Free-Boundary Continuity.pdf

092047R.pdf
Preview of Free-Boundary Continuity
🔗 Source: eprints.whiterose.ac.uk
📊 Size: 328 KB
👤 Author: De Angelis, T
⬇️ Downloads: 45

Summary

The paper provides sufficient conditions for the continuity of the free-boundary in finite-horizon optimal stopping problems for one-dimensional diffusions, requiring mild regularity on the coefficients of the SDE and smoothness of the gain function locally at the boundary.

Description

The paper provides sufficient conditions for the continuity of the free-boundary in finite-horizon optimal stopping problems for one-dimensional diffusions,...

Technical Information

  • File Format: PDF
  • File Size: 328 KB
  • Pages: 18
  • Language: EN
  • Author: De Angelis, T
  • Total Downloads: 45
  • Last Updated: 1 week ago

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