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2005-10-20Buch DOI: 10.18452/3651
A Note on Optimal Stopping in Models with Delay
Gapeev, Pavel V.
Reiß, Markus
We consider an optimal stopping problem in a certain model described by a stochastic delay differential equation. We reduce the initial problem to a free-boundary problem of parabolic type and prove the corresponding verification assertion. We also give an example of such an optimal stopping problem related to mathematical finance.
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10.18452/3651
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