Resource title

A Note on Optimal Stopping in Models with Delay

Resource image

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Resource description

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.

Resource author

Pavel V. Gapeev, M. ReiƟ

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22261

Resource license

Adapt according to the presented license agreement and reference the original author.