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.
Institutions:	Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät

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Extent:	application/pdf
Series:	SFB 373 Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2003,47
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010983557