Regularity of the optimal stopping problem for jump diffusions

SIAM Journal on Control and Optimization

Volumn 50, Issue 3, 2012, Pages 1337-1357

  Bayraktar, Erhan ^a   Xing, Hao ^b  

^a UNIVERSITY OF MICHIGAN   (United States)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

L vy processes; Optimal stopping; Regularity of the value function; Smooth fit principle; Sobolev spaces; Variational inequality

Indexed keywords

DIFFUSION COMPONENTS; FINITE/INFINITE; GENERALIZED SOLUTION; JUMP DIFFUSION; OPTIMAL STOPPING; OPTIMAL STOPPING PROBLEM; SMOOTH-FIT PRINCIPLE; UNBOUNDED DOMAIN; VALUE FUNCTIONS; VARIATIONAL INEQUALITIES;

DIFFUSION; SOBOLEV SPACES; VARIATIONAL TECHNIQUES;

OPTIMIZATION;

EID: 84865526705     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/100810915     Document Type: Article

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