2005-10-20Buch DOI: 10.18452/3651
A Note on Optimal Stopping in Models with Delay
Gapeev, Pavel V.
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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Is Part Of Series: Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes - 47, SFB 373 Papers, ISSN:1436-1086