School of Mathematical Sciences

PROBABILISTIC RESULTS ON REGULARITY OF OPTIMAL STOPPING BOUNDARIES menu

PROBABILISTIC RESULTS ON REGULARITY OF OPTIMAL STOPPING BOUNDARIES

Speaker: 
Tiziano de Angelis (Leeds)
Date/Time: 
Wed, 06/12/2017 - 13:00
Room: 
W316, Queen's Building

Abstract. In this talk I will provide an overview of some recent results on proba-
bilistic proofs of continuity and Lipschitz continuity of optimal stopping boundaries in
multi-dimensional problems. The probabilistic argument complements some similar
results known from the PDE literature concerning free boundary problems, and oers
an alternative point of view on the topic. In some instances the methods presented
in this talk allow to relax standard assumptions made in the PDE approach, as for
example uniform ellipticity of the underlying diusion. Some applications to models
for irreversible investment and actuarial sciences will be illustrated. If time allows
I will also connect the regularity of the boundary to questions of smoothness of the
value function.
This talk draws from joint work with G. Stabile (Sapienza University of Rome)
and ongoing work with G. Peskir (University of Manchester).