Time and Killed Resolvents in Reflected Optimal Stopping with a Max Payoff

Mathematics > Analysis of PDEs [Submitted on 16 Jun 2026] Title:Time and Killed Resolvents in Reflected Optimal Stopping with a Max Payoff View PDF HTML (experimental)Abstract:We study infinite-horizon optimal stopping for normally reflected two-dimensional diffusions in the positive quadrant with max payoff \(G(x_1,x_2)=x_1\vee\alpha x_2\). The non-smooth payoff produces a singular stopping-gain measure on the kink set \(\Delta=\{x_1=\alpha x_2\}\). We prove $\displaystyle \Gamma^\Delta(dx) = -\frac{n^\top a(x)n}{2\sqrt{1+\alpha^2}}\,\sigma_\Delta(dx)$, with $n=(1,-\alpha)$, so the diagonal component is non-positive and strictly negative under local ellipticity. This implies that every interior kink point lies in the continuation region. We further show that the correct value representation uses the resolvent killed at first entry into the stopping set, $\displaystyle V=G-R_r^{\mathcal C}\Gamma$, and give a closed-form reflected Brownian counter-example showing that the unrestricted reflected resolvent is generally wrong. A reflected Brownian benchmark and numerical experiments illustrate the local-time, resolvent-gap, and diagonal-avoidance mechanisms. Current browse context: math.AP References & Citations Loading... Bibliographic and Citation Tools Bibliographic Explorer (What is the Explorer?) Connected Papers (What is Connected Papers?) Litmaps (What is Litmaps?) scite Smart Citations (What are Smart Citations?) Code, Data and Media Associated with this Article alphaXiv (What is alphaXiv?) CatalyzeX Code Finder for Papers (What is CatalyzeX?) DagsHub (What is DagsHub?) Gotit.pub (What is GotitPub?) Hugging Face (What is Huggingface?) ScienceCast (What is ScienceCast?) Demos Recommenders and Search Tools Influence Flower (What are Influence Flowers?) CORE Recommender (What is CORE?) arXivLabs: experimental projects with community collaborators arXivLabs is a framework that allows collaborators to develop and share new arXiv features directly on our website. Both individuals and organizations that work with arXivLabs have embraced and accepted our values of openness, community, excellence, and user data privacy. arXiv is committed to these values and only works with partners that adhere to them. Have an idea for a project that will add value for arXiv's community? Learn more about arXivLabs.