Optimal stopping of stochastic differential equations with delay driven by Lévy noise (Q623473)

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Optimal stopping of stochastic differential equations with delay driven by Lévy noise
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    Optimal stopping of stochastic differential equations with delay driven by Lévy noise (English)
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    14 February 2011
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    An optimal stopping problem is studied for a stochastic differential equation with delay driven by a Lévy noise. Approaching the problem by its infinite-dimensional representation, conditions are derived yielding an explicit solution to the problem. Applications to the American put option problem are shown.
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    optimal stopping
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    stochastic delay equations
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    linear evolution equation
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    free boundary problem
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