Related papers: Integral representation of Skorokhod reflection
We construct Skorokhod decompositions for diffusions with singular drift and reflecting boundary behavior on open subsets of $\mathbb R^d$ with $C^2$-smooth boundary except for a sufficiently small set. This decomposition holds almost…
Consider the Skorokhod problem in the closed non-negative orthant: find a solution $(g(t),m(t))$ to \[ g(t)= f(t)+ Rm(t),\] where $f$ is a given continuous vector-valued function with $f(0)$ in the orthant, $R$ is a given $d\times d$ matrix…
In this paper, we study a kind of constrained backward stochastic differential equations (BSDEs) such that the nonlinear expectation of the composition of a loss function and the solution remains above zero. The existence and uniqueness…
We provide a complete characterisation of the Root solution to the Skorokhod embedding problem (SEP) by means of an optimal stopping formulation. Our methods are purely probabilistic and the analysis relies on a tailored time-reversal…
We study solutions of a class of one-dimensional continuous reflected backward stochastic Volterra integral equations driven by Brownian motion, where the reflection keeps the solution above a given stochastic process (lower obstacle). We…
This is a survey about the Skorokhod embedding problem. It presents all known solutions together with their properties and some applications. Some of the solutions are just described, while others are studied in detail and their proofs are…
We consider reflected backward stochastic different equations with optional barrier and so-called regulated trajectories, i.e trajectories with left and right finite limits. We prove existence and uniqueness results. We also show that the…
This paper examines the Root solution of the Skorohod embedding problem given full marginals on some compact time interval. Our results are obtained by limiting arguments based on finitely-many marginals Root solution of Cox, Obl\'oj and…
Consider the Skorokhod equation in the closed first quadrant: \[ X_t=x_0+ B_t+\int_0^t{\bf v}(X_s)\, dL_s,\] where $B_t$ is standard 2-dimensional Brownian motion, $X_t$ takes values in the quadrant for all $t$, and $L_t$ is a process that…
Traditionally, the diffraction of a scalar wave satisfying Helmholtz equation through an aperture on an otherwise black screen can be solved approximately by Kirchhoff's integral over the aperture. Rubinowicz, on the other hand, was able to…
We establish that the boundaries of the so-called Rost's reversed barrier are the unique couple of left-continuous monotonic functions solving a suitable system of nonlinear integral equations of Volterra type. Our result holds for…
In the recent papers [Lochowski:2011fk, Lochowski:2013yq, Lochowski:2013lr] the truncated variation has been introduced, characterized and studied in various stochastic settings. In this note we uncover an intimate link to the Skorokhod…
The characteristic representation, or Goursat problem, for the Klein-Fock-Gordon equation with Volkov interaction [1] is regarded. It is shown that in this representation the explicit form of the Volkov propagator can be obtained. Using the…
In this paper, we study the reflected backward stochastic differential equations driven by G-Brownian motion with two reflecting obstacles, which means that the solution lies between two prescribed processes. A new kind of approximate…
We show that the barrier function in Root's solution to the Skorokhod embedding problem is continuous and finite at every point where the target measure has no atom and its absolutely continuous part is locally bounded away from zero.
We study reflected solutions of one-dimensional backward doubly stochastic differential equations (BDSDEs in short). The "reflected" keeps the solution above a given stochastic process. We get the uniqueness and existence by penalization.…
This work is concerned with existence and uniqueness of solutions to the reflection problem for linear parabolic equation with multiplicative Gaussian noise.
We give new a proof of the general Brian\c{c}on-Skoda theorem about ideals of holomorphic functions by means of multivariable residue calculus. The method gives new variants of this theorem for products of ideals. Moreover, we obtain a…
This paper examines the applicability of the Skorokhod representation theorem in filtrated probability spaces for the utility maximization problem in the Kabanov conic model of multi-asset markets with proportional transaction costs. A key…
In this paper we perform a numerical study on the interesting phenomenon of soliton reflection of solid walls. We consider the 2D nonlinear Schrodinger equation as the underlying mathematical model and we use an implicit-explicit type…