Regularity of the optimal stopping problem for jump diffusions

DOI10.1137/100810915zbMATH Open1255.60068arXiv0902.2479OpenAlexW1863143423MaRDI QIDQ2910907FDOQ2910907

Authors: Erhan Bayraktar, Hao Xing 

Publication date: 12 September 2012

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

Abstract: The value function of an optimal stopping problem for jump diffusions is known to be a generalized solution of a variational inequality. Assuming that the diffusion component of the process is nondegenerate and a mild assumption on the singularity of the L'{e}vy measure, this paper shows that the value function of this optimal stopping problem on an unbounded domain with finite/infinite variation jumps is in $W_{p,loc}^{2,1}$ with $pin(1,infty)$. As a consequence, the smooth-fit property holds.

Full work available at URL: https://arxiv.org/abs/0902.2479

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zbMATH Keywords

optimal stoppingSobolev spacesvariational inequalitysmooth-fit principleregularity of the value functionLévy process

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (14)

• Optimal stopping problems with discontinous reward: Regularity of the value function and viscosity solutions
• On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions
• Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes
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• Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures
• An optimal stopping problem for jump diffusion logistic population model
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