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

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

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

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

60G15: Gaussian processes

90B22: Queues and service in operations research

90B05: Inventory, storage, reservoirs

60J60: Diffusion processes

60G17: Sample path properties

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