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The Skorokhod problem in a time-dependent interval
8 references·12 citing·43 second hop
The Skorokhod problem in a time-dependent interval (2008)The Skorokhod problem in a time-dependent…An explicit formula for the Skorokhod map on [0,a (2012)An explicit formula for the S…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…An explicit formula for the Skorokhod map on [0, a] (2007)An explicit formula for the S…Reflected Diffusions Defined via the Extended Skorokhod Map (2006)Reflected Diffusions Defined …Stochastic-process limits : an introduction to stochastic-process limits and their application to queues (2002)Stochastic-process limits : a…Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Reflected solutions of backwa…Strong Approximations for Time-Dependent Queues (1995)Strong Approximations for Tim…Brownian Motion and Stochastic Calculus. 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this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1989Brownian Motion and Stochastic Calculus.921 cited
  • 1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's704 cited
  • 2002Stochastic-process limits : an introduction to stochastic-process limits and their application to queues468 cited
  • 2012An explicit formula for the Skorokhod map on [0,a160 cited
  • 1995Strong Approximations for Time-Dependent Queues144 cited
  • 2007An explicit formula for the Skorokhod map on [0, a]139 cited
  • 2006Reflected Diffusions Defined via the Extended Skorokhod Map85 cited

Cited by

  • 2013Fluid Limits for Many-Server Systems with Reneging Under a Priority Policy39 cited
  • 2019Stochastic Games for Fuel Follower Problem: $N$ versus Mean Field Game31 cited
  • 2014A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis30 cited
  • 2008Double Skorokhod Map and Reneging Real-Time Queues27 cited
  • 2017On the submartingale problem for reflected diffusions in domains with piecewise smooth boundaries25 cited
  • 2017Singular mean-field control games24 cited
  • 2010The Skorohod oblique reflection problem in time-dependent domains

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24 cited
  • 2011Convergence of a queueing system in heavy traffic with general patience-time distributions23 cited
  • 2014Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment22 cited
  • 2013Abandonment versus blocking in many-server queues: asymptotic optimality in the QED regime21 cited
  • 2014Fluid Limits of G/G/1+G Queues Under the Nonpreemptive Earliest-Deadline-First Discipline15 cited
  • 2015Optimal inventory control with path-dependent cost criteria13 cited