Abstract and Applied Analysis

Volume 2013 (2013), Article ID 463857, 12 pages

http://dx.doi.org/10.1155/2013/463857

Research Article

On the Laws of Total Local Times for -Paths and Bridges of Symmetric Lévy Processes

Masafumi Hayashi¹ and Kouji Yano²

¹Faculty of Science, University of the Ryukyus, 1 Senbaru, Okinawa, Nishihara 903-0213, Japan

²Graduate School of Science, Kyoto University, Sakyo-ku, Kyoto 606-8502, Japan

Received 12 May 2012; Accepted 29 November 2012

Academic Editor: Dumitru Baleanu

Copyright © 2013 Masafumi Hayashi and Kouji Yano. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract.

The joint law of the total local times at two levels for -paths of symmetric Lévy processes is shown to admit an explicit representation in terms of the laws of the squared Bessel processes of dimensions two and zero. The law of the total local time at a single level for bridges is also discussed.

1. Introduction

Markov processes associated to heat semigroups generated by fractional derivatives are called symmetric stable Lévy processes (cf., e.g., [1]) or Lévy flights (cf., e.g., [2]). The purpose of the present paper is to study the laws of the total local times for -paths and bridges of (one-dimensional) symmetric Lévy processes. We give an explicit representation (Theorem 16) of the joint law as a weighted sum of the law of the squared Bessel process of dimension two and the generalized excursion measure for the squared Bessel process of dimension zero. We also give an expression (Theorem 20) of the law of the total local time at a single level for bridges.

It is well known as one of the Ray-Knight theorems (see, e.g., [3, Chapter XI] and [4, Chapter 3]) that the total local time process with space parameter for a Bessel process of dimension three is a squared Bessel process of dimension two. Since the Bessel process of dimension three is the -path process of a reflected Brownian motion, Theorem 16 may be considered to be a slight generalization of this result.

Eisenbaum and Kaspi [5] have proved that the total local time of a Markov process with discontinuous paths is no longer Markov. As an analogue of Ray-Knight theorems, Eisenbaum et al. [6] have recently characterized the law of the local time process with space parameter at inverse local time in terms of some Gaussian process whose covariance is given by the resolvent density of the potential kernel. Moreover, if the Lévy process is a symmetric stable process, then the corresponding Gaussian process is a fractional Brownian motion. Their results are based on a version of Feynman-Kac formulae, which characterizes the Laplace transform of the joint laws of total local times of Markov processes at several levels.

In this paper we first focus on the -path process of a symmetric Lévy process, which has been introduced in the recent works [7–9] by Yano et al. The -path process may be obtained as the process conditioned to avoid the origin during the whole time (see [10]). We will also start from a version of Feynman-Kac formulae and obtain an explicit representation of the joint law of the total local times at two levels. (For some discussions of the joint law of the total local times, see Blumenthal-Getoor [11, pages 221–226] and Pitman [12].) Unfortunately, we have no better result on the law of the total local time process with space parameter. The difficulty will be explained in Remark 3.

In comparison with the results by Pitman [13] and Pitman and Yor [14] about the Brownian and Bessel bridges, we also investigate the law of the total local time at a single point for bridges of symmetric Lévy process, which we call Lévy bridges in short, and also for bridges of the -paths, which we call -bridges in short. We will prove a version of Feynman-Kac formulae (Theorem 7) for Lévy bridges with the help of the general theorems by Fitzsimmons et al. [15]. As an application of the Feynman-Kac theorem, we will give an expression of the law of the total local time at a single level for the Lévy bridges, while, unfortunately, we do not have any nice formula for the -bridges.

The present paper is organized as follows. In Section 2, we give two versions of Feynman-Kac formulae in general settings. In Section 3, we recall several formulae about squared Bessel processes and generalized excursion measures. In Section 4, we recall several facts about symmetric Lévy processes. In Section 5, we deal with the joint law of the total local times at two levels for the -paths of symmetric Lévy processes. In Section 6, we study the laws of the total local times for the Lévy bridges and for the -bridges.

2. Feynman-Kac Formulae

In order to study the laws of total local times, we prepare two versions of Feynman-Kac formulae, which describe their Laplace transforms. One is for transient Markov processes, and the other is for Markovian bridges.

Let denote the space of càdlàg paths with lifetime :

Let denote the canonical process: . Let denote its natural filtration and . For , we write for the first hitting time of the point :

The set of all nonnegative Borel functions on will be denoted by .

Let denote the laws on of a right Markov process. We assume that the transition kernels have jointly measurable densities with respect to a reference measure :

We define

which are resolvent densities if they are finite. We also assume that there exists a local time such that

holds with -probability one for any .

2.1. Feynman-Kac Formula for Transient Markov Processes

In this section, we prove Feynman-Kac formula for transient Markov processes. We assume the following conditions:

(i)the process is transient; (ii) for any with or .

Note that may be infinite. We note that

By formula (5), it is easy to see that

We will prove a version of Feynman-Kac formulae following Marcus-Rosen's book [16] where it is assumed that .

For and , we set

where .

Theorem 1 (Kac's moment formula). Let and . Then we has

The proof is essentially the same to that of [16, Theorem ], but we give it for completeness of the paper.

Proof. Note that

where . Denote . Since , the strong Markov property yields that

This yields (9) from (7).

Theorem 2 (Feynman-Kac formula). Let . Set

Then, for any diagonal matrix with nonnegative entries, we have

The proof is almost parallel to that of [16, Lemma ], but we give it for completeness of the paper.

Proof. Let . For , we have

It follows from Theorem 1 that

where for ,

Hence, for all such that 's are small enough, we have

By Cramer's formula, we obtain

Here, for a matrix , we denote by the matrix which is obtained by replacing each entry in the first column of by number 1. Since is nonnegative definite, we obtain the desired result (13) by analytic continuation.

Remark 3. Eisenbaum et al. [6] have proved an analogue of Ray-Knight theorem for the total local time of a symmetric Lévy process killed at an independent exponential time. We may say that the key to the proof is that is a constant matrix which is positive definite. The difficulty in the case of the -path process of a symmetric Lévy process is that the matrix no longer has such a nice property.

2.2. Feynman-Kac Formula for Markovian Bridges

In this section, we show Feynman-Kac formula for Markovian bridges. For this, we recall several theorems for Markovian bridges from Fitzsimmons et al. [15]. See [15] for details.

For , , let denote the bridge law, which serves as a version of the regular conditional distribution for under given . In this section, we assume the following condition:

for any , .

We also assume that there exists a local time such that

holds with -probability one for any and .

Theorem 4 (see [15, Lemma 1]). Let , . Then one has

for any nonnegative Borel function .

We will also use the following conditioning formula.

Theorem 5 (see [15, Proposition 3]). Let , . Then one has

for any nonnegative Borel function and any nonnegative predictable process .

For and , we define

where . The following theorem is a version of Kac's moment formulae.

Theorem 6. For any , and for any , one has

Proof. Let us prove the claim by induction. For , the assertion follows from Theorem 4. Suppose that formula (24) holds for a given . Note that

Since is a nonnegative predictable process, Theorems 5 and 4 show that

Hence, we obtain

by the assumption of the induction. Now we have proved that formula (24) is valid also for , which completes the proof.

The following theorem is a version of Feynman-Kac formulae.

Theorem 7. Let , and let . Suppose that

Let be the matrix with elements . Then, for any diagonal matrix with nonnegative entries, one has

Proof. We have

Using Theorem 6, we see that the above quantity is equal to

which amounts to . Hence, for all sufficiently small, we obtain

Since is nonnegative definite, we obtain the desired result (29) by analytic continuation.

The following theorem is valid even if

Theorem 8. Let and let . Suppose that

Let be the matrix with elements ,

and let be the matrix with elements . Then one has

Proof. Using Theorem 6, we see that

Hence, we obtain

The rest of the proof is now obvious.

3. Preliminaries: Squared Bessel Processes and Generalized Excursion Measures

In this section, we recall squared Bessel processes and generalized excursion measures.

First, we introduce several notations about squared Bessel processes, for which we follow [3, XI.1]. For , let denote the law of the -dimensional squared Bessel process where the origin is a trap when . Then the Laplace transform of a one-dimensional marginal is given by

We may obtain the transition kernels by the Laplace inversion.

  For and , we have

  where stands for the modified Bessel function of order .   For and , we have

  where stands for the gamma function.   For and , we have

The squared Bessel process satisfies the scaling property: for , , and , it holds that

Second, we recall the notion of the generalized excursion measure. By formula (39), we have

for and . If we put , we have

This shows that the family of laws is an entrance law for . In fact, there exists a unique -finite measure on such that

for and . Note that, to construct such a measure , we can not appeal to Kolmogorov's extension theorem, because the entrance laws have infinite total mass. However, we can actually construct via the agreement formula (see Pitman-Yor [17, Cor. 3] with ), or via the time change of a Brownian excursion (see Fitzsimmons-Yano [18, Theorem 2.5] with change of scales). We may call the generalized excursion measure for the squared Bessel process of dimension 0. See the references above for several characteristic formulae of .

4. Symmetric Lévy Processes

Let us confine ourselves to one-dimensional symmetric Lévy processes. We recall general facts and state several results from [7].

In what follows, we assume that is the law of a one-dimensional conservative Lévy process. Throughout the present paper, we assume the following conditions, which will be referred to as , are satisfied:

(i)the process is symmetric; (ii)the origin (and, consequently, any point) is regular for itself; (iii)the process is not a compound Poisson.

Under the condition , we have the following. The characteristic exponent is given by

for some and some positive Radon measure on such that

The reference measure is and we have

There exists a local time such that

with -probability one for any . Then it holds that

Let denote the excursion measure associated to the local time . We denote by the law of the process killed upon hitting the origin; that is,

Then the excursion measure satisfies the Markov property in the following sense: for any and for any nonnegative -measurable functional and for any nonnegative -measurable functional , it holds that

We need the following additional conditions:

the process is recurrent; the function is nondecreasing in for some .

Under the condition , the condition is equivalent to

All of the conditions , , and are obviously satisfied if the process is a symmetric stable Lévy process of index :

In what follows, we assume, as well as the condition , that the conditions and are also satisfied.

The Laplace transform of the law of is given by

see, for example, [19, pp. 64]. It is easy to see that the entrance law has the space density:

In view of [7, Theorem 2.10], the law of the hitting time is absolutely continuous relative to the Lebesgue measure and the time density coincides with the space density of the entrance law:

4.1. Absolute Continuity of the Law of the Inverse Local Time

Let denote the inverse local time at the origin:

We prove the absolute continuity of the law of inverse local time. Note that is a subordinator such that

see, for example, [19, pp. 131].

Lemma 9. For fixed , the law of under has a density :

Furthermore, may be chosen to be jointly continuous in .

Proof. Following [7, Sec. 3.3], we define a positive Borel measure on as

Then we have for , and hence there exists a Radon measure on with such that

Hence, the Laplace exponent may be represented as

where . Since , we may appeal to analytic continuation of both sides of formula (61) and obtain

Following [20, Theorem 3.1], we may invert the Fourier transform of the law of and obtain the desired result.

4.2. -Paths of Symmetric Lévy Processes

We follow [7] for the notations concerning -paths of symmetric Lévy processes. For the interpretation of the -paths as some kind of conditioning, see [10].

We define

The second equality follows from (50). Then the function satisfies the following:

(i) is continuous; (ii), for all ; (iii) as (since the condition is satisfied).

See [7, Lemma 4.2] for the proof. Moreover, the function is harmonic with respect to the killed process:

See [7, Theorems 1.1 and ] for the proof. We define the -path process by the following local equivalence relations:

Remark that, from the strong Markov properties of under and , the family is consistent, and hence the probability measure is well defined.

The -path process is then symmetric; more precisely, the transition kernel has a symmetric density with respect to the measure . Here the density is given by

By (65), we see that is characterized by

See [7, ] for the details. The -path process also satisfies the following conditions:

(i)the process is conservative; (ii)any point is regular for itself; (iii)the process is transient (since the condition is satisfied).

We can easily prove regularity of any point by the local equivalence (69). See [7, Theorem 1.4] for the proof of transience.

The resolvent density of the -path process with respect to is given by

We remark here that, since , we see, by (71), that

The Green function exists and is given by

See [7, ] for the proof. Since , we have

It follows from the local equivalence (69) that there exists a local time such that

with -probability one for any . We have

Example 10. If the process is the symmetric stable process of index , then the harmonic function may be computed as

where is given as follows (see [9, Appendix]):

5. The Laws of the Total Local Times for -Paths

In this section, we state and prove our main theorems concerning the laws of the total local times of -paths.

5.1. Laplace Transform Formula for -Paths

In this section, we prove Laplace transform formula for -paths at two levels.

Lemma 11. For and , one has

where

Proof. Let us apply Theorem 2 with

Then we obtain (80) by an easy computation.

By (75), we have . Since

we obtain by nonnegative definiteness of the above matrix. The proof is now complete.

5.2. The Law of

Using formula (80), we can determine the law of ; see [16, Example ] for the formula in a more general case.

Theorem 12. For any , one has

where stands for the Dirac measure concentrated at 0. Consequently, one has

Proof. Letting in Lemma 11, we have

which proves the claim.

Remark 13. Since if and only if  , the identity (85) is equivalent to

This formula may also be obtained from the following formula (see [9, Proposition 5.10]):

Suppose that, in the definition (69), we may replace the fixed time with the stopping time . Then we have

5.3. The Probability That Two Levels Are Attained

Let us discuss the probability that the total local times at two given levels are positive.

Theorem 14. Let such that . Then one has and

Consequently, one has .

Proof. Letting in formula (80), we have

If were zero, then would be positive, and hence the right-hand side of (92) would diverge as , which contradicts the fact that the left-hand side of (92) is bounded in . Hence, we obtain .

Taking the limit as in both sides of formula (92), we have

which is nothing else but the second equality of (90). By formula (85), we obtain

Thus we obtain (91). Therefore, we obtain

which is nothing else but the first equality of (90). The proof is now complete.

5.4. Joint Law of and

Let us discuss the joint law of and for such that .

By Lemma 11, we know that . First, we discuss the case of .

Theorem 15. Suppose that . Then

Proof. Since and , formula (80) implies

We may rewrite the right-hand side as

which proves the claim.

Second, we discuss the case of .

Theorem 16. Suppose that . Set

Then one has and . For any , one has

where , are constants given as

and , are positive measures on such that

Remark 17. The expression (104) coincides with

where is the generalized excursion measure introduced in Section 3.

The proof of Theorem 16 will be given in the next section.

Remark 18. In the case where , the process is the symmetrized three-dimensional Bessel process. In other words, if we set

then we have

and the processes and are one-sided three-dimensional Bessel processes. Hence, the Ray-Knight theorem implies that the process conditional on is the squared Bessel process of dimension two. Let us check that Theorems 15 and 16 are consistent with this fact. Since , we have

If , then we should look at Theorem 15 which implies that

If , then we should look at Theorem 16. Note that

and that

Hence, Theorem 16 implies that

5.5. Proof of Theorem 16

We give the proof of Theorem 16. We divide the proofs into several steps.

Step 1. Since

we have .

Step 2. Let us compute the Laplace transform:

By the Markov property, the right-hand side is equal to

By formula (39), this expectation is equal to

Again by formula (39), this expectation is equal to

Simplifying this quantity with , we see that

Note that this expression is invariant under interchange between and , which proves the second equality of (103).

Step 3. Let us compute the Laplace transform:

By formula (39), this expectation is equal to

Using the equality between (116) and (118), we see that

Now we also obtain

Step 4. Noting that

we sum up formulae (123), (118), (121), and (122), and we obtain

By Lemma 11, we see that the right-hand side coincides with the Laplace transform of the joint law of under . By the uniqueness of Laplace transforms, we obtain the desired conclusion.

6. The Laws of Total Local Times for Bridges

In this section, we study the total local time of Lévy bridges and -bridges.

6.1. The Laws of the Total Local Times for Lévy Bridges

Let us work with the Lévy bridge and its local time such that

with -probability one. Let us study the law of the total local time under .

Theorem 19. For , it holds that

Proof. Using Theorem 7 with and , we have

By formula (61), we have

Hence, using Lemma 9, we obtain (126) by the Laplace inversion. The proof is now complete.

Theorem 20. For any , one has

where the symbol stands for the convolution operation.

Proof. Using Theorem 7 with , , , , and , we have

On the one hand, it follows from (57) that

This implies (129). On the other hand, by (61) and (57), we have

This implies (130). The proof is now complete.

6.2. The Laws of the Total Local Times for -Bridges

Let us work with the -bridge and its local time such that

with -probability one. We give the Laplace transform formula for the law of the total local time under .

Lemma 21. For and , one has

Proof. Using Theorem 8 with , , and , we have

By formulae (72), we obtain the desired formula.

7. Concluding Remark

We gave an explicit formula which describes the joint distribution of the total local times at two levels and we discussed several formulae related to the law of the total local times. However, we could not obtain any better result on the law of the total local time with space parameter. As we noted in Remark 3, a difficulty arises in the case of -paths, which comes from the asymmetry of the matrix . We also remark that we have no better result related to the law of total local time in the case where the Markov process is asymmetric. We left the further study of the law of the total local time for asymmetric Markov process with space parameter for future work.

Acknowledgment

K. Yano is partially supported by Inamori Foundation.

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