Occupation measure of Brownian motion and absolute continuity

brownian motionmeasure-theoryprobability theory

I have a question related to the occupation measure of a Brownian motion, which is defined as

$T_t(A)=\int_{0}^{t}{1_{A}(X_s)ds}$

for any set A where $X_t$ is a standard Brownian motion (or with linear drift).

One thing I know for sure about this measure is that it is absolutely continuous with respect to Lebesgue measure. What I'm wondering is the following: Consider a variation of the occupation measure, given as follows:

$T_t(A;f)=\int_{0}^{t}{1_{A}(X_s)\cdot f(X_s) ds}$

where f is a non-negative function ($f\geq0$) that makes $T_t(\cdot)$ be a measure on the real line.

Then is there a known condition on the function $f$ under which the measure $T_t(\cdot;f)$ is also absolute continuous with respect to Lebesgue measure? The obvious condition I can think of is that the function $f$ is a positive constant everywhere, but I'm wondering if there is a nontrivial condition.

Thank you very much for your help in advance!

Best Answer

The (one-dimensional) Brownian motion admits "local times" (occupation-time densities) $L^x_t(\omega)$, adapted to the Brownian filtration, jointly continuous in $(x,t)$ (a.s.), such that $$ \int_0^t g(X_s)\,ds =\int_{\Bbb R} g(x) L^x_t\,dx, \qquad\forall t\ge 0, $$ almost surely. Here $g$ is a Borel function that is non-negative or bounded (for example). With this fact in hand, the answer to your question should be clear.

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