Extended Lévy's theorem for a two-sided reflection

DOI10.1214/24-ECP576MaRDI QIDQ6597231zbMATH OpenFDO

Authors Benjamin Housley

Publication date 3 September 2024

Published in Electronic Communications in Probability (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

diffusion processlocal timenormal reflectionreflecting Brownian motion with driftSkorokhod mapLévy's theoremtwo-sided reflecting Brownian motion

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Boundary theory for Markov processes (60J50) Local time and additive functionals (60J55) Stochastic systems in control theory (general) (93E03)

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Cites work

• scientific article; zbMATH DE number 5774588 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• An explicit formula for the Skorokhod map on \([0,a]\)
• An extension of P. Lévy's distributional properties to the case of a Brownian motion with drift
• Double Skorokhod Map and Reneging Real-Time Queues
• Strong Solutions of Stochastic Differential Equations with Boundary Conditions
• Structural properties of reflected Lévy processes

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