Cheng Cai, Tiziano De Angelis, Jan Palczewski
Abstract
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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.
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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.
Key concepts: Optimal stopping, Jump, Monotonic function, Stopping time, Mathematics, Space (punctuation), Applied mathematics, Statistical physics