On the continuity of optimal stopping surfaces for jump-diffusions
Probability
2024-02-06 v2 Optimization and Control
Abstract
We show that optimal stopping surfaces arising from time-inhomogeneous optimal stopping problems on two-dimensional jump-diffusions are continuous (jointly in time and space) under mild monotonicity and regularity assumptions of local nature.
Keywords
Cite
@article{arxiv.2109.10810,
title = {On the continuity of optimal stopping surfaces for jump-diffusions},
author = {Cheng Cai and Tiziano De Angelis and Jan Palczewski},
journal= {arXiv preprint arXiv:2109.10810},
year = {2024}
}
Comments
18 pages, strengthened discussion of related literature