Markov processes conditioned on their location at large exponential times

TL;DR

This paper studies the behavior of Markov processes, especially Brownian motion with drift, conditioned on their state at large exponential times, revealing a limiting process with piecewise dynamics and extending the results to general Borel right processes.

Contribution

It introduces a new limiting process for Markov processes conditioned at large exponential times and develops a general framework for such conditioning in Borel right processes.

Findings

The limiting process combines different drift behaviors depending on the state.

The approach extends to general Borel right processes with a state conditioning.

Characterization of the limit involves advanced excursion and local time analysis.

Abstract

Suppose that $(X_t)_{t \ge 0}$ is a one-dimensional Brownian motion with negative drift $-\mu$. It is possible to make sense of conditioning this process to be in the state $0$ at an independent exponential random time and if we kill the conditioned process at the exponential time the resulting process is Markov. If we let the rate parameter of the random time go to $0$, then the limit of the killed Markov process evolves like $X$ conditioned to hit $0$, after which time it behaves as $X$ killed at the last time $X$ visits $0$. Equivalently, the limit process has the dynamics of the killed "bang--bang" Brownian motion that evolves like Brownian motion with positive drift $+\mu$ when it is negative, like Brownian motion with negative drift $-\mu$ when it is positive, and is killed according to the local time spent at $0$. An extension of this result holds in great generality for Borel right processes conditioned to be in some state $a$ at an exponential random time, at which time they are killed. Our proofs involve understanding the Campbell measures associated with local times, the use of excursion theory, and the development of a suitable analogue of the "bang--bang" construction for general Markov processes. As examples, we consider the special case when the transient Borel right process is a one-dimensional diffusion. Characterizing the limiting conditioned and killed process via its infinitesimal generator leads to an investigation of the $h$-transforms of transient one-dimensional diffusion processes that goes beyond what is known and is of independent interest.