Limit theorems for one-dimensional diffusions: reflected, skew, sticky, skew-sticky, and snapping-out limits

Abstract

We establish general conditions for the weak convergence of regular one-dimensional diffusion processes when their scale functions, speed measures, state spaces and boundary conditions may substantially vary. Our approach is based on the classical Itô--McKean representation of regular diffusions via time changes and scale transformations of a single Brownian motion. This reduces many stochastic convergence problems to deterministic questions concerning the convergence of integrals, monotone functions, compositions, and generalized inverses. As a main application, we investigate various homogenization regimes for diffusions in media with closely spaced semipermeable membranes, where the resulting limiting processes include not only reflected and skew Brownian motions, but also skew-sticky Brownian motions and snapping-out diffusions. This yields a representation of a snapping-out diffusion as a function of a single Brownian motion, without introducing an auxiliary sequence of independent exponential random variables.