An optimal stopping problem in a diffusion-type model with delay
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Publication:2489871
DOI10.1016/j.spl.2005.09.006zbMath1092.60017MaRDI QIDQ2489871
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
Girsanov's theorem; Itô's formula; Diffusion process; Stochastic delay differential equation; Sufficient statistic; Free-boundary problem; Smooth fit
60J25: Continuous-time Markov processes on general state spaces
91B70: Stochastic models in economics
60G40: Stopping times; optimal stopping problems; gambling theory
60G44: Martingales with continuous parameter
60J60: Diffusion processes
35R35: Free boundary problems for PDEs
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Optimal stopping of stochastic differential equations with delay driven by Lévy noise, The integral option in a model with jumps
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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