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A note on integral representations of the Skorokhod map
Published online by Cambridge University Press: 24 March 2016
Abstract
We present a very short derivation of the integral representation of the two-sided Skorokhod reflection Z of a continuous function X of bounded variation, which is a generalization of the integral representation of the one-sided map featured in Anantharam and Konstantopoulos (2011) and Konstantopoulos et al. (1996). We also show that Z satisfies a simpler integral representation when additional conditions are imposed on X.
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- Copyright © Applied Probability Trust 2016
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