4:24 PM ET

When you shoot 64 in the first round of the Women's PGA Championship, you're good to go.

All of her positive thinking was tested in the final round.

The golfer from South Korea said that golf is not easy.

She played her best in the first round on a wet day and persevered through a steamy weekend to win her third major championship. She lost a once-sizeable lead on Sunday and then won by one when Lexi Thompson's putt fell.

In Gee Chun won her third major title on Sunday, rallying past Lexi Thompson after losing her once-sizeable lead to emerge victorious at the Women's PGA Championship. AP Photo/Nick Wass

On the final two days of the tournament, he shot a 3-over 75. She finished at 5-under 283, just enough to beat out Thompson and Lee.

If you enjoy your game, this trophy is yours, my coach told me before I started. It's hard to keep smiling when I'm not playing well, but I think I hung in there. I'm so proud.

The prize money for the event was increased.

After leading by six at the halfway point, Chun lost a three-shot lead in the first three holes of the final round. Thompson had a two-stroke lead over Chun after the first nine, but his putting problems were just beginning.

She missed a par putt from a couple feet on the 14th and had a bogey on the 15th. She bogeyed the 16th and the two players were tied with two holes left.

Thompson three-putted for a bogey on the 17th. Her putt from the rough on 18 wasn't strong enough.

She sank her par attempt after her approach on the 18th bounced past the hole and just off the back of the green.

It was her second victory in the US after the 2015 U.S. Open. At the Evian Championship, she won her second major.

Inbee Park is the only other player from South Korea to have won at least three majors.

She finished her 8-under 64 in wet conditions. At the end of the day, the lead was still equal to the largest advantage in the history of women's majors.

She was given some room for error and set up for a potentially exhausting weekend of high-pressure golf. The lead was down to three after three rounds.

Dean Herden said that she was excited when she saw the 64. It's difficult to calm down after a 64.

Thompson's lone major victory came as a teenager at Mission Hills in the California desert. She has had opportunities. She had a five-stroke lead going into the final round of the U.S. Women's Open.

She was 10 strokes behind after the first round at Congressional. Thompson made two pars on the first and third holes. The two bogeys fell behind.

Thompson missed two putts on the eighth and ninth that would have made her problems later in the round. After making it to 6 under at one point, Kim bogeyed the 8th, 10th, 11th and 12th.

Thompson made her second bogey of the day at the par-5 11th, but still held a two-shot lead. Thompson and Chun both made bogeys on the 12th.

The 16th hole was the turning point in her favor in the final round. Thompson was short and right of the green in two shots, but took four from there to make a bogey, while Chun rolled in her putter after a long wait.

Lee missed an eagle putt on the 16th hole that would have tied her for the lead. The Australian was three behind when Thompson and Lee made bogeys on the 17th.

Lee needed Thompson to drop two more strokes after she made a short putt on the last hole.

That actually happened, but Chun's two pars on the last three holes gave him the win.

Lee said she never felt out of it after she turned at even par. I thought I might have a chance if I can score a few points.

After this victory, she became emotional talking about a conversation she had with her sister about her experiences with depression.

I really felt sad. Chun said that he was hard to stay in the U.S. She said to stop playing golf. The important thing is you. I didn't want to stop playing golf. I think I still have a spirit, and I saw that you still want to play golf.

She said she was trying to hard this week. After all that happened, I'm so happy to have won.

Korda was the defending champion and finished in the top 30.