A Converse to a Theorem of P. Levy
Fitzsimmons, P. J.
Ann. Probab., Tome 15 (1987) no. 4, p. 1515-1523 / Harvested from Project Euclid
By a well-known theorem of P. Levy, if $(X_t)$ is a standard Brownian motion on $\mathbb{R}$ with $X_0 = 0$ and if $H_t = \min_{u \leq t}X_u$, then $(Y_t) = (X_t - H_t)$ is Brownian motion with 0 as a reflecting lower boundary. More generally, if $X$ is allowed to have nonzero drift or a reflecting lower boundary at $A < 0$, then the process $Y = X - H$ is still a diffusion process. We prove the converse result: If $X$ is a diffusion on an interval $I \subset \mathbb{R}$ which contains 0 as an interior point, and if $(Y_t) = (X_t - H_t)$ is a time homogeneous strong Markov process (when $X_0 = 0$), then $X$ must be a Brownian motion on $I$ (with drift $\mu$, variance parameter $\sigma^2 > 0$, killing rate $c \geq 0$ and reflection at $\inf I$ in case $\inf I > -\infty$).
Publié le : 1987-10-14
Classification:  Brownian motion,  one-dimensional diffusion,  generator,  scale function,  speed measure,  regenerative set,  60J65,  60J25,  60J35,  60J60
@article{1176991990,
     author = {Fitzsimmons, P. J.},
     title = {A Converse to a Theorem of P. Levy},
     journal = {Ann. Probab.},
     volume = {15},
     number = {4},
     year = {1987},
     pages = { 1515-1523},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176991990}
}
Fitzsimmons, P. J. A Converse to a Theorem of P. Levy. Ann. Probab., Tome 15 (1987) no. 4, pp.  1515-1523. http://gdmltest.u-ga.fr/item/1176991990/