کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5130120 1378659 2017 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Integral equations for Rost's reversed barriers: Existence and uniqueness results
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Integral equations for Rost's reversed barriers: Existence and uniqueness results
چکیده انگلیسی

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 μ 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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 127, Issue 10, October 2017, Pages 3447-3464
نویسندگان
, ,