On Lipschitz continuous optimal stopping boundaries

DOI10.1137/17M1113709MaRDI QIDQ4614936zbMATH OpenOpenAlexWikidataFDO

Authors Tiziano De Angelis, G. Stabile

Publication date 1 February 2019

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1701.07491

zbMATH Keywords

free boundary problemsLipschitz free boundariesoptimal stopping

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40)

Abstract: We obtain a probabilistic proof of the local Lipschitz continuity for the optimal stopping boundary of a class of problems with state space $[0,T]imesmathbb{R}^d$, $dge1$. To the best of our knowledge this is the only existing proof that relies exclusively upon stochastic calculus, all the other proofs making use of PDE techniques and integral equations. Thanks to our approach we obtain our result for a class of diffusions whose associated second order differential operator is not necessarily uniformly elliptic. The latter condition is normally assumed in the related PDE literature.

Recommendations

• Continuity of the optimal stopping boundary for two-dimensional diffusions
• A note on the continuity of free-boundaries in finite-horizon optimal stopping problems for one-dimensional diffusions
• Global C^1 regularity of the value function in optimal stopping problems
• On a class of optimal stopping problems for diffusions with discontinuous coefficients
• On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions

Cited in

(16)

• On the free boundary of an annuity purchase
• Mean-field games of finite-fuel capacity expansion with singular controls
• Singular control of the drift of a Brownian system
• A Singular Stochastic Control Problem with Interconnected Dynamics
• Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
• Two-Sided Singular Control of an Inventory with Unknown Demand Trend
• Optimal execution with multiplicative price impact and incomplete information on the return
• On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions
• On the monotonicity of the stopping boundary for time-inhomogeneous optimal stopping problems
• Continuity of the optimal stopping boundary for two-dimensional diffusions
• Optimal prediction of the last r-excursion time of Brownian motion models
• Optimal stopping of Gauss-Markov bridges
• The dynamics of project standards
• A probabilistic approach to continuous differentiability of optimal stopping boundaries
• On the optimal stopping of randomized Gauss-Markov bridges
• Grab it before it's gone: testing uncertain rewards under a stochastic deadline

This page was built for publication: On Lipschitz continuous optimal stopping boundaries

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4614936)