Regularity of the Optimal Stopping Problem for Jump Diffusions

DOI10.1137/100810915zbMath1255.60068arXiv0902.2479OpenAlexW1863143423MaRDI QIDQ2910907

Erhan Bayraktar, Hao Xing

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

zbMATH Keywords

Sobolev spacesvariational inequalityoptimal stoppingLévy processsmooth-fit principleregularity of the value function

Mathematics Subject Classification ID

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

Related Items

Value function regularity in option pricing problems under a pure jump model ⋮ \(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process ⋮ Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures