On the excursion theory for linear diffusions
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Publication:1000331
DOI10.1007/S11537-007-0662-YzbMATH Open1160.60024arXivmath/0612687OpenAlexW2059944731MaRDI QIDQ1000331FDOQ1000331
Pierre Vallois, Marc Yor, Paavo Salminen
Publication date: 6 February 2009
Published in: Japanese Journal of Mathematics. 3rd Series (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/math/0612687
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