On the continuity of the Root barrier

DOI10.1090/PROC/15765MaRDI QIDQ5081540zbMATH OpenOpenAlexFDO

Authors Erhan Bayraktar, Thomas Bernhardt

Publication date 15 June 2022

Published in Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2010.14695

zbMATH Keywords

barrier functioncontinuityRoot's solutionSkorokhod embedding problem

Mathematics Subject Classification ID

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

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Cites work

• A free boundary characterisation of the root barrier for Markov processes
• An integral equation for Root's barrier and the generation of Brownian increments
• Finite, integrable and bounded time embeddings for diffusions
• Hedging variance options on continuous semimartingales
• scientific article; zbMATH DE number 3530736 (Why is no real title available?)
• Minimal Root's embeddings for general starting and target distributions
• On Embedding Right Continuous Martingales in Brownian Motion
• On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals
• Optimal transport and Skorokhod embedding
• Robust hedging of the lookback option
• Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
• Root's barrier: construction, optimality and applications to variance options
• SKOROKHOD EMBEDDINGS IN BOUNDED TIME
• Smooth Transition Densities for One-Dimensional Diffusions
• Stochastic calculus and applications
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• The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach
• The Skorokhod embedding problem and its offspring
• The Skorokhod embedding problem for inhomogeneous diffusions

Cited in

(8)

• Root's barrier: construction, optimality and applications to variance options
• A free boundary characterisation of the root barrier for Markov processes
• Integral equations for Rost's reversed barriers: existence and uniqueness results
• Representing a distribution by stopping a Brownian Motion: Root's construction
• scientific article; zbMATH DE number 4052698 (Why is no real title available?)
• Shadows and barriers
• On the Continuity of the Root Barrier
• Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs

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