The nonlocal boundary value problem for one-dimensional backward Kolmogorov equation and associated semigroup

R. V. Shevchuk, I. Ya. Savka, Z. M. Nytrebych

Abstract


This paper is devoted to a partial differential equation approach to the problem of construction of Feller semigroups associated
with one-dimensional diffusion processes with boundary conditions in theory of stochastic processes. In this paper we investigate
the boundary-value problem for a one-dimensional linear parabolic equation of the second order (backward Kolmogorov equation) in
curvilinear bounded domain with one of the variants of nonlocal Feller-Wentzell boundary condition. We restrict our attention to the
case when the boundary condition has only one term and it is of the integral type. The classical solution of the last problem is obtained
by the boundary integral equation method with the use of the fundamental solution of backward Kolmogorov equation and the associated
parabolic potentials. This solution is used to construct the Feller semigroup corresponding to such a diffusion phenomenon that a Markovian
particle leaves the boundary of the domain by jumps.

Keywords


parabolic potential, boundary integral equation method, Feller semigroup, nonlocal boundary condition

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