We study an optimal stopping problem for a stochastic differential equation with delay driven by a Lévy noise. Approaching the problem by its infinite-dimensional representation, we derive conditions yielding an explicit solution to the problem. Applications to the American put option problem are shown. © 2010 Springer Science+Business Media B.V.
Optimal Stopping of Stochastic Differential Equations with Delay Driven by Lévy Noise / Federico S.; Oksendal B.K.. - In: POTENTIAL ANALYSIS. - ISSN 0926-2601. - STAMPA. - 34:2(2011), pp. 181-198. [10.1007/s11118-010-9187-8]
Optimal Stopping of Stochastic Differential Equations with Delay Driven by Lévy Noise
Federico S.;
2011
Abstract
We study an optimal stopping problem for a stochastic differential equation with delay driven by a Lévy noise. Approaching the problem by its infinite-dimensional representation, we derive conditions yielding an explicit solution to the problem. Applications to the American put option problem are shown. © 2010 Springer Science+Business Media B.V.File in questo prodotto:
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