2000 character limit reached
On the continuity of optimal stopping surfaces for jump-diffusions (2109.10810v2)
Published 22 Sep 2021 in math.PR and math.OC
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.
Sponsor
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.
Top Community Prompts
Collections
Sign up for free to add this paper to one or more collections.