An integral equation for Root's barrier and the generation of Brownian increments

DOI10.1214/14-AAP1042zbMath1328.60103arXiv1309.5877OpenAlexW3100345231MaRDI QIDQ2354891

Paul Gassiat, Harald Oberhauser, Aleksandar Mijatović

Publication date: 27 July 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.5877

zbMATH Keywords

simulationintegral equationBrownian motionSkorokhod embedding problemfree boundariesRoot's barrier

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Other nonlinear integral equations (45G10) Brownian motion (60J65) Numerical analysis or methods applied to Markov chains (65C40) Stopping times; optimal stopping problems; gambling theory (60G40) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (9)

On the continuity of the root barrier ⋮ Integral equations for Rost's reversed barriers: existence and uniqueness results ⋮ Efficient discretisation of stochastic differential equations ⋮ On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals ⋮ The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach ⋮ A free boundary characterisation of the root barrier for Markov processes ⋮ Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs ⋮ On Skorokhod embeddings and Poisson equations ⋮ Optimal transport and Skorokhod embedding

Uses Software

• SciPy
• Matplotlib

Cites Work

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