A free boundary characterisation of the Root barrier for Markov processes
A free boundary characterisation of the Root barrier for Markov processes
Abstract We study the existence, optimality, and construction of non-randomised stopping times that solve the Skorokhod embedding problem (SEP) for Markov processes which satisfy a duality assumption. These stopping times are hitting times of space-time subsets, so-called Root barriers. Our main result is, besides the existence and optimality, a potential-theoretic …