We study an optimal stopping problem for a stochastic differential equation with delay driven by a L,vy 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.
Optimal Stopping of Stochastic Differential Equations with Delay Driven by Lévy Noise / Federico, Salvatore; Øksendal, Bernt Karsten. - In: POTENTIAL ANALYSIS. - ISSN 0926-2601. - STAMPA. - 34:(2011), pp. 181-198. [10.1007/s11118-010-9187-8]
Optimal Stopping of Stochastic Differential Equations with Delay Driven by Lévy Noise
FEDERICO, SALVATORE;
2011
Abstract
We study an optimal stopping problem for a stochastic differential equation with delay driven by a L,vy 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.
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