On the continuity of optimal stopping surfaces for jump-diffusions

Abstract

We show that optimal stopping surfaces $(t,y)\mapsto x_{\ast }(t,y)$ 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.

18 pages, strengthened discussion of related literature

References in corpus (2)

• The American put with finite-time maturity and stochastic interest rate
• Multi-dimensional sequential testing and detection