Brownian motion with drift conditioned to have restricted $L^2$-norm

Abstract

We study the long-time behaviour of Brownian motion with drift under a rare-event conditioning of the quadratic additive functional $Z_T=\int_0^T W_s^2ds$, where $(W_t)_{t\geq 0}$ is a Brownian motion with drift $\mu$. More precisely, we consider the conditional law of $W$ given the event $Z_T\le \theta T$, as $T\to\infty$, allowing the drift $\mu$ to depend on $T$. We derive sharp, uniform small-deviation asymptotics for $Z_T$, including the exact prefactor, and use them to show that the conditioned process converges weakly to an Ornstein--Uhlenbeck process. Remarkably, the limiting dynamics are independent of the original drift.