On general skew Brownian motions

Abstract

The aim of this paper is two-fold. On one hand, we will study the distorted Brownian motion on $\mathbb{R}$, i.e. the diffusion process $X$ associated with a regular and strongly local Dirichlet form obtained by the closure of $\mathscr{E}(f,g)=\frac{1}{2}\int_\mathbb{R} f'(x)g'(x)ρ(x)dx$ for $f,g\in C_c^\infty(\mathbb{R})$ on $L^2(\mathbb{R}, \mathfrak{m})$, where $\mathfrak{m}(dx)=ρ(x)dx$ and $ρ$ is a certain positive function. After figuring out the irreducible decomposition of $X$, we will present a characterization of that $X$ becomes a semi-martingale by virtue of so-called Fukushima's decomposition. Meanwhile, it is also called a general skew Brownian motion, which turns out to be a weak solution to the stochastic differential equation with certain $μ$: \[ dY_t=dW_t+\int_\mathbb{R}μ(dz) dL^z_t(Y),\quad (*) \] where $(W_t)_{t\geq 0}$ is a standard Brownian motion and $(L^z_t(Y))_{t\geq 0}$ is the symmetric semi-martingale local time of the unknown semi-martingale $Y$ at $z$. On the other hand, the stochastic differential equation (*) will be considered further. The main purpose is to find the conditions on $μ$ equivalent to that there exist general skew Brownian motions being weak solution to (*). Moreover, the irreducibility and the equivalence in distribution of expected general skew Brownian motions will be characterized. Finally, several special cases will be paid particular attention to and we will prove or disprove the pathwise uniqueness for (*).