z. Shi.

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