Skew-unfolding the Skorokhod reflection of a continuous semimartingale

DOI10.1007/978-3-319-11292-3_13MaRDI QIDQ5374167zbMATH OpenOpenAlexFDO

Authors Tomoyuki Ichiba, Ioannis Karatzas

Publication date 9 April 2018

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1404.4662

zbMATH Keywords

asymmetric collisionscompeting particle systemslocal timepure and Ocone martingalesskew and perturbed Tanaka equationsskew Brownian and Bessel processesSkorokhod and conventional reflections

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: The Skorokhod reflection of a continuous semimartingale is unfolded, in a possibly skewed manner, into another continuous semimartingale on an enlarged probability space according to the excursion-theoretic methodology of Prokaj (2009). This is done in terms of a skew version of the Tanaka equation, whose properties are studied in some detail. The result is used to construct a system of two diffusive particles with rank-based characteristics and skew-elastic collisions. Unfoldings of conventional reflections are also discussed, as are examples involving skew Brownian Motions and skew Bessel processes.

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Cited in

(5)

• Unfolding the Skorohod reflection of a semimartingale
• Stochastic integral equations for Walsh semimartingales
• Degenerate competing three-particle systems
• Diffusions with rank-based characteristics and values in the nonnegative quadrant
• Sur une extension d'un lemme de Skorokhod avec une application aux semi-martingales

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