Continuity of the optimal stopping boundary for two-dimensional diffusions
From MaRDI portal
continuity of the optimal stopping boundaryfree boundarylocal time-space calculusoptimal stoppingsecond-order parabolic/elliptic PDEsmooth fittwo-dimensional diffusion process
Boundary value problems for second-order elliptic equations (35J25) Initial-boundary value problems for second-order parabolic equations (35K20) Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60)
Recommendations
- A note on the continuity of free-boundaries in finite-horizon optimal stopping problems for one-dimensional diffusions
- On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions
- On a class of optimal stopping problems for diffusions with discontinuous coefficients
- On Lipschitz continuous optimal stopping boundaries
- scientific article; zbMATH DE number 4131365
Cites work
- (Semi-) martingale inequalities and local times
- A change-of-variable formula with local time on curves
- A Change-of-Variable Formula with Local Time on Surfaces
- A note on the continuity of free-boundaries in finite-horizon optimal stopping problems for one-dimensional diffusions
- Elliptic partial differential equations of second order
- Embedding laws in diffusions by functions of time
- scientific article; zbMATH DE number 5016447 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 2190600 (Why is no real title available?)
- scientific article; zbMATH DE number 3233089 (Why is no real title available?)
- scientific article; zbMATH DE number 3272022 (Why is no real title available?)
- Multidimensional investment problem
- On Lipschitz continuous optimal stopping boundaries
- On Moment Inequalities for Stochastic Integrals
- ON THE AMERICAN OPTION PROBLEM
- Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
- Optimal prediction of resistance and support levels
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- Quickest detection problems for Bessel processes
- Selling a stock at the ultimate maximum
- Sequential testing problems for Bessel processes
- The regularity of free boundaries in higher dimensions
Cited in
(31)- Smoothness of stopping times of diffusion processes
- Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
- On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay
- Quickest real-time detection of a Brownian coordinate drift
- Detecting the presence of a random drift in Brownian motion
- Optimal reduction of public debt under partial observation of the economic growth
- Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
- Monotonicity of the value function for a two-dimensional optimal stopping problem
- Global C^1 regularity of the value function in optimal stopping problems
- Optimal real-time detection of a drifting Brownian coordinate
- Intervene in advance or passively? Analysis and application on congestion control of smart grid
- An optimal sequential procedure for determining the drift of a Brownian motion among three values
- A note on the continuity of free-boundaries in finite-horizon optimal stopping problems for one-dimensional diffusions
- Optimal stopping games in models with various information flows
- On Lipschitz continuous optimal stopping boundaries
- On Characterizing Integral Stopping Time Functionals on Diffusions as Solutions to Boundary Value Problems
- On an irreversible investment problem with two-factor uncertainty
- Discounted optimal stopping problems in continuous hidden Markov models
- A change of variable formula with applications to multi-dimensional optimal stopping problems
- Optimal dividend payout under stochastic discounting
- Finite horizon sequential detection with exponential penalty for the delay
- Optimal execution with multiplicative price impact and incomplete information on the return
- On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions
- Uncertainty over uncertainty in environmental policy adoption: Bayesian learning of unpredictable socioeconomic costs
- A general framework for optimal stopping problems with two risk factors and real option applications
- On the monotonicity of the stopping boundary for time-inhomogeneous optimal stopping problems
- An optimal stopping problem for reflecting Brownian motions
- Optimal stopping of Gauss-Markov bridges
- Optimal stopping zero-sum games in continuous hidden Markov models
- A probabilistic approach to continuous differentiability of optimal stopping boundaries
- The Gapeev-Shiryaev conjecture
This page was built for publication: Continuity of the optimal stopping boundary for two-dimensional diffusions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q670748)
