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Some results on optimal stopping under phase-type distributed implementation delay

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  • Jukka Lempa

    (University of Turku)

Abstract

We study optimal stopping of strong Markov processes under random implementation delay. By random implementation delay we mean the following: the payoff is not realised immediately when the process is stopped but rather after a random waiting period. The distribution of the random waiting period is assumed to be phase-type. We prove first a general result on the solvability of the problem. Then we study the case of Coxian distribution both in general and with scalar diffusion dynamics in more detail. The study is concluded with two explicit examples.

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  • Jukka Lempa, 2020. "Some results on optimal stopping under phase-type distributed implementation delay," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 91(3), pages 559-583, June.
    • Handle: RePEc:spr:mathme:v:91:y:2020:i:3:d:10.1007_s00186-019-00694-6
    DOI: 10.1007/s00186-019-00694-6
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