Double Skorokhod Map and Reneging Real-Time Queues
Łukasz Kruk, John Lehoczky, Kavita Ramanan, Steven Shreve
Abstract
An explicit formula for the Skorokhod map Γ0,a on [0,a] for a>0 is provided and related to similar formulas in the literature. Specically, it is shown that on the space $\mathcal{D}$[0,∞) of right-continuous functions with left limits taking values in ℝ,
Γ0,a(ψ)(t)=ψ(t)−[(ψ(0)−a)+∧infu∈[0,t]ψ(u)]∨sups∈[0,t][(ψ(s)−a)∧infu∈[s,t]ψ(u)]
is the unique function taking values in [0,a] that is obtained from by minimal “pushing” at the endpoints 0 and a. An application of this result to real-time queues with reneging is outlined.
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Permanent link to this document: http://projecteuclid.org/euclid.imsc/1233152942
Digital Object Identifier: doi:10.1214/074921708000000372
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