On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions

DOI10.1137/21m1448094zbMath1515.60109arXiv2109.10810OpenAlexW4380788650MaRDI QIDQ6157887

Tiziano De Angelis, Jan Palczewski, Cheng Cai

Publication date: 22 June 2023

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

Full work available at URL: https://arxiv.org/abs/2109.10810

zbMATH Keywords

optimal stoppingfree boundary problemsjump-diffusionscontinuous optimal boundaries

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Free boundary problems for PDEs (35R35) Jump processes on general state spaces (60J76)

Related Items (1)

A change of variable formula with applications to multi-dimensional optimal stopping problems

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