Integral equations for Rost’s reversed barriers: Existence and uniqueness results

Tiziano De Angelis and Yerkin Kitapbayev

Stochastic Processes and their Applications, 2017, vol. 127, issue 10, 3447-3464

Abstract: We establish that the boundaries of the so-called Rost’s reversed barrier are the unique couple of left-continuous monotonic functions solving a suitable system of nonlinear integral equations of Volterra type. Our result holds for atom-less target distributions μ of the related Skorokhod embedding problem.

Keywords: Skorokhod embedding; Rost’s reversed barriers; Optimal stopping; Free-boundary problems; Volterra integral equations (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spa.2017.01.009

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