Reflected Diffusions Defined via the Extended Skorokhod Map
Reflected Diffusions Defined via the Extended Skorokhod Map
This work introduces the extended Skorokhod problem (ESP) and associated extended Skorokhod map (ESM) that enable a pathwise construction of reflected diffusions that are not necessarily semimartingales. Roughly speaking, given the closure $G$ of an open connected set in ${\mathbb R}^J$, a non-empty convex cone $d(x) \subset {\mathbb R}^J$ specified …