Published 2011
| Version v1
Publication
Optimal Stopping of Stochastic Differential Equations with Delay Driven by Lévy Noise
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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.
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- URL
- http://hdl.handle.net/11567/1020412
- URN
- urn:oai:iris.unige.it:11567/1020412