CONTINUITY OF THE OPTIMAL STOPPING BOUNDARY FOR TWO-DIMENSIONAL DIFFUSIONS

• 成果类型: Article
• 署名作者: Peskir, Goran
• 署名单位: University of Manchester
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/18-AAP1426
• 发表日期: 2019
• 页码: 505-530
• 关键词: of-variable formula; Local Time; inequalities

摘要

We first show that a smooth fit between the value function and the gain function at the optimal stopping boundary for a two-dimensional diffusion process implies the absence of boundary's discontinuities of the first kind (the right-hand and left-hand limits exist but differ). We then show that the smooth fit itself is satisfied over the flat portion of the optimal stopping boundary arising from any of its hypothesised jumps. Combining the two facts we obtain that the optimal stopping boundary is continuous whenever it has no discontinuities of the second kind. The derived fact holds both in the parabolic and elliptic case under the sole hypothesis of Holder continuous coefficients, thus improving upon all known results in the parabolic case, and establishing the fact for the first time in the elliptic case. The method of proof relies upon regularity results for the second-order parabolic/elliptic PDEs and makes use of the local time-space calculus techniques.