On the Continuity of Optimal Stopping Surfaces
Speaker:
Tiziano De Angelis, University of Turin & Collegio Carlo Alberto
Date and Time:
Wednesday, May 14, 2025 - 10:00am to 10:30am
Location:
Fields Institute, Room 230
Abstract:
We show that optimal stopping surfaces (t, y) → x∗(t, y) arising from time-inhomogeneous optimal stopping problems on two-dimensional diffusions (X, Y ) are continuous, jointly in time and space, under mild monotonicity and regularity assumptions of local nature. The talk is based on a joint paper with C. Cai and J. Palczewski (SIAM J. Control Optim. 61 (3), 2023, pp.1513–1531).