arXiv:1308.5189 [math.PR]AbstractReferencesReviewsResources
Excursions Above the Minimum for Diffusions
Published 2013-08-23Version 1
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.
Comments: This manuscript was written in the spring of 1985, but has never been submitted for publication
Categories: math.PR
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