Excursions Above the Minimum for Diffusions
Probability
2013-08-26 v1
Abstract
We demonstrate the existence of a "L\'evy system" for the excursions of a one-dimensional diffusion process above its past-minimum process. As applications we provide a direct proof of D. Williams' decomposition (in both a global and a local form) and of a theorem of W. Vervaat.
Keywords
Cite
@article{arxiv.1308.5189,
title = {Excursions Above the Minimum for Diffusions},
author = {P. J. Fitzsimmons},
journal= {arXiv preprint arXiv:1308.5189},
year = {2013}
}
Comments
This manuscript was written in the spring of 1985, but has never been submitted for publication