From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding
De Angelis, T
(2018)
From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding.
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 54 (2).
pp. 1098-1133.
ISSN 0246-0203
Abstract
We provide a new probabilistic proof of the connection between Rost’s solution of the Skorokhod embedding problem and a suitable family of optimal stopping problems for Brownian motion, with finite time-horizon. In particular we use stochastic calculus to show that the time reversal of the optimal stopping sets for such problems forms the so-called Rost’s reversed barrier.
Metadata
Authors/Creators:
De Angelis, T
Copyright, Publisher and Additional Information:
This is an author produced version of a paper accepted for publication in Annales de l’Institut Henri Poincare.
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