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摘要翻译：
跳扩散最优停止问题的值函数是变分不等式的广义解。本文在假定过程的扩散分量是非退化的，并对L{e}vy测度的奇异性作了较温和的假设，证明了在具有有限/无限变分跳跃的无界区域上，该最优停止问题的值函数在$w^{2,1}_{p,loc}$中，$p\in(1,infty)$。因此，平滑拟合属性保持不变。
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英文标题：
《Regularity of the Optimal Stopping Problem for Jump Diffusions》
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作者：
Erhan Bayraktar, Hao Xing
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最新提交年份：
2012
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分类信息：
一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
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.
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PDF链接：
https://arxiv.org/pdf/0902.2479
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