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dc.contributor.authorGapeev, Pavel V.en
dc.contributor.authorReiß, M.en
dc.date.accessioned2009-01-29T14:55:13Z-
dc.date.available2009-01-29T14:55:13Z-
dc.date.issued2003-
dc.identifier.piurn:nbn:de:kobv:11-10050820en
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlinen
dc.relation.ispartofseries|aSFB 373 Discussion Paper |x2003,47en
dc.subject.ddc330en
dc.subject.stwSuchtheorieen
dc.subject.stwStochastischer Prozessen
dc.subject.stwTheorieen
dc.subject.stwstochastic delay differential equationen
dc.titleA Note on Optimal Stopping in Models with Delay-
dc.typeWorking Paperen
dc.identifier.ppn379174596en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb373:200347en

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