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Contents of PMS, Vol. 43, Fasc. 2,
pages 207 - 239
DOI: 10.37190/0208-4147.00138
Published online 21.2.2024
 

The Skorokhod problem with two nonlinear constraints

Hanwu Li

Abstract: In this paper, we study the Skorokhod problem with two constraints, where both constraints are nonlinear. We prove the existence and uniqueness of a solution and also provide an explicit construction for the solution. In addition, a number of properties of the solution are investigated, including continuity under uniform and J1 metrics and a comparison principle.

2010 AMS Mathematics Subject Classification: Primary 60G05; Secondary 60G17.

Keywords and phrases: Skorokhod problem, nonlinear reflecting boundaries, double reflecting boundaries, comparison principle.

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