Regularity of the Optimal Stopping Problem for Jump Diffusions

Erhan Bayraktar and Hao Xing

Papers from arXiv.org

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\'{e}vy measure, this paper shows that the value function of this optimal stopping problem on an unbounded domain with finite/infinite variation jumps is in $W^{2,1}_{p, loc}$ with $p\in(1, \infty)$. As a consequence, the smooth-fit property holds.

Date: 2009-02, Revised 2012-03
New Economics Papers: this item is included in nep-ore
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://arxiv.org/pdf/0902.2479 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0902.2479

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().