On the Relation of One-Dimensional Diffusions on Natural Scale and Their Speed Measures

Abstract

It is well known that the law of a one-dimensional diffusion on natural scale is fully characterized by its speed measure. Stone proved a continuous dependence of such diffusions on their speed measures. In this paper we establish the converse direction, i.e., we prove a continuous dependence of the speed measures on their diffusions. Furthermore, we take a topological point of view on the relation. More precisely, for suitable topologies, we establish a homeomorphic relation between the set of regular diffusions on natural scale without absorbing boundaries and the set of locally finite speed measures.