An optimal stopping problem in a diffusion-type model with delay

DOI10.1016/j.spl.2005.09.006zbMath1092.60017OpenAlexW2169045607MaRDI QIDQ2489871

Pavel V. Gapeev, Markus Reiss

Publication date: 28 April 2006

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2005-005.pdf

zbMATH Keywords

Girsanov's theoremItô's formulaDiffusion processStochastic delay differential equationSufficient statisticFree-boundary problemSmooth fit

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Free boundary problems for PDEs (35R35)

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Cites Work

• Some Solvable Stochastic Control Problems With Delay
• Dynamic programming in stochastic control of systems with delay
• When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?
• On Stefan’s Problem and Optimal Stopping Rules for Markov Processes
• OPTIMAL STOPPING WITH DELAYED INFORMATION
• Stochastic differential equations. An introduction with applications.
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