Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs

DOI10.1016/j.spa.2015.07.010zbMath1335.60059arXiv1301.3798OpenAlexW1589034765MaRDI QIDQ744977

Paul Gassiat, Gonçalo dos Reis, Harald Oberhauser

Publication date: 12 October 2015

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

Full work available at URL: https://arxiv.org/abs/1301.3798

zbMATH Keywords

obstacle problemsviscosity solutionsSkorokhod embedding problemreflected forward-backward stochastic differential equationsRoot barriers

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to PDEs (35D40)

Related Items (18)

An explicit martingale version of the one-dimensional Brenier theorem ⋮ From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding ⋮ On the continuity of the root barrier ⋮ Integral equations for Rost's reversed barriers: existence and uniqueness results ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ PDE methods for optimal Skorokhod embeddings ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals ⋮ The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach ⋮ Tightness and duality of martingale transport on the Skorokhod space ⋮ A conformal Skorokhod embedding ⋮ A free boundary characterisation of the root barrier for Markov processes ⋮ Minimal Root's embeddings for general starting and target distributions ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint ⋮ Finite, integrable and bounded time embeddings for diffusions ⋮ Model-independent pricing with insider information: a skorokhod embedding approach ⋮ An integral equation for Root's barrier and the generation of Brownian increments ⋮ Optimal transport and Skorokhod embedding

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