English

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 (t,y)x(t,y)(t,y)\mapsto x_*(t,y) arising from time-inhomogeneous optimal stopping problems on two-dimensional jump-diffusions (X,Y)(X,Y) 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

R2 v1 2026-06-24T06:13:21.980Z