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Skorokhod reflection map on the half-line (Γ(g)(t)=g(t)+sups≤t​[−g(s)]+)

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Probability theory Stochastic process Skorokhod problem
2026-10-14  0 By others on same topic  0 Discussions Create my own version
For a continuous driving path with g(0)≥0, the running supremum supplies the minimal nondecreasing regulator keeping the path nonnegative. It increases only at a new negative running minimum, where the reflected path is zero. Any regulator satisfying the Skorokhod problem constraints must coincide with it. On a finite time interval, ∥Γ(g)−Γ(h)∥∞​≤2∥g−h∥∞​, so the map is continuous and transfers a functional central limit theorem to reflected workloads.

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  1. Skorokhod problem
  2. Stochastic process
  3. Probability theory
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 Incoming links (4)

  • Heavy-traffic limit of a queue
  • Past exam of the mathematics course of the University of Cambridge / 2001 / iii / Paper 26 / 4 / Solution
  • Reflected Brownian motion with negative drift
  • Skorokhod problem

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