# Brownian Excursions and Local Time

I’ve been spending a fair bit of time this week reading and thinking about the limits of various combinatorial objects, in particular letting the number of vertices tend to $\infty$ in models of random graphs with various constraints. Perhaps predictably, like so many continuous stochastic objects, yet again the limiting ‘things’ turn out to be closely linked to Brownian Motion. As a result, I’ve ended up reading a bit about the notion of local time, and thought it was sufficiently elegant even by itself to justify a quick post.

Local Time

In general, we might be interested in calculating a stochastic integral like

$\int_0^t f(B_s)ds$.

Note that, except in some highly non-interesting cases, this is a random variable. Our high school understanding of Riemannian integration encourages thinking of this as a ‘pathwise’ integral along the path evolving in time. But of course, that’s orthogonal to the approach we start thinking about when we are introduced to the Lebesgue integral. There we think about potential values of the integrand, and weight their contribution by the (Lebesgue) measure of the subset of the domain in which they appear.

Can we do the same for the stochastic integral? That is, can we find a measure which records how long the Brownian Motion spends at a point x? This measure will not be deterministic – effectively the stochastic behaviour of BM will be encoded through the measure rather than the argument of the function.

The answer is yes, and the measure in question is referred to as local time. More formally, we want

$\int_0^t f(B_s)ds=\int_\mathbb{R}f(x)L(t,x)dx.$ (*)

where the local time L(t,x) is a random process, increasing for fixed x. Informally, one could take

$\partial_t L(t,x) \propto 1(B_t=x)$

but clearly in practice that won’t do at all for a definition, and so instead we use (*). In the usual way, if we want (*) to hold for all reasonably nice functions f, it suffices to check it for the indicator functions of Borel sets. L(t,.) is therefore often referred to as occupation density, while L(.,A) is local time.

Local Time as natural index for Excursions

An excursion, for example of Brownian Motion, is a segment of the path that has zero value only at its endpoints. Alternatively, it is a maximal open interval of time such that the path is away from 0. We want to specify the measure on these excursions. Here are some obvious difficulties.

By Blumenthal’s 0-1 law, BM started from zero hits zero infinitely often in any time interval [0,e], so in the same way that there is no first positive rational, there is no first excursion. We could pick the excursion occurring in progress at a fixed time t, but this is little better. Firstly, the resultant measure is size-biased by the length of the excursion, and more importantly, the proximity of t to the origin may be significant unless we know of some memorylessness type of property to excursions.

Local time allows us to solve these problems. We restrict attention to $L_t:=L(t,0)$, the occupation density of 0. Let’s think about some advantages of indexing excursions by local time rather than by the start time:

• The key observation is that local time remains constant on excursions. That is, if we are avoiding 0, the local time at 0 cannot grow because the BM spends no time there!
• If we use start time, then we have a countably infinite number of small excursions accumulating close to 0, ie with very small start time. However, local time increases rapidly when there are lots of small excursions. Remember, lots of small excursions means that the BM hits 0 lots of times. So local time grows quickly through the annoying bits, and effectively provides a size-biasing for excursions that allows us to ignore the effects of the ‘Blumenthal excursions’ near time 0.
• When indexed by time, excursions might be Markovian, in the sense that subsequent excursions (and in particular their lengths) are independent of past excursions.This is certainly not the case if you index by start time! If an excursion starts at time t and has length u, then the ‘next’ excursions, in as much as that makes sense, must surely start at time t+u.

We know there are only countably many excursions, hence there are only countably many local times which pertain to an excursion. This motivates considering the set of excursions as a Poisson Point Process on local time. Once you’ve had this idea, everything follows quite nicely. Working out the distribution of the constant rate (which is a measure on the set of excursions) remains, but essentially we now have a sensible framework for tracking the process of excursions, and from this we can reconstruct the original Brownian Motion.