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Title:A Note on Optimal Stopping in Models with Delay PDF Logo
Authors:Gapeev, Pavel V.
Reiß, M.
Issue Date:2003
Series/Report no.:Discussion papers of interdisciplinary research project 373 2003,47
Abstract: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.
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10050820
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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