A Note on Optimal Stopping in Models with Delay

Pavel V. Gapeev and M. Reiß

No 2003,47, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

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.

Date: 2003
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