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
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | This is an author produced version of a paper accepted for publication in Annales de l’Institut Henri Poincare. |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 30 Mar 2017 10:09 |
Last Modified: | 02 Mar 2020 17:20 |
Published Version: | http://imstat.org/aihp/accepted.html |
Status: | Published |
Publisher: | Institute Henri Poincaré |
Identification Number: | 10.1214/17-AIHP833 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:114253 |