From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding

DOI10.1214/17-AIHP833zbMath1391.60085arXiv1505.02724OpenAlexW2963724116WikidataQ59884051 ScholiaQ59884051MaRDI QIDQ1650132

Tiziano De Angelis

Publication date: 29 June 2018

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.02724

zbMATH Keywords

optimal stoppingSkorokhod embeddingfree-boundary problemsRost's barriers

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35) Local time and additive functionals (60J55)

Related Items (8)

Global \(C^1\) regularity of the value function in optimal stopping problems ⋮ Integral equations for Rost's reversed barriers: existence and uniqueness results ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ PDE methods for optimal Skorokhod embeddings ⋮ The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach ⋮ Robust hedging of options on a leveraged exchange traded fund ⋮ A free boundary characterisation of the root barrier for Markov processes ⋮ Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon

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