 The Skorokhod problem in a time-dependent intervalKrzysztof Burdzy, Weining Kang and Kavita Ramanan Stochastic Processes and their Applications, 2009, vol. 119, issue 2, 428-452 Abstract: 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 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 semimartingale property of a class of two-dimensional reflected Brownian motions. Keywords: Reflected; Brownian; motion; Semimartingale; property; Skorokhod; problem; Skorokhod; map; Space-time; Brownian; motion (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:119:y:2009:i:2:p:428-452 Ordering information: This journal article can be ordered from Access Statistics for this article Stochastic Processes and their Applications is currently edited by T. Mikosch More articles in Stochastic Processes and their Applications from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.