An explicit formula for the Skorokhod map on \([0,a]\)

DOI10.1214/009117906000000890zbMath1139.60017arXiv0710.2977OpenAlexW3105663536MaRDI QIDQ2456026

Steven E. Shreve, Kavita Ramanan, John P. Lehoczky, Łukasz Kruk

Publication date: 17 October 2007

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0710.2977

zbMATH Keywords

comparison principle reflecting Brownian motion Skorokhod map reflection map double-sided reflection map

Mathematics Subject Classification ID

Gaussian processes (60G15) Queues and service in operations research (90B22) Inventory, storage, reservoirs (90B05) Diffusion processes (60J60) Sample path properties (60G17)

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