Integral equations for Rost's reversed barriers: existence and uniqueness results

DOI10.1016/j.spa.2017.01.009zbMath1372.60056arXiv1508.05858OpenAlexW2964249756WikidataQ57949998 ScholiaQ57949998MaRDI QIDQ2403714

Yerkin Kitapbayev, Tiziano De Angelis

Publication date: 11 September 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.05858

zbMATH Keywords

optimal stoppingVolterra integral equationsSkorokhod embeddingfree-boundary problemsRost's reversed barriers

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35) Volterra integral equations (45D05) Local time and additive functionals (60J55)

Related Items

From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding, Optimal stopping for the exponential of a Brownian bridge, Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon

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