On the stability of the linear Skorohod problem in an orthant

Ahmed El Kharroubi, Abdelghani Ben Tahar and Abdelhak Yaacoubi

Mathematical Methods of Operations Research, 2002, vol. 56, issue 2, 243-258

Abstract: Dupuis and Williams proved that a sufficient condition for the positive recurrence for a semimartingale reflecting Brownian motion in an orthant (SRBM) with data (θ, R, S, Δ), is that the corresponding Linear Skorohod Problem LSP (θ) is stable. In this paper we use the linear complementary problem to give necessary conditions, on θ∈ℝ n and matrix R, under which the linear Skorohod problem LSP (θ) is stable. In the three dimensional case we characterize the vectors θ∈ℝ 3 such that the LSP (θ) is stable. Copyright Springer-Verlag Berlin Heidelberg 2002

Keywords: Key words: Skorohod problem; Stability; Linear complementary problem (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:56:y:2002:i:2:p:243-258

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DOI: 10.1007/s001860200210

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