A Note on the Continuity of Free-Boundaries in Finite-Horizon Optimal Stopping Problems for One-Dimensional Diffusions

DOI10.1137/130920472zbMath1338.60117arXiv1305.1125OpenAlexW2142493289WikidataQ59897931 ScholiaQ59897931MaRDI QIDQ2810055

Tiziano De Angelis

Publication date: 31 May 2016

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

Full work available at URL: https://arxiv.org/abs/1305.1125

zbMATH Keywords

stochastic differential equationoptimal stoppingfree boundary problemsone-dimensional diffusionscontinuous free boundariessecond-order linear parabolic PDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial-boundary value problems for second-order parabolic equations (35K20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Free boundary problems for PDEs (35R35)

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