Optimal stopping of stochastic differential equations with delay driven by Lévy noise
DOI10.1007/S11118-010-9187-8zbMATH Open1216.60036OpenAlexW2092572205MaRDI QIDQ623473FDOQ623473
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
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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)
Cites Work
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Cited In (13)
- A note on Euler approximations for stochastic differential equations with delay
- Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure
- On a class of infinite-dimensional singular stochastic control problems
- Weak convergence and stability of functional diffusion systems with singularly perturbed regime switching
- Strong convergence of Euler approximations of stochastic differential equations with delay under local Lipschitz condition
- Absorbing boundaries and optimal stopping in a stochastic differential equation
- Finite difference approximation for stochastic optimal stopping problems with delays
- Stability of stochastic functional differential equations with random switching and applications
- Stability in distribution of path-dependent hybrid diffusion
- On tamed Euler approximations of SDEs driven by Lévy noise with applications to delay equations
- Stability of stochastic functional differential equations with regime-switching: analysis using Dupire's functional Itô formula
- Finite-dimensional representations for controlled diffusions with delay
- Optimal stopping of Hunt and Lévy processes
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