Integral representation of Skorokhod reflection
Venkat Anantharam, Takis Konstantopoulos
TL;DR
This paper presents an integral representation that uniquely characterizes the one-sided Skorokhod reflection of continuous bounded variation functions, establishing the existence of a maximal solution to the reflection problem.
Contribution
It introduces a novel integral representation that uniquely characterizes the Skorokhod reflection and guarantees a maximal solution for the problem.
Findings
Unique maximal solution exists for the Skorokhod reflection problem.
Integral representation characterizes the reflection uniquely.
Solution framework applies to continuous bounded variation functions.
Abstract
We show that a certain integral representation of the one-sided Skorokhod reflection of a continuous bounded variation function characterizes the reflection in that it possesses a unique maximal solution which solves the Skorokhod reflection problem.
Peer Reviews
No public reviews on file for this paper yet. If you reviewed it on a platform where reviews are public (OpenReview, ICLR, NeurIPS, ICML), you can paste yours below so the community can read it here.
Videos
No videos yet. Explain this paper in a talk, walkthrough, or lecture? Add one.
Taxonomy
TopicsAdvanced Mathematical Modeling in Engineering · Stability and Controllability of Differential Equations · Stochastic processes and financial applications