Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22261
Authors: 
Gapeev, Pavel V.
Reiß, M.
Year of Publication: 
2003
Series/Report no.: 
SFB 373 Discussion Paper 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: 
Document Type: 
Working Paper
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