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.
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Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 63, No. 9, pp. 1241–1256, September, 2011.
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Pilipenko, A.Y. On the Skorokhod mapping for equations with reflection and possible jump-like exit from a boundary. Ukr Math J 63, 1415–1432 (2012). https://doi.org/10.1007/s11253-012-0588-2
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DOI: https://doi.org/10.1007/s11253-012-0588-2