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

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:127

Article

De Angelis, Tiziano¹  Kitapbayev, Yerkin² 

[1] Univ Leeds, Sch Math, Woodhouse Lane, Leeds LS2 9JT, W Yorkshire, England

[2] Boston Univ, Questrom Sch Business, 595 Commonwealth Ave, Boston, MA 02215 USA

关键词: Skorokhod embedding;    Rost's reversed barriers;    Optimal stopping;    Free-boundary problems;    Volterra integral equations;   

DOI  :  10.1016/j.spa.2017.01.009

来源: Elsevier

【 摘 要 】

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 mu of the related Skorokhod embedding problem. The integral equations we obtain here generalise the ones often arising in optimal stopping literature and our proof of the uniqueness of the solution goes beyond the existing results in the field. (C) 2017 Elsevier B.V. All rights reserved.

【 授权许可】

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