Continuity of the optimal stopping boundary for two-dimensional diffusions

DOI10.1214/18-AAP1426zbMath1409.60066MaRDI QIDQ670748

Goran Peskir

Publication date: 20 March 2019

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aoap/1544000435

zbMATH Keywords

optimal stoppingfree boundarysmooth fitlocal time-space calculuscontinuity of the optimal stopping boundarysecond-order parabolic/elliptic PDEtwo-dimensional diffusion process

Mathematics Subject Classification ID

Boundary value problems for second-order elliptic equations (35J25) Initial-boundary value problems for second-order parabolic equations (35K20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Free boundary problems for PDEs (35R35)

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