Skorokhod problem

In probability theory, the Skorokhod problem is the problem of solving a stochastic differential equation with a reflecting boundary condition.

The problem is named after Anatoliy Skorokhod who first published the solution to a stochastic differential equation for a reflecting Brownian motion.

Problem statement
The classic version of the problem states that given a càdlàg process {X(t), t ≥ 0} and an M-matrix R, then stochastic processes {W(t), t ≥ 0} and {Z(t), t ≥ 0} are said to solve the Skorokhod problem if for all non-negative t values,
 * 1) W(t) = X(t) + R Z(t) ≥ 0
 * 2) Z(0) = 0 and dZ(t) ≥ 0
 * 3) $$\int_0^t W_i(s)\text{d}Z_i(s)=0$$.

The matrix R is often known as the reflection matrix, W(t) as the reflected process and Z(t) as the regulator process.