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., Øksendal, B. (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, SALVATORE;
2011-01-01
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.
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https://hdl.handle.net/11365/1003431
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