Penalizing null recurrent diffusions

Abstract

We present some limit theorems for the normalized laws (with respect to functionals involving last passage times at a given level up to time t) of a large class of null recurrent diffusions. Our results rely on hypotheses on the Lévy measure of the diffusion inverse local time at 0. As a special case, we recover some of the penalization results obtained by Najnudel, Roynette and Yor in the (reflected) Brownian setting.