The Skorokhod problem in a time-dependent interval

DOI10.1016/j.spa.2008.03.001zbMath1186.60035arXiv0712.2863MaRDI QIDQ1004400

Kavita Ramanan, Krzysztof Burdzy, Weining Kang

Publication date: 10 March 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.2863

zbMATH Keywords

Skorokhod problem; reflected Brownian motion; semimartingale property; Skorokhod map; space-time Brownian motion

Mathematics Subject Classification ID

60J65: Brownian motion

60G17: Sample path properties

Related Items

The Skorohod oblique reflection problem in time-dependent domains, An explicit representation of the extended Skorokhod map with two time-dependent boundaries, Convergence of a queueing system in heavy traffic with general patience-time distributions, A Dirichlet process characterization of a class of reflected diffusions, Stochastic differential equations with jump reflection at time-dependent barriers

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