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
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Identification Number: 10.1137/100810915
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 |
| Divisions: | Statistics |
| Subjects: | H Social Sciences > HA Statistics |
| Date Deposited: | 04 May 2012 10:27 |
| Last Modified: | 18 Sep 2024 05:27 |
| URI: | http://eprints.lse.ac.uk/id/eprint/43458 |
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