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

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.

arXiv comment44 pages, 2 figures, relaxed an assumption, improved presentation and updated references