On the Continuity of the Root Barrier
Probability
2021-07-12 v3 Optimization and Control
Mathematical Finance
Abstract
We show that the barrier function in Root's solution to the Skorokhod embedding problem is continuous and finite at every point where the target measure has no atom and its absolutely continuous part is locally bounded away from zero.
Cite
@article{arxiv.2010.14695,
title = {On the Continuity of the Root Barrier},
author = {Erhan Bayraktar and Thomas Bernhardt},
journal= {arXiv preprint arXiv:2010.14695},
year = {2021}
}
Comments
To appear in the Proceedings of the AMS. Keywords: Skorokhod embedding problem; Root's solution; barrier function; continuity