Convergence of integral functionals of one-dimensional diffusions

DOI10.1214/ECP.V17-1825MaRDI QIDQ743406zbMATH OpenFDO

Authors Aleksander Mijatović, Mikhail Urusov

Publication date 24 September 2014

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1109.0202

zbMATH Keywords

Bessel processdiffusionsintegral functionalslocal timeRay-Knight theoremWilliams theorem

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55) Diffusion processes (60J60)

Abstract: In this expository paper we describe the pathwise behaviour of the integral functional $in{t}_0^{t}f(Y_u),ddu$ for any $tin[0,zeta]$, where $zeta$ is (a possibly infinite) exit time of a one-dimensional diffusion process $Y$ from its state space, $f$ is a nonnegative Borel measurable function and the coefficients of the SDE solved by $Y$ are only required to satisfy weak local integrability conditions. Two proofs of the deterministic characterisation of the convergence of such functionals are given: the problem is reduced in two different ways to certain path properties of Brownian motion where either the Williams theorem and the theory of Bessel processes or the first Ray-Knight theorem can be applied to prove the characterisation.

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