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On the continuity of optimal stopping surfaces for jump-diffusions
- Publication Year :
- 2021
-
Abstract
- We show that optimal stopping surfaces $(t,y)\mapsto x_*(t,y)$ arising from time-inhomogeneous optimal stopping problems on two-dimensional jump-diffusions $(X,Y)$ are continuous (jointly in time and space) under mild monotonicity and regularity assumptions of local nature.<br />Comment: 18 pages, strengthened discussion of related literature
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2109.10810
- Document Type :
- Working Paper
- Full Text :
- https://doi.org/10.1137/21M1448094