On the Continuity of the Root Barrier

Erhan Bayraktar and Thomas Bernhardt

Papers from arXiv.org

Abstract: We show that the barrier function in Root's solution to the Skorokhod embedding problem is continuous and finite at every point where the target measure has no atom and its absolutely continuous part is locally bounded away from zero.

Date: 2020-10, Revised 2021-07
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2010.14695

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