An Explicit Representation of the Extended Skorokhod Map with Two Time-Dependent Boundaries.pdfVIP

Hindawi Publishing Corporation Journal of Probability and Statistics Volume 2010, Article ID 846320, 18 pages doi:10.1155/2010/846320 Research Article An Explicit Representation of the Extended Skorokhod Map with Two Time-Dependent Boundaries Marek Slaby Department of Mathematics, Computer Science and Physics, Fairleigh Dickinson University, 285 Madison Ave, M-AB2-02, Madison, NJ 07940, USA Correspondence should be addressed to Marek Slaby, mslaby@ Received 28 December 2009; Accepted 27 April 2010 Academic Editor: A. Thavaneswaran Copyright q 2010 Marek Slaby. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. We consider the extended Skorokhod problem for real-valued cadlag functions with the ` ` constraining interval α, β, where α and β change in time as values of two cadlag functions. ` ` We find an explicit form of the solution and discuss its continuity properties with respect to the uniform, J and M , metrics on the space of cadlag functions. We develop a useful technique of ` ` 1 1 extending known results for the Skorokhod maps onto the larger class of extended Skorokhod maps. 1. Introduction The Skorokhod problem SP was introduced originally in 1 as a tool for solving stochastic differential equations in a domain with one fixed reflective boundary. Given a function ψ, a solution of the Skorokhod pro