Arbeitspapier
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 2003,47
- Klassifikation
-
Wirtschaft
- Thema
-
Suchtheorie
Stochastischer Prozess
Theorie
stochastic delay differential equation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gapeev, Pavel V.
Reiß, M.
- Ereignis
-
Veröffentlichung
- (wer)
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Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
2003
- Handle
- URN
-
urn:nbn:de:kobv:11-10050820
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Gapeev, Pavel V.
- Reiß, M.
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 2003
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