Perturbed Skorohod equations and perturbed reflected diffusion processes (Q1766512)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Perturbed Skorohod equations and perturbed reflected diffusion processes |
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Perturbed Skorohod equations and perturbed reflected diffusion processes (English)
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8 March 2005
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The paper proves existence and uniqueness of the solution to the perturbed Skorokhod equation \[ X_t = x + {\int_0^t} \sigma (X_s) dB_s + \alpha \max_{0\leq s\leq t} X_s +L_t^X , \] where \(\sigma\) is Lipschitz, \(B_t\) is a standard Brownian motion, and \(L_t^X\) is the local time at \(0\) of \(X\). Applications are given to existence and uniqueness of some perturbed reflected diffusion processes.
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Perturbed Skorokhod equations
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Local time
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Reflection principle
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Weak convergence
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Reflected diffusions
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Stratonovich integration
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