Integral representation of Skorokhod reflection

DOI10.1090/S0002-9939-2011-10811-6MaRDI QIDQ3005634zbMATH OpenFDO

Authors Venkat Anantharam, T. Konstantopoulos

Publication date 9 June 2011

Published in Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1003.5638

zbMATH Keywords

integral representationstorage systemsSkorokhod reflectionsample path properties

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Nonlinear integral equations (45G99) Sample path properties (60G17) Inventory, storage, reservoirs (90B05)

Abstract: We show that a certain integral representation of the one-sided Skorokhod reflection of a continuous bounded variation function characterizes the reflection in that it possesses a unique maximal solution which solves the Skorokhod reflection problem.

Recommendations

• A note on integral representations of the Skorokhod map
• scientific article; zbMATH DE number 69201
• On the Skorokhod representation theorem
• scientific article; zbMATH DE number 1738343
• Stochastic processes possessing a skorohod integral representation
• scientific article; zbMATH DE number 2169686
• Skorohod representation theorem via disintegrations
• Skorohod representation on a given probability space

Cites work

• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• scientific article; zbMATH DE number 48635 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 1460450 (Why is no real title available?)
• Analysis of stochastic fluid queues driven by local-time processes
• Conservation laws and reflection mappings with an application to multiclass mean value analysis for stochastic fluid queues
• On the dynamics and performance of stochastic fluid systems
• Regulating functions on partially ordered sets
• Stochastic differential equations with reflecting boundary condition in convex regions
• Stochastic-Process Limits

Cited in

(6)

• Unfolding the Skorohod reflection of a semimartingale
• Regulating functions on partially ordered sets
• Lévy processes with two-sided reflection
• On the Generalized Drift Skorokhod Problem in One Dimension
• A note on integral representations of the Skorokhod map
• A lemma of variational distance between maximal functions with application to the skorokhod problem in a nonnegative orthant with state-dependent reflection directions

This page was built for publication: Integral representation of Skorokhod reflection

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3005634)