An explicit formula for the Skorokhod map on [0, a]
Kruk, Lukasz ; Lehoczky, John ; Ramanan, Kavita ; Shreve, Steven
Ann. Probab., Tome 35 (2007) no. 1, p. 1740-1768 / Harvested from Project Euclid
The Skorokhod map is a convenient tool for constructing solutions to stochastic differential equations with reflecting boundary conditions. In this work, an explicit formula for the Skorokhod map Γ0, a on [0, a] for any a>0 is derived. Specifically, it is shown that on the space $\mathcal{D}[0,\infty)$ of right-continuous functions with left limits taking values in ℝ, Γ0, aa○Γ0, where $\Lambda_{a}\dvtx \mathcal{D}[0,\infty)\rightarrow\mathcal{D}[0,\infty )$ is defined by ¶ \[\Lambda_{a}(\phi)(t)=\phi(t)-\sup_{s\in[0,t]}\biggl[\bigl(\phi(s)-a\bigr)^{+}\wedge\inf_{u\in[s,t]}\phi(u)\biggr]\] ¶ and $\Gamma_{0}\dvtx \mathcal{D}[0,\infty)\rightarrow\mathcal{D}[0,\infty)$ is the Skorokhod map on [0, ∞), which is given explicitly by ¶ \[\Gamma_{0}(\psi)(t)=\psi(t)+\sup_{s\in[0,t]}[-\psi(s)]^{+}.\] ¶ In addition, properties of Λa are developed and comparison properties of Γ0, a are established.
Publié le : 2007-09-14
Classification:  Skorokhod map,  reflection map,  double-sided reflection map,  comparison principle,  reflecting Brownian motion,  60G05,  60G17,  60J60,  90B05,  90B22
@article{1189000926,
     author = {Kruk, Lukasz and Lehoczky, John and Ramanan, Kavita and Shreve, Steven},
     title = {An explicit formula for the Skorokhod map on [0, a]},
     journal = {Ann. Probab.},
     volume = {35},
     number = {1},
     year = {2007},
     pages = { 1740-1768},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1189000926}
}
Kruk, Lukasz; Lehoczky, John; Ramanan, Kavita; Shreve, Steven. An explicit formula for the Skorokhod map on [0, a]. Ann. Probab., Tome 35 (2007) no. 1, pp.  1740-1768. http://gdmltest.u-ga.fr/item/1189000926/