The skorokhod representation
نویسندگان
چکیده
منابع مشابه
Integral Representation of Skorokhod Reflection
We show that a certain integral representation of the one-sided Skorokhod reflection of a continuous bounded variation function characterizes the reflection in that it possesses a unique maximal solution which solves the Skorokhod reflection problem.
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Let S be a metric space, G a σ-field of subsets of S and (μn : n ≥ 0) a sequence of probability measures on G. Say that (μn) admits a Skorokhod representation if, on some probability space, there are random variables Xn with values in (S,G) such that Xn ∼ μn for each n ≥ 0 and Xn → X0 in probability. We focus on results of the following type: (μn) has a Skorokhod representation if and only if J...
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Let E be a completely regular topological space. Mitoma [9 ], extending the classical case E = R 1, has recently introduced the Skorokhod topology on the space D( [0, 1 ] : E). This topology is investigated in detail. We find families of continuous functions which generate the topology, examine the structure of the Borel and Baire a-algebras of D( [0, 1 ] : E) and prove tightness criteria for E...
متن کاملAn Explicit Representation of the Extended Skorokhod Map with Two Time-Dependent Boundaries
We consider the extended Skorokhod problem for real-valued càdlàg functions with the constraining interval α, β , where α and β change in time as values of two càdlàg functions. We find an explicit form of the solution and discuss its continuity properties with respect to the uniform, J1 and M1, metrics on the space of càdlàg functions. We develop a useful technique of extending known results f...
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ژورنال
عنوان ژورنال: Rocky Mountain Journal of Mathematics
سال: 1974
ISSN: 0035-7596
DOI: 10.1216/rmj-1974-4-3-579