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

DOI10.1016/J.SPL.2005.09.006zbMATH Open1092.60017OpenAlexW2169045607MaRDI QIDQ2489871FDOQ2489871

Pavel 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

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zbMATH Keywords

Girsanov's theoremDiffusion processStochastic delay differential equationSufficient statisticFree-boundary problemSmooth fitItô's formula

Mathematics Subject Classification ID

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

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• Exotic option pricing and advanced Lévy models.
• On Stefan’s Problem and Optimal Stopping Rules for Markov Processes
• OPTIMAL STOPPING WITH DELAYED INFORMATION
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Cited In (8)

• Optimal stopping problems for running minima with positive discounting rates
• The integral option in a model with jumps
• Finite difference approximation for stochastic optimal stopping problems with delays
• Optimal stopping of stochastic differential equations with delay driven by Lévy noise
• An optimal stopping problem in the stochastic Gilpin-Ayala population model
• An optimal stopping problem for jump diffusion logistic population model
• OPTIMAL STOPPING WITH DELAYED INFORMATION
• Finite-dimensional representations for controlled diffusions with delay

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