The Skorokhod problem with two nonlinear constraints

• Autorzy: Li, Hanwu
• Języki publikacji: EN

Abstrakty

EN

In this paper, we study the Skorokhod problem with two constraints, where both constraints are nonlinear. We prove the existence and uniqueness of a solution and also provide an explicit construction for the solution. In addition, a number of properties of the solution are investigated, including continuity under uniform and J₁ metrics and a comparison principle.

Słowa kluczowe

EN

Skorokhod problem; nonlinear reflecting boundaries; double reflecting boundaries; comparison principle

• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2023
• Tom: Vol. 43, Fasc. 2
• Strony: 207--239
• Opis fizyczny: Bibliogr. 17 poz.

Twórcy

autor

Li, Hanwu

• Research Center for Mathematics and Interdisciplinary Sciences, Shandong University, Qingdao 266237, Shandong, China,

Bibliografia

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Identyfikatory

DOI

10.37190/0208-4147.00138