Regularity of the Optimal Stopping Problem for Jump Diffusions
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Publication:2910907
DOI10.1137/100810915zbMath1255.60068arXiv0902.2479OpenAlexW1863143423MaRDI QIDQ2910907
Publication date: 12 September 2012
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0902.2479
Sobolev spacesvariational inequalityoptimal stoppingLévy processsmooth-fit principleregularity of the value function
Integro-partial differential equations (45K05) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35)
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