English

Uniqueness for the Skorokhod problem in an orthant: critical cases

Probability 2024-07-09 v1

Abstract

Consider the Skorokhod problem in the closed non-negative orthant: find a solution (g(t),m(t))(g(t),m(t)) to g(t)=f(t)+Rm(t), g(t)= f(t)+ Rm(t), where ff is a given continuous vector-valued function with f(0)f(0) in the orthant, RR is a given d×dd\times d matrix with 1's along the diagonal, gg takes values in the orthant, and mm is a vector-valued function that starts at 0, each component of mm is non-decreasing and continuous, and for each ii the ithi^{th} coordinate of mm increases only when the ithi^{th} coordinate of gg is 0. The stochastic version of the Skorokhod problem replaces ff by the paths of Brownian motion. It is known that there exists a unique solution to the Skorokhod problem if the spectral radius of Q|Q| is less than 1, where Q=IRQ=I-R and Q|Q| is the matrix whose entries are the absolute values of the corresponding entries of QQ. The first result of this paper shows pathwise uniqueness for the stochastic version of the Skorokhod problem holds if the spectral radius of Q|Q| is equal to 1. The second result of this paper settles the remaining open cases for uniqueness for the deterministic version when the dimension dd is two.

Keywords

Cite

@article{arxiv.2407.05140,
  title  = {Uniqueness for the Skorokhod problem in an orthant: critical cases},
  author = {Richard F. Bass and Krzysztof Burdzy},
  journal= {arXiv preprint arXiv:2407.05140},
  year   = {2024}
}