On the continuity of optimal stopping surfaces for jump-diffusions

Published 22 Sep 2021 in math.PR and math.OC | (2109.10810v2)

Abstract: We show that optimal stopping surfaces $(t,y)\mapsto x_*(t,y)$ 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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