EconStor >
Humboldt-Universität zu Berlin >
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/22261
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorGapeev, Pavel V.en_US
dc.contributor.authorReiß, M.en_US
dc.date.accessioned2009-01-29T14:55:13Z-
dc.date.available2009-01-29T14:55:13Z-
dc.date.issued2003en_US
dc.identifier.piurn:nbn:de:kobv:11-10050820-
dc.identifier.urihttp://hdl.handle.net/10419/22261-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesDiscussion papers of interdisciplinary research project 373 2003,47en_US
dc.subject.ddc330en_US
dc.subject.stwSuchtheorieen_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwTheorieen_US
dc.subject.stwstochastic delay differential equationen_US
dc.titleA Note on Optimal Stopping in Models with Delayen_US
dc.typeWorking Paperen_US
dc.identifier.ppn379174596en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:sfb373:200347-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

Files in This Item:
File Description SizeFormat
dpsfb200347.pdf161 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.