A lemma of variational distance between maximal functions with application to the skorokhod problem in a nonnegative orthant with state-dependent reflection directions

DOI10.1080/17442509408833905zbMATH Open0828.60067OpenAlexW1988643400WikidataQ124969434 ScholiaQ124969434MaRDI QIDQ4845475FDOQ4845475

Authors: Malkhaz Shashiashvili 

Publication date: 12 December 1995

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509408833905

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zbMATH Keywords

maximal functionssolution mappingreflected Brownian motionvariational distanceSkorokhod problemHarrison-Reiman problem

Mathematics Subject Classification ID

Brownian motion (60J65) Sample path properties (60G17)

Cites Work

• Stochastic differential equations with reflecting boundary conditions
• Reflected Brownian motion on an orthant
• Open Queueing Networks in Heavy Traffic
• Weak convergence of probability measures and random functions in the function space D[0,∞)
• On the variation of the difference of singular components in the skorokhod problem and on stochastic differential systems in a half-space
• Title not available (Why is that?)

Cited In (11)

• Title not available (Why is that?)
• Reflected backward stochastic differential equations in an orthant
• Reflecting diffusions in an orthant: An introduction
• Multidimensional insurance model with risk-reducing treaty
• Existence and characterization of product-form invariant distributions for state-dependent stochastic networks in the heavy-traffic diffusion limit
• Regulating functions on partially ordered sets
• A \(d\)-person differential game with state space constraints
• An insurance network: Nash equilibrium
• Dynamic asset management with risk-sensitive criterion and non-negative factor constraints: a differential game approach
• Variational problem in the non-negative orthant of \(\mathbb{R}^{3}\): reflective faces and boundary influence cones
• On viscosity solution of HJB equations with state constraints and reflection control

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