On Lipschitz continuous optimal stopping boundaries

2017/01/25 by De Angelis, Tiziano, Stabile, Gabriele · 2 citations
#35R35 #60G40 #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)

paper · doi:10.48550/arxiv.1701.07491

Abstract

We obtain a probabilistic proof of the local Lipschitz continuity for the optimal stopping boundary of a class of problems with state space [0,T]×ℝ^d, d≥ 1. To the best of our knowledge this is the only existing proof that relies exclusively upon stochastic calculus, all the other proofs making use of PDE techniques and integral equations. Thanks to our approach we obtain our result for a class of diffusions whose associated second order differential operator is not necessarily uniformly elliptic. The latter condition is normally assumed in the related PDE literature.

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