Regularity of the optimal stopping problem for jump diffusions
type: Item
instance of: scholarly article
zbMATH Open document ID: 1255.60068
DOI: 10.1137/100810915
author: Erhan Bayraktar
author: Hao Xing
published in: SIAM Journal on Control and Optimization
publication date: 2012-09-12T00:00:00Z
full work available at URL: https://arxiv.org/abs/0902.2479
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 35R35
Mathematics Subject Classification ID: 45K05
zbMATH DE Number: 6081255
zbMATH Keywords: optimal stopping
zbMATH Keywords: variational inequality
zbMATH Keywords: Lévy process
zbMATH Keywords: regularity of the value function
zbMATH Keywords: smooth-fit principle
zbMATH Keywords: Sobolev spaces
MaRDI profile type: Publication
OpenAlex ID: W1863143423
arXiv ID: 0902.2479
title: Regularity of the optimal stopping problem for jump diffusions
review text: The value function of an optimal stopping problem for jump diffusions is known to be a generalized solution of a variational inequality. Assuming that the diffusion component of the process is nondegenerate and a mild assumption on the singularity of the Lévy measure, this paper shows that the value function of this optimal stopping problem on an unbounded domain with finite/infinite variation jumps is in \(W^{2,1}_{p,\mathrm{loc}}\) with \(p\in(1, \infty)\). As a consequence, the smooth-fit property holds.
reviewed by: Pavel Gapeev
description: scientific article; zbMATH DE number 6081255