Abstract
We present a very short derivation of the integral representation of the two-sided Skorokhod reflection Z of a continuous function X of bounded variation, which is a generalization of the integral representation of the one-sided map featured in Anantharam and Konstantopoulos (2011) and Konstantopoulos et al. (1996). We also show that Z satisfies a simpler integral representation when additional conditions are imposed on X.
Citation
Patrick Buckingham. Brian Fralix. Offer Kella. "A note on integral representations of the Skorokhod map." J. Appl. Probab. 53 (1) 293 - 298, March 2016.
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