On the Skorokhod mapping for equations with reflection and possible jump-like exit from a boundary
For a solution of a reflection problem on a half-line similar to the Skorokhod reflection problem but with possible jump-like exit from zero, we obtain an explicit formula and study its properties. We also construct a Wiener process on a half-line with Wentzell boundary condition as a strong soluti...
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| Datum: | 2011 |
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| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | Russisch Englisch |
| Veröffentlicht: |
Institute of Mathematics, NAS of Ukraine
2011
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| Online Zugang: | https://umj.imath.kiev.ua/index.php/umj/article/view/2801 |
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| Назва журналу: | Ukrains’kyi Matematychnyi Zhurnal |
| Завантажити файл: |  |
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Ukrains’kyi Matematychnyi Zhurnal| Zusammenfassung: | For a solution of a reflection problem on a half-line similar to the Skorokhod reflection problem but with
possible jump-like exit from zero, we obtain an explicit formula and study its properties.
We also construct a Wiener process on a half-line with Wentzell boundary condition as a strong solution
of a certain stochastic differential equation. |
|---|