Published 2011 | Version v1
Publication

Optimal Stopping of Stochastic Differential Equations with Delay Driven by Lévy Noise

Description

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.

Additional details

Identifiers

URL
http://hdl.handle.net/11567/1020412
URN
urn:oai:iris.unige.it:11567/1020412