A new proof of an Engelbert-Schmidt type zero-one law for time-homogeneous diffusions

2013/12/07 by Zhenyu Cui, Cui, Zhenyu
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #math.PR #msc:60G44 #msc:91B25 #msc:91B70

paper · pdf · doi:10.48550/arxiv.1312.2149

arxiv created 2014/03/07 · arxiv updated 2014/03/10

Abstract

In this paper we give a new proof to an Engelbert-Schmidt type zero-one law for time-homogeneous diffusions, which provides deterministic criteria for the convergence of integral functional of diffusions. Our proof is based on a slightly stronger assumption than that in Mijatović and Urusov (2012), and utilizes stochastic time change and Feller's test of explosions. It does not rely on advanced methods such as the first Ray-Knight theorem, Wiliam's theorem, Shepp's dichotomy result for Gaussian processes or Jeulin's lemma as in the previous literature(see Mijatović and Urusov (2012) for a pointer to the literature). The new proof has an intuitive interpretation as we link the integral functional to the explosion time of an associated diffusion process.

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