On the continuity of optimal stopping surfaces for jump-diffusions
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2021
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| Acceso en línea: | |
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| _version_ | 1866910317957611520 |
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| author | Cai, Cheng De Angelis, Tiziano Palczewski, Jan |
| author_facet | Cai, Cheng De Angelis, Tiziano Palczewski, Jan |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2109_10810 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | On the continuity of optimal stopping surfaces for jump-diffusions Cai, Cheng De Angelis, Tiziano Palczewski, Jan Probability Optimization and Control 60G40, 35R35, 60J60, 60J76 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. |
| title | On the continuity of optimal stopping surfaces for jump-diffusions |
| topic | Probability Optimization and Control 60G40, 35R35, 60J60, 60J76 |
| url | https://arxiv.org/abs/2109.10810 |