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.
ON THE CONTINUITY OF OPTIMAL STOPPING SURFACES FOR JUMP-DIFFUSIONS
De Angelis, T;
2023-01-01
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.
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