The Most General Brownian Motion on the Line and on Two Closed Half-Lines

TL;DR

This paper fully characterizes the most general Brownian motions on the real line and two closed half-lines, extending classical results and introducing new processes like the Skew Sticky Killed at Zero Snapping Out Brownian Motion.

Contribution

It provides a complete characterization of the most general Brownian motions on the line and two half-lines, including new process definitions extending prior models.

Findings

On the line, the process is the Skew Sticky Brownian Motion Killed at Zero.

On two half-lines, the process is the Skew Sticky Killed at Zero Snapping Out Brownian Motion.

Extends classical results by Feller and introduces new stochastic processes.

Abstract

In the 1950s, W. Feller characterized the most general Brownian motion on the closed half-line. He showed that any such process is a mixture of reflected, sticky, and killed Brownian motions. By most general Brownian motion, we mean a strong Markov process whose excursions away from zero coincide with those of standard Brownian motion, and which may be sent to the cemetery state upon hitting zero. In this work, we fully characterize the most general Brownian motion on the whole real line and on the union of two closed half-lines. Our results are twofold. First, we show that the most general Brownian motion on the line is the process known in the literature as the Skew Sticky Brownian Motion Killed at Zero (see Borodin and Salminen's book). Second, we prove that the most general Brownian motion on two closed half-lines is a process, which we call the Skew Sticky Killed at Zero Snapping Out Brownian Motion. This process extends the Snapping Out Brownian Motion introduced by A. Lejay in 2016.