One-dimensional Wiener process with the properties of partial reflection and delay

Abstract

In this paper, we construct the two-parameter semigroup of operators associated with a certain one-dimensional inhomogeneous diffusion process and study its properties. We are interested in the process on the real line which can be described as follows. At the interior points of the half-lines separated by a point, the position of which depends on the time variable, this process coincides with the Wiener process given there and its behavior on the common boundary of these half-lines is determined by a kind of the conjugation condition of Feller-Wentzell's type. The conjugation condition we consider is local and contains only the first-order derivatives of the unknown function with respect to each of its variables.

The study of the problem is done using analytical methods. With such an approach, the problem of existence of the desired semigroup leads to the corresponding conjugation problem for a second order linear parabolic equation to which the above problem is reduced. Its classical solvability is obtained by the boundary integral equations method under the assumption that the initial function is bounded and continuous on the whole real line, the parameters characterizing the Feller-Wentzell conjugation condition are continuous functions of the time variable, and the curve defining the common boundary of the domains is determined by the function which is continuously differentiable and its derivative satisfies the Hölder condition with exponent less than $1/2$.