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March 2016 A note on integral representations of the Skorokhod map
Patrick Buckingham, Brian Fralix, Offer Kella
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J. Appl. Probab. 53(1): 293-298 (March 2016).

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.

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Patrick Buckingham. Brian Fralix. Offer Kella. "A note on integral representations of the Skorokhod map." J. Appl. Probab. 53 (1) 293 - 298, March 2016.

Information

Published: March 2016
First available in Project Euclid: 8 March 2016

zbMATH: 1351.60042
MathSciNet: MR3471963

Subjects:
Primary: 45G99, 60G17, 90B05

Rights: Copyright © 2016 Applied Probability Trust

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Vol.53 • No. 1 • March 2016
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