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arxiv: 1204.0314 · v1 · pith:MCTVM2BRnew · submitted 2012-04-02 · 🧮 math.PR

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

classification 🧮 math.PR
keywords boundarycharacterizeddiffusionextensionfellerprocessawaycharacteristic
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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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