On the excursion theory for linear diffusions

DOI10.1007/S11537-007-0662-YMaRDI QIDQ1000331zbMATH OpenOpenAlexFDO

Authors Pierre Vallois, Marc Yor, Paavo Salminen

Publication date 6 February 2009

Published in Japanese Journal of Mathematics. 3rd Series (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0612687

zbMATH Keywords

local timelinear diffusionexcursionlast exit decomposition

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65)

Abstract: We present a number of important identities related to the excursion theory of linear diffusions. In particular, excursions straddling an independent exponential time are studied in detail. Letting the parameter of the exponential time tend to zero it is seen that these results connect to the corresponding results for excursions of stationary diffusions (in stationary state). We characterize also the laws of the diffusion prior and posterior to the last zero before the exponential time. It is proved using Krein's representations that, e.g., the law of the length of the excursion straddling an exponential time is infinitely divisible. As an illustration of the results we discuss Ornstein-Uhlenbeck processes.

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