Lateral Boundary Conditions for a Kolmogorov-type PDE

We consider a Kolmogorov-type PDE corresponding to a particle under white noise force. We are interested in stopping the process at a fixed position i.e. imposing Dirichlet conditions at a side boundary. We construct a simple Gaussian heat kernel inside the domain and investigate a boundary-layer kernel connected to some work by McKean. We show that this boundary layer heat kernel has a novel jump condition. We outline a polynomial expansion of for the heat kernels and then construct a Volterra equation for solving the original problem. The novel jump leads to a periodic structure of the Volterra equation.