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

DOI10.1007/S11118-010-9187-8MaRDI QIDQ623473zbMATH OpenOpenAlexFDO

Authors Salvatore Federico, B. Øksendal

Publication date 14 February 2011

Published in Potential Analysis (Search for Journal in Brave)

Full work available at URL http://urn.nb.no/URN:NBN:no-23397

zbMATH Keywords

free boundary problemoptimal stoppinglinear evolution equationstochastic delay equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Stopping times; optimal stopping problems; gambling theory (60G40) One-parameter semigroups and linear evolution equations (47D06)

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Cites work

• scientific article; zbMATH DE number 3646080 (Why is no real title available?)
• scientific article; zbMATH DE number 2134039 (Why is no real title available?)
• An optimal stopping problem in a diffusion-type model with delay
• Applied stochastic control of jump diffusions
• Delay equations. Functional-, complex-, and nonlinear analysis
• Dynamic programming in stochastic control of systems with delay
• Ergodicity for Infinite Dimensional Systems
• HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Verification and Optimal Feedbacks
• HJB equations for the optimal control of differential equations with delays and state constraints. I: Regularity of viscosity solutions
• On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects
• Optimal control with partial information for stochastic Volterra equations
• Optimal stopping and perpetual options for Lévy processes
• Some Solvable Stochastic Control Problems With Delay
• The Infinite Time Quadratic Control Problem for Linear Systems with State and Control Delays: An Evolution Equation Approach
• When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?

Cited in

(13)

• Absorbing boundaries and optimal stopping in a stochastic differential equation
• On tamed Euler approximations of SDEs driven by Lévy noise with applications to delay equations
• Stability of stochastic functional differential equations with random switching and applications
• Weak convergence and stability of functional diffusion systems with singularly perturbed regime switching
• Stability in distribution of path-dependent hybrid diffusion
• Strong convergence of Euler approximations of stochastic differential equations with delay under local Lipschitz condition
• Stability of stochastic functional differential equations with regime-switching: analysis using Dupire's functional Itô formula
• Finite difference approximation for stochastic optimal stopping problems with delays
• Optimal stopping of Hunt and Lévy processes
• Finite-dimensional representations for controlled diffusions with delay
• A note on Euler approximations for stochastic differential equations with delay
• On a class of infinite-dimensional singular stochastic control problems
• Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure

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