The SDE solved by local times of a Brownian excursion or bridge derived from the height pro.pdf

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The SDE solved by local times of a Brownian excursion or bridge derived from the height pro.pdf

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The SDE solved by local times of a Brownian excursion or bridge derived from the height pro

The Annals of Probability 1999, Vol. 27, No. 1, 261283 THE SDE SOLVED BY LOCAL TIMES OF A BROWNIAN EXCURSION OR BRIDGE DERIVED FROM THE HEIGHT PROFILE OF A RANDOM TREE OR FOREST1 BY JIM PITMAN University of California, Berkeley Let B be a standard one-dimensional Brownian motion started at 0. ? . Let L B be the occupation density of B at level v up to time t. Thet, v ? ? . .distribution of the process of local times L B , v 0 conditionallyt, v ? .given B 0 and L B l is shown to be that of the unique strongt t, 0 solution X of the Ito SDE,? 1v 2dX 4 X t X du dv 2 X dBHv v u v v? 5? /0 ? .. ? . v 4on the interval 0, V X , where V X inf v: H X du t , and X 0t t 0 u v ? .for all v V X . This conditioned form of the RayKnight description oft Brownian local times arises from study of the asymptotic distribution as n and 2k n l of the height profile of a uniform rooted random forest of k trees labeled by a set of n elements, as obtained by condi- tioning a uniform random mapping of the set to itself to have k cyclic points. The SDE is the continuous analog of a simple description of a GaltonWatson branching process conditioned on its total progeny. For l 0, corresponding to asymptotics of a uniform random tree, the SDE gives a description of the process of local times of a Brownian excursion which is equivalent to Jeulin’s description of these local times as a time change of twice a Brownian excursion. Another corollary is the BianeYor description of the local times of a reflecting Brownian ridge as a time- changed reversal of twice a Brownian meander of the same length. 1. Introduction. This paper describes the local time process of a Brown- ian excursion or reflecting Brownian bridge as the solution of a stochastic ? .differential equation SDE . This equation is the continuous analog of a corresponding description of the height profile of a random tree or forest obtained by conditioning a discrete time GaltonWatson pro