Reflected diffusions defined via the extended skorokhod map

Electronic Journal of Probability

Volumn 11, Issue , 2006, Pages 934-992

  Ramanan, Kavita ^a  

^a CARNEGIE MELLON UNIVERSITY   (United States)

Author keywords

Extended Skorohod problem; Extended Skorokhod map; Generalised processor sharing; Reflected Brownian motion; Reflected diffusions; Reflection map; Semimartingales; Skorokhod map; Skorokhod problem; Stochastic differential equations with reflection; Strong solutions; Submartingale problem

Indexed keywords

EID: 33751038195     PISSN: None     EISSN: 10836489     Source Type: Journal    
DOI: 10.1214/EJP.v11-360     Document Type: Article

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