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Gapeev, Pavel V.
Reiß, M.
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Discussion papers of interdisciplinary research project 373 2003,47
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.
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Working Paper

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