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On the continuity of optimal stopping surfaces for jump-diffusions

Authors :
Cai, Cheng
De Angelis, Tiziano
Palczewski, Jan
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