Self-avoiding random walk: A Brownian motion model with local time drift

Summary A natural model for a self-avoiding Brownian motion inR ^d, when specialised and simplified tod=1, becomes the stochastic differential equation , where {L(t, x):t0,xR} is the local time process ofX. ThoughX is not Markovian, an analogue of the Ray-Knight theorem holds for {L(,x):xR}, which allows one to prove in many cases of interest that exists almost surely, and to identify the limit.