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.
Federico S., Oksendal B.K. (2011). Optimal Stopping of Stochastic Differential Equations with Delay Driven by Lévy Noise. POTENTIAL ANALYSIS, 34(2), 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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