A Note on Optimal Stopping in Models with Delay

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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Year of publication:	2003
Authors:	Gapeev, Pavel V. ; Reiß, M.
Publisher:	Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Subject:	Suchtheorie \| Stochastischer Prozess \| Theorie \| stochastic delay differential equation

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Series:	SFB 373 Discussion Paper ; 2003,47
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	379174596 [GVK] hdl:10419/22261 [Handle] RePEc:zbw:sfb373:200347 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010296482