Smoothness of stopping times of diffusion processes
Consider the first exit time \(\tau\) of a smooth bounded open set for an elliptic diffusion. The aim is to study the smoothness of this stopping time in the sense of the stochastic calculus of variations. To this end, the authors use two types of fractional Sobolev spaces \(D_\alpha^p\) and \(E_\alpha^p\) (\(0<\alpha<1\), \(p>1\)) which are close to one another, and they prove that the truncated time \(\tau\wedge T\) is in \(D_\alpha^p\) and \(E_\alpha^p\) as soon as \(p\alpha<1\). In the case of the Brownian motion, the result is extended to the unbounded time \(\tau\) (under a condition on the dimension). Finally, they check the optimality of the result by giving a counterexample when \(p\alpha>1\).
- Regularity of stopping times of diffusion processes in Besov spaces
- On Characterizing Integral Stopping Time Functionals on Diffusions as Solutions to Boundary Value Problems
- Continuity of the optimal stopping boundary for two-dimensional diffusions
- Smoothness of local times of semimartingales
- Smoothness of Brownian local times and related functionals
- Fractional smoothness of derivative of self-intersection local times
- Fractional smoothness of derivative of self-intersection local times with respect to bi-fractional Brownian motion
- The fractional smoothness of integral functionals driven by Brownian motion
- Regularity of local times of random fields
- Fractional smoothness of some stochastic integrals
- L p Inequalities for Stopping Times of Diffusions
- Localization of Wiener functionals of fractional regularity and applications
- Regularity of stopping times of diffusion processes in Besov spaces
- Smoothness of self-intersection local time of multidimensional fractional Brownian motion
- Smoothness of higher order derivative of self-intersection local time for fractional Brownian motion
- Logarithmic heat kernel estimates without curvature restrictions
- Integration by parts formula for exit times of one dimensional diffusions
- Fractional smoothness for the generalized local time of the indefinite Skorokhod integral
This page was built for publication: Smoothness of stopping times of diffusion processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1569002)
