Skew-Unfolding the Skorokhod Reflection of a Continuous Semimartingale

DOI10.1007/978-3-319-11292-3_13zbMath1388.60087arXiv1404.4662OpenAlexW2252462999MaRDI QIDQ5374167

Ioannis Karatzas, Tomoyuki Ichiba

Publication date: 9 April 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.4662

zbMATH Keywords

local timecompeting particle systemsasymmetric collisionspure and Ocone martingalesskew and perturbed Tanaka equationsskew Brownian and Bessel processesSkorokhod and conventional reflections

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (2)

Degenerate competing three-particle systems ⋮ Stochastic integral equations for Walsh semimartingales

Cites Work

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• On skew Brownian motion
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• Diffusions with rank-based characteristics and values in the nonnegative quadrant
• Two Brownian particles with rank-based characteristics and skew-elastic collisions
• On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations
• On the strong and weak solutions of stochastic differential equations governing Bessel processes
• Local times of functions of continuous semimartingales

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