Convex duality and the Skorokhod Problem. II

Abstract.

In this paper we consider Skorokhod Problems on polyhedral domains with a constant and possibly oblique constraint direction specified on each face of the domain, and with a corresponding cone of constraint directions at the intersection of faces. In part one of this paper we used convex duality to develop new methods for the construction of solutions to such Skorokhod Problems, and for proving Lipschitz continuity of the associated Skorokhod Maps. The main alternative approach to Skorokhod Problems of this type is the reflection mapping technique introduced by Harrison and Reiman [8]. In this part of the paper we apply the theory developed in part one to show that the reflection mapping technique of [8] is restricted to a slight generalization of the class of problems originally considered in [8]. We further illustrate the power of the duality approach by applying it to two other classes of Skorokhod Problems – those with normal directions of constraint, and a new class that arises from a model of processor sharing in communication networks. In particular, we prove existence of solutions to and Lipschitz continuity of the Skorokhod Maps associated with each of these Skorokhod Problems.

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Received: 17 April 1998 / Revised: 8 January 1999

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Dupuis, P., Ramanan, K. Convex duality and the Skorokhod Problem. II. Probab Theory Relat Fields 115, 197–236 (1999). https://doi.org/10.1007/s004400050270

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  • Mathematics Subject Classification (1991): 34A60, 52B11, 60K25, 60G99, 93A30