On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions

DOI10.1137/21M1448094MaRDI QIDQ6157887zbMATH OpenOpenAlexFDO

Authors Cheng Cai, Tiziano De Angelis, Jan Palczewski

Publication date 22 June 2023

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

Full work available at URL https://arxiv.org/abs/2109.10810

zbMATH Keywords

continuous optimal boundariesfree boundary problemsjump-diffusionsoptimal stopping

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Jump processes on general state spaces (60J76)

Abstract: We show that optimal stopping surfaces $(t,y)mapsto{x}_{\ast }(t,y)$ 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.

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