{
  "id": "1505.02724",
  "version": "v1",
  "published": "2015-05-11T18:28:23.000Z",
  "updated": "2015-05-11T18:28:23.000Z",
  "title": "From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding",
  "authors": [
    "Tiziano De Angelis"
  ],
  "comment": "34 pages, 2 figures",
  "categories": [
    "math.PR",
    "math.OC"
  ],
  "abstract": "We investigate 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 prove by probabilistic methods and stochastic calculus that the time reversal of the optimal stopping sets for such problems form the so-called Rost's reversed barrier.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2015-05-11T18:28:23.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G40",
      "60J65",
      "60J55",
      "35R35"
    ],
    "keywords": [
      "rosts reversed barrier",
      "optimal stopping boundaries",
      "probabilistic methods",
      "skorokhod embedding problem",
      "optimal stopping problems"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 34,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2015arXiv150502724D"
    }
  }
}