Data di Pubblicazione:
2023
Abstract:
We show that optimal stopping surfaces (t, y) \mapsto \rightarrow x\ast(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.
Tipologia CRIS:
03A-Articolo su Rivista
Keywords:
optimal stopping; free boundary problems; continuous optimal boundaries; jump-diffusions
Elenco autori:
Cai, C; De Angelis, T; Palczewski, J
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