The Skorokhod problem in a time-dependent interval

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:119

Article

Ramanan, Kavita¹ 

[1] Carnegie Mellon Univ, Pittsburgh, PA 15213 USA

关键词: Reflected Brownian motion;    Semimartingale property;    Skorokhod problem;    Skorokhod map;    Space-time Brownian motion;   

DOI  :  10.1016/j.spa.2008.03.001

来源: Elsevier

【 摘 要 】

We consider the Skorokhod problem in a time-varying interval. We prove existence and uniqueness of the solution. We also express the solution in terms of an explicit formula. Moving boundaries may generate singularities when they touch. Under the assumption that the first time tau when the moving boundaries touch after time zero is strictly positive, we derive two sets of conditions on the moving a boundaries. We show that the variation of the local time of the associated reflected Brownian motion on [0, tau] is finite under the first set of conditions and infinite under the second set of conditions. We also apply these results to study the semi martingale property of a class of two-dimensional reflected Brownian motions. (C) 2008 Elsevier B.V. All rights reserved.

【 授权许可】

Free