arXiv:2306.16711 Abstract | arXiv Analytics

arXiv:2306.16711 [math.PR]Abstract References Reviews Resources

The Skorokhod problem with two nonlinear constraints

Published 2023-06-29Version 1

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.

Categories: math.PR

Keywords: skorokhod problem, nonlinear constraints, comparison principle, nonlinear fashion, j1 metrics

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