On the Continuity of the Root Barrier

DOI10.1090/PROC/15765MaRDI QIDQ6352414arXivFDO

Authors Erhan Bayraktar, Thomas Bernhardt

Publication date 27 October 2020

Published in arXiv

Full work available at URL https://doi.org/10.1090/PROC/15765

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

arXiv classification

math.OC math.PR q-fin.MF

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.

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