Square-root branching diffusion ($d{Z}_t=\sqrt{Z_t}d{B}_t,Z_0\ge 0$)

A nonnegative diffusion with zero absorbing, often called the critical Feller branching diffusion; other conventions multiply the coefficient by a fixed positive constant. Its diffusion coefficient is not Lipschitz at zero. Independent copies add according to the addition law for square-root branching diffusions, and a cutoff construction of an absorbed square-root diffusion gives strong existence without applying the global Lipschitz theorem to the original coefficient.

Replace the square-root coefficient near zero by smooth globally Lipschitz cutoffs that vanish below half the cutoff level. With a common Brownian driver, local pathwise uniqueness makes the solutions agree until the larger cutoff level. The exit times increase as the levels decrease. The compatible integrands $1_{\{s\le T_n\}}\sqrt{Z_s}$ have increasing squares and expected time-integrals at most $zt$ by the nonnegative local martingale bound. Their limit is square-integrable on every finite horizon. The Itô isometry gives a continuous global limiting stochastic integral; at a finite limiting exit time its value is zero, and it remains absorbed afterward.

For solutions with independent Brownian drivers in a common filtration, combine the drivers with weights $\sqrt{Z/(Z+Z^{\prime })}$ and $\sqrt{Z^{\prime }/(Z+Z^{\prime })}$ where the sum is positive. At zero use one original driver. The resulting continuous local martingale has bracket $t$ and is Brownian motion by the Lévy characterization of Brownian motion. Multiplying its differential by $\sqrt{Z+Z^{\prime }}$ gives exactly the sum of the original stochastic differentials.