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.
- Language
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Englisch
- Bibliographic citation
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Series: SFB 373 Discussion Paper ; No. 2003,47
- Classification
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Wirtschaft
- Subject
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Suchtheorie
Stochastischer Prozess
Theorie
stochastic delay differential equation
- Event
-
Geistige Schöpfung
- (who)
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Gapeev, Pavel V.
Reiß, M.
- Event
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Veröffentlichung
- (who)
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Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (where)
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Berlin
- (when)
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2003
- Handle
- URN
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urn:nbn:de:kobv:11-10050820
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Gapeev, Pavel V.
- Reiß, M.
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Time of origin
- 2003
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