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.
Year of publication: |
2003
|
---|---|
Authors: | Gapeev, Pavel V. ; Reiß, M. |
Institutions: | Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät |
Saved in:
freely available
Saved in favorites
Similar items by person
-
On Large Deviations in Testing Ornstein-Uhlenbeck Type Models with Delay
Küchler, Uwe, (2003)
-
On Markovian Short Rates in Term Structure Models Driven by Jump-Diffusion Processes
Gapeev, Pavel V., (2003)
-
Adaptive wavelet Galerkin methods for linear inverse problems
Cohen, A.,
- More ...