ON THE CONTINUITY OF OPTIMAL STOPPING SURFACES FOR JUMP-DIFFUSIONS

被引：1
作者：
Cai, Cheng [1 ]
De Angelis, Tiziano [2 ]
Palczewski, Jan [1 ]
机构：
[1] Univ Leeds, Sch Math, Woodhouse Lane, Leeds LS2 9JT, England
[2] Univ Torino, Collegio Carlo Alberto, Sch Management & Econ, Corso Unione Soviet,218 Bis, 10134, Piazza Arbarel, I-10122 Turin, Italy
来源：
SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2023年 / 61卷 / 03期
基金：
英国工程与自然科学研究理事会;
关键词：
optimal stopping; free boundary problems; continuous optimal boundaries; jump-diffusions; OPTIMAL EXERCISE BOUNDARY; AMERICAN OPTIONS; VARIATIONAL-INEQUALITIES; HEAT-EQUATION; REGULARITY; VALUATION;
D O I：
10.1137/21M1448094
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We show that optimal stopping surfaces (t, y) \mapsto \rightarrow x\ast(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.
引用
收藏
页码：1513 / 1531
页数：19
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