Optimal stopping of stochastic differential equations with delay driven by Lévy noise (Q623473)
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scientific article; zbMATH DE number 5851516
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| English | Optimal stopping of stochastic differential equations with delay driven by Lévy noise |
scientific article; zbMATH DE number 5851516 |
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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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0.8566900491714478
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0.8117390275001526
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0.8004180192947388
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0.8002126216888428
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0.8000558614730835
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