Skew-unfolding the skorokhod reflection of a continuous semimartingale

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The Skorokhod reflection of a continuous semimartingale is unfolded, in a possibly skewed manner, into another continuous semimartingale on an enlarged probability space according to the excursion-theoretic methodology of [14]. This is done in terms of a skew version of the Tanaka equation, whose properties are studied in some detail. The result is used to construct a system of two diffusive particles with rank-based characteristics and skew-elastic collisions. Unfoldings of conventional reflections are also discussed, as are examples involving skew Brownian Motions and skew Bessel processes.




Ichiba, T., & Karatzas, I. (2014). Skew-unfolding the skorokhod reflection of a continuous semimartingale. In Springer Proceedings in Mathematics and Statistics (Vol. 100, pp. 349–376). Springer New York LLC.

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