Abstract
In studying the excursions of a diffusion process above its past minimum level, we have discovered a conceptually simple proof of Williams’ decomposition [5] of a transient diffusion at its global minimum. We use an approximation argument based on the trivial observation that the minimum level of the diffusion is the smallest y such that Ty < +∞, TY- = +∞, where TY is the hitting time of y.
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© 1986 Birkhäuser Boston, Inc.
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Fitzsimmons, P.J. (1986). Another Look at Williams’ Decompostion Theorem. In: Çinlar, E., Chung, K.L., Getoor, R.K., Glover, J. (eds) Seminar on Stochastic Processes, 1985. Progress in Probability and Statistics, vol 12. Birkhäuser Boston. https://doi.org/10.1007/978-1-4684-6748-2_5
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DOI: https://doi.org/10.1007/978-1-4684-6748-2_5
Publisher Name: Birkhäuser Boston
Print ISBN: 978-1-4684-6750-5
Online ISBN: 978-1-4684-6748-2
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