Bayraktar, Erhan and Xing, Hao (2012) Regularity of the optimal stopping problem for jump diffusions. SIAM journal on control and optimization, 50 (3). pp. 1337-1357. ISSN 0363-0129
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 L´evy measure, this paper shows that the value function of this optimal stopping problem on an unbounded domain with finite/infinite variation jumps is in W2;1 p;loc with p 2 (1;1). As a consequence, the smooth-fit property holds.
|Additional Information:||© 2012 SIAM|
|Uncontrolled Keywords:||optimal stopping, variational inequality, L´evy processes, regularity of the value function, smooth fit principle, Sobolev spaces|
|Library of Congress subject classification:||H Social Sciences > HA Statistics|
|Sets:||Departments > Statistics|
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