Multifunction Estimation in a Time-Discretized Skorokhod Reflection Problem
Nicolas Marie
TL;DR
This paper introduces a consistent estimator for the multifunction in a time-discretized Skorokhod reflection problem, combining stochastic differential equations with Moreau sweeping processes.
Contribution
It proposes a novel estimator for the multifunction in a complex stochastic reflection problem involving time discretization and sweeping processes.
Findings
The estimator is proven to be consistent.
Application to stochastic differential equations with reflection.
Potential for improved numerical methods in stochastic control.
Abstract
This paper deals with a consistent estimator of the multifunction involved in a time-discretized Skorokhod reflection problem defined by a stochastic differential equation and a Moreau sweeping process.
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Taxonomy
TopicsInsurance, Mortality, Demography, Risk Management · Point processes and geometric inequalities · Probability and Risk Models