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arXiv · 2109.10810

On the continuity of optimal stopping surfaces for jump-diffusions

Cheng Cai·Tiziano De Angelis·Jan Palczewski
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Abstract

We show that optimal stopping surfaces $(t,y)\mapsto x_*(t,y)$ arising from time-inhomogeneous optimal stopping problems on two-dimensional jump-diffusions $(X,Y)$ are continuous (jointly in time and space) under mild monotonicity and regularity assumptions of local nature.

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Cheng Cai, Tiziano De Angelis, Jan Palczewski. 2021-09-22. On the continuity of optimal stopping surfaces for jump-diffusions. https://doi.org/10.1137/21m1448094

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