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A Note on Optimal Stopping in Models with Delay

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  • Gapeev, Pavel V.
  • Reiß, M.

Abstract

We consider an optimal stopping problem in a certain model described by a stochastic delay differential equation. We reduce the initial problem to a free-boundary problem of parabolic type and prove the corresponding verification assertion. We also give an example of such an optimal stopping problem related to mathematical finance.

Suggested Citation

  • Gapeev, Pavel V. & Reiß, M., 2003. "A Note on Optimal Stopping in Models with Delay," SFB 373 Discussion Papers 2003,47, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:200347
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