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
Abstract
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.
| Item Type: | Article |
|---|---|
| Official URL: | http://epubs.siam.org/sicon/ |
| 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 |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/43458/ |
Actions (login required)
 |
Record administration - authorised staff only |
