The Skorokhod problem with two nonlinear constraints
Probability
2023-06-30 v1
Abstract
In this paper, we study the Skorokhod problem with two constraints, where the constraints are in a nonlinear fashion. We prove the existence and uniqueness of the solution and also provide the explicit construction for the solution. In addition, a number of properties of the solution, including continuity under uniform and J1 metrics, comparison principle and non-anticipatory property, are investigated.
Keywords
Cite
@article{arxiv.2306.16711,
title = {The Skorokhod problem with two nonlinear constraints},
author = {Hanwu Li},
journal= {arXiv preprint arXiv:2306.16711},
year = {2023}
}