Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Monotonicity of the value function for a two-dimensional optimal
  stopping problem   We consider a pair $(X,Y)$ of stochastic processes satisfying the equation
$dX=a(X)Y\,dB$ driven by a Brownian motion and study the monotonicity and
continuity in $y$ of the value function
$v(x,y)=\sup_{\tau}E_{x,y}[e^{-q\tau}g(X_{\tau})]$, where the supremum is taken
over stopping times with respect to the filtration generated by $(X,Y)$. Our
results can successfully be applied to pricing American options where $X$ is
the discounted price of an asset while $Y$ is given by a stochastic volatility
model such as those proposed by Heston or Hull and White. The main method of
proof is based on time-change and coupling.

27
The categories of this paper are: comp-gas
35
The categories of this paper are: mtrl-th
26
The categories of this paper are: bayes-an
9
The categories of this paper are: nlin
4
The categories of this paper are: cond-mat
31
The categories of this paper are: ao-sci
33
The categories of this paper are: plasm-ph
11
The categories of this paper are: hep-lat
17
The categories of this paper are: q-fin
15
The categories of this paper are: nucl-ex
37
The categories of this paper are: supr-con
1
The categories of this paper are: cs
28
The categories of this paper are: alg-geom
34
The categories of this paper are: chem-ph
12
The categories of this paper are: nucl-th
20
The categories of this paper are: acc-phys