Integral equations for Rost's reversed barriers: existence and uniqueness results

DOI10.1016/j.spa.2017.01.009zbMath1372.60056arXiv1508.05858OpenAlexW2964249756WikidataQ57949998 ScholiaQ57949998MaRDI QIDQ2403714

Yerkin Kitapbayev, Tiziano De Angelis

Publication date: 11 September 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.05858

zbMATH Keywords

optimal stoppingVolterra integral equationsSkorokhod embeddingfree-boundary problemsRost's reversed barriers

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35) Volterra integral equations (45D05) Local time and additive functionals (60J55)

Related Items (3)

From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding ⋮ Optimal stopping for the exponential of a Brownian bridge ⋮ Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
• On the inverse first-passage-time problem for a Wiener process
• Embedding laws in diffusions by functions of time
• The Skorokhod embedding problem and its offspring
• The pricing of the American option
• On optimal stopping and free boundary problems
• Robust hedging of the lookback option
• The joint law of the maximum and terminal value of a martingale
• From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding
• An integral equation for Root's barrier and the generation of Brownian increments
• Skorokhod embeddings, minimality and non-centred target distributions
• The stopping distributions of a Markov process
• The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
• The Two-Sided Stefan Problem with a Spatially Dependent Latent Heat
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• ON THE AMERICAN OPTION PROBLEM
• The Existence of Certain Stopping Times on Brownian Motion
• The maximum maximum of a martingale constrained by an intermediate law

This page was built for publication: Integral equations for Rost's reversed barriers: existence and uniqueness results