The Skorokhod problem with two nonlinear constraints
Hanwu Li · Probability and Mathematical Statistics · 2023
In this paper, we study the Skorokhod problem with two constraints, where both constraints are nonlinear.We prove the existence and uniqueness of a solution and also provide an explicit construction for the solution.In addition, a number of properties of the solution are investigated, including continuity under uniform and J1 metrics and a comparison principle.