From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding

Tiziano De Angelis

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arXiv · 1505.02724

From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding

Tiziano De Angelis

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Abstract

We provide a new probabilistic proof of the connection between Rost's solution of the Skorokhod embedding problem and a suitable family of optimal stopping problems for Brownian motion with finite time-horizon. In particular we use stochastic calculus to show that the time reversal of the optimal stopping sets for such problems forms the so-called Rost's reversed barrier.

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Tiziano De Angelis. 2015-05-11. From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding. https://arxiv.org/abs/1505.02724

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