Extensions of diffusion processes on intervals and Feller's boundary conditions

Details Extensions of diffusion processes on intervals and Feller's boundary conditions Extensions of diffusion processes on intervals and Feller's boundary conditions

2012-04-02

arxiv.org/abs/1204.0314v1

Mathematics

Probability

Scientific paper

For a minimal diffusion process on $ (a,b) $, any possible extension of it to
a standard process on $ [a,b] $ is characterized by the characteristic measures
of excursions away from the boundary points $ a $ and $ b $. The generator of
the extension is proved to be characterized by Feller's boundary condition.

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