Optimal stopping of stochastic differential equations with delay driven by Lévy noise

DOI10.1007/s11118-010-9187-8zbMath1216.60036OpenAlexW2092572205MaRDI QIDQ623473

Bernt Øksendal, Salvatore Federico

Publication date: 14 February 2011

Published in: Potential Analysis (Search for Journal in Brave)

Full work available at URL: http://urn.nb.no/URN:NBN:no-23397

zbMATH Keywords

free boundary problemoptimal stoppingstochastic delay equationslinear evolution equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) One-parameter semigroups and linear evolution equations (47D06) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic functional-differential equations (34K50)

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