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

preprint2012arXivOpen access

Abstract

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

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