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

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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 (2012a) 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, William's theorem, Shepp's dichotomy result for Gaussian processes or Jeulin's lemma as in the previous literature (see Mijatović and Urusov (2012a) 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.

Original languageEnglish
Pages (from-to)118-123
Number of pages6
JournalStatistics and Probability Letters
Volume89
Issue number1
DOIs
StatePublished - Jun 2014

Keywords

  • Diffusion
  • Engelbert-Schmidt type zero-one law
  • Integral functional

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