Integral representation of Skorokhod reflection

Details Integral representation of Skorokhod reflection Integral representation of Skorokhod reflection

2010-03-29

arxiv.org/abs/1003.5638v1

Mathematics

Probability

11 pages

Scientific paper

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.

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