Uniqueness for the Skorokhod problem in an orthant: critical cases
Abstract
Consider the Skorokhod problem in the closed non-negative orthant: find a solution to where is a given continuous vector-valued function with in the orthant, is a given matrix with 1's along the diagonal, takes values in the orthant, and is a vector-valued function that starts at 0, each component of is non-decreasing and continuous, and for each the coordinate of increases only when the coordinate of is 0. The stochastic version of the Skorokhod problem replaces by the paths of Brownian motion. It is known that there exists a unique solution to the Skorokhod problem if the spectral radius of is less than 1, where and is the matrix whose entries are the absolute values of the corresponding entries of . The first result of this paper shows pathwise uniqueness for the stochastic version of the Skorokhod problem holds if the spectral radius of is equal to 1. The second result of this paper settles the remaining open cases for uniqueness for the deterministic version when the dimension is two.
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}
}