MULTIDIMENSIONAL DIFFUSION PROCESS WITH PARTIAL REFLECTION ON A FIXED HYPERPLANE AND WITH GENERALIZED DIFFUSION CHARACTERISTICS
A. F. NOVOSYADLOTheory of Stochastic Processes
Vol.16 (32), no.1, 2010, pp.73-83
We investigate the problem on pasting two parts of a diffusion process with variable coefficients on a hyperplane with additional conjugation condition of the Wentzel type given on it. A semigroup of operators that describe the unknown generalized diffusion process is obtained by using the method of classical potential theory.