Parametric Continuity in Problems of Optimal Stopping with Applications to American Options and Stopping Games
Speaker:
Steven Campbell, Columbia University
Date and Time:
Friday, September 27, 2024 - 9:30am to 10:00am
Location:
Fields Institute, Room 230
Abstract:
We use the dual perspective for optimal stopping, introduced by Davis and Karatzas, to derive pathwise conditions for commonly sought properties of optimal stopping problems. In particular, we show that the continuity of the value function, the continuity of the optimal stopping time, the continuity of the spatial derivative of the value function, and the existence of equilibria in a large class of stopping games can be derived from the path properties of the reward process and its Snell envelope. We provide several illustrative examples and applications.