Excited Brownian motions as limits of excited random walks

We obtain the convergence in law of a sequence of excited (also called cookies) random walks toward an excited Brownian motion. This last process is a continuous semi-martingale whose drift is a function, say phi, of its local time. It was introduced by Norris, Rogers and Williams as a simplified version of Brownian polymers, and then recently further studied by the authors. To get our results we need to renormalize together the sequence of cookies, the time and the space in a convenient way. The proof follows a general approach already taken by Tth and his coauthors in multiple occasions, which goes through Ray-Knight type results. Namely we first prove, when phi is bounded and Lipschitz, that the convergence holds at the level of the local time processes. This is done via a careful study of the transition kernel of an auxiliary Markov chain which describes the local time at a given level. Then we prove a tightness result and deduce the convergence at the level of the full processes.