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- Title
On the Skorokhod mapping for equations with reflection and possible jump-like exit from a boundary.
- Authors
Pilipenko, A.
- 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.
- Subjects
MATHEMATICAL mappings; BOUNDARY value problems; STOCHASTIC differential equations; WIENER processes; MATHEMATICAL formulas; MATHEMATICAL analysis
- Publication
Ukrainian Mathematical Journal, 2012, Vol 63, Issue 9, p1415
- ISSN
0041-5995
- Publication type
Article
- DOI
10.1007/s11253-012-0588-2