Extensions of diffusion processes on intervals and Feller's boundary conditions
Probability
2012-04-03 v1
Abstract
For a minimal diffusion process on , any possible extension of it to a standard process on is characterized by the characteristic measures of excursions away from the boundary points and . The generator of the extension is proved to be characterized by Feller's boundary condition.
Keywords
Cite
@article{arxiv.1204.0314,
title = {Extensions of diffusion processes on intervals and Feller's boundary conditions},
author = {Kouji Yano},
journal= {arXiv preprint arXiv:1204.0314},
year = {2012}
}