Skorokhod problem

In probability theory, the Skorokhod problem is the problem of solving a stochastic differential equation with a reflecting boundary condition.[1]

The problem is named after Anatoliy Skorokhod who first published the solution to a stochastic differential equation for a reflecting Brownian motion.[2][3][4]

  1. ^ Lions, P. L.; Sznitman, A. S. (1984). "Stochastic differential equations with reflecting boundary conditions". Communications on Pure and Applied Mathematics. 37 (4): 511. doi:10.1002/cpa.3160370408.
  2. ^ Skorokhod, A. V. (1961). "Stochastic equations for diffusion processes in a bounded region 1". Theor. Veroyatnost. I Primenen. 6: 264–274.
  3. ^ Skorokhod, A. V. (1962). "Stochastic equations for diffusion processes in a bounded region 2". Theor. Veroyatnost. I Primenen. 7: 3–23.
  4. ^ Tanaka, Hiroshi (1979). "Stochastic differential equations with reflecting boundary condition in convex regions". Hiroshima Math. J. 9 (1): 163–177. doi:10.32917/hmj/1206135203.