A continuous random operator associated with the Vertex Reinforced Jump Process on the circle and the real line

Abstract

In this paper, we focus on the scaling-limit of the random potential $\beta$ associated with the Vertex Reinforced Jump Process (VRJP) on one-dimensional graphs. Moreover, we give a few applications of this scaling-limit. By considering a relevant scaling of $\beta$, we contruct a continuous-space version of the random Schr{\"o}dinger operator $H_\beta$ which is associated with the VRJP on circles and on R. We also compute the integrated density of states of this operator on R which has a remarkably simple form. Moreover, by means of the same scaling, we obtain a new proof of the Matsumoto-Yor properties concerning the geometric Brownian motion which were proved in [MY01]. This new proof is based on some fundamental properties of the random potential $\beta$. We use also the scaling-limit of $\beta$ in order to prove new identities in law involving exponential functionals of the Brownian motion which generalize the Dufresne identity.