Related papers: Integral representation of Skorokhod reflection
In this article we study the existence and the uniqueness of a solution for reflected backward stochastic differential equations in the case when the generator is logarithmic growth in the $z$-variable $(|z|\sqrt{|\ln(|z|)|})$, the terminal…
In this paper we show the existence of a universal Skorohod measurable functional representation for a large class of semimartingale-driven stochastic differential equations. For this we prove that paths of the strong solutions of…
We show the closed-form solution to the maximization of trace(A'R), where A is given and R is unknown rotation matrix. This problem occurs in many computer vision tasks involving optimal rotation matrix estimation. The solution has been…
Pathwise uniqueness holds for the Skorokhod stochastic differential equation in $C^{1+\gamma}$ domains in $\mathbb{R}^d$ for $\gamma >1/2$ and $d\geq3$.
We prove existence and uniqueness of solutions of reflected backward stochastic differential equations in time-dependent adapted and c\`adl\`ag convex regions $\mathcal{D}=\{D_t;t\in[0,T]\}$. We also show that the solution may be…
In this paper, we address the stochastic representation problem in discrete time under (non-linear) g-expectation. We establish existence and uniqueness of the solution, as well as a characterization of the solution. As an application, we…
In this paper, we study the reflected stochastic differential equations driven by G-Brownian motion (reflected G-SDEs) with two nonlinear constraints. With the help of the Skorokhod problem with nonlinear constraints, we first study the…
The Skorokhod Embedding Problem (SEP) is one of the classical problems in the study of stochastic processes, with applications in many different fields (cf.~ the surveys \cite{Ob04,Ho11}). Many of these applications have natural…
The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional cadlag processes is proved. The dual is a minimization problem with constraints involving stochastic integrals and is similar to…
We consider the reflection-transmission problem in a waveguide with obstacle. At certain frequencies, for some incident waves, intensity is perfectly transmitted and the reflected field decays exponentially at infinity. In this work, we…
A general fusion method to find solutions to the reflection equation in higher spin representations starting from the fundamental one is shown. The method is illustrated by applying it to obtaining the $K$ diagonal boundary matrices in an…
The representation of the solution of some Backward Stochastic Differential Equation as an infinite series is obtained. Some exactly solvable examples are considered.
In this work, we investigate the problem of the boundedness of the Gross' solutions of the planar Skorokhod embedding problem, where we show that the solution is bounded under some mild conditions on the underlying probability distribution.
An integral representation result is obtained for the relaxation of a class of energy functionals depend- ing on two vector fields with different behaviors, which may appear in the context of image decomposition and thermochemical…
We study the one-dimensional Schr\"odinger equation and derive exact expressions for the Green function in terms of reflection coefficients which are defined for semi-infinite intervals. We also discuss the relation between our results and…
We prove that there are only finitely many arithmetic Kleinian maximal reflection groups.
We consider a reflected process in the positive orthant driven by an exogenous jump process. For a given input process, we show that there exists a unique minimal strong solution to the given particle system up until a certain maximal…
We study the problem concerning the variation of the Hardy-Littlewood maximal function in higher dimensions. As the main result, we prove that the variation of the non-centered Hardy-Littlewood maximal function of a radial function is…
We prove existence and uniqueness of the solution of a one-dimensional rough differential equation driven by a step-2 rough path and reflected at zero. In order to deal with the lack of control of the reflection measure the proof uses some…
This paper establishes an extended representation theorem for unit-root VARs. A specific algebraic technique is devised to recover stationarity from the solution of the model in the form of a cointegrating transformation. Closed forms of…