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

Abstract

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.

arXiv comment20 pages, 3 figures