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

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  • De Angelis, Tiziano
  • Kitapbayev, Yerkin

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.

Suggested Citation

  • De Angelis, Tiziano & Kitapbayev, Yerkin, 2017. "Integral equations for Rost’s reversed barriers: Existence and uniqueness results," Stochastic Processes and their Applications, Elsevier, vol. 127(10), pages 3447-3464.
    • Handle: RePEc:eee:spapps:v:127:y:2017:i:10:p:3447-3464
    DOI: 10.1016/j.spa.2017.01.009
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    References listed on IDEAS

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    1. Gassiat, Paul & Oberhauser, Harald & dos Reis, Gonçalo, 2015. "Root’s barrier, viscosity solutions of obstacle problems and reflected FBSDEs," Stochastic Processes and their Applications, Elsevier, vol. 125(12), pages 4601-4631.
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    Cited by:

    1. Tiziano De Angelis, 2020. "Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon," Papers 2009.01276, arXiv.org, revised Jan 2022.

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