2017
Том 69
№ 9

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On the Skorokhod mapping for equations with reflection and possible jump-like exit from a boundary

Pilipenko A. Yu.

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Abstract

For a solution of a reflection problem on a half-line similar to the Skorokhod reflection problem but with possible jump-like exit from zero, we obtain an explicit formula and study its properties. We also construct a Wiener process on a half-line with Wentzell boundary condition as a strong solution of a certain stochastic differential equation.

English version (Springer): Ukrainian Mathematical Journal 63 (2011), no. 9, pp 1415-1432.

Citation Example: Pilipenko A. Yu. On the Skorokhod mapping for equations with reflection and possible jump-like exit from a boundary // Ukr. Mat. Zh. - 2011. - 63, № 9. - pp. 1241-1256.

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