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
This paper is devoted to the study of optimal control of stochastic differential delay equations (SD...
This paper deals with the optimal control of a stochastic delay differential equation arising in the...
We study stochastic delay differential equations (SDDE) where the coefficients depend on the moving ...
We study an optimal stopping problem for a stochastic differential equation with delay driven by a L...
We study an optimal stopping problem for a stochastic differential equation with delay driven by a L...
We present an explicit solution to an optimal stopping problem in a model described by a stochastic ...
This paper considers the computational issue of the optimal stop-ping problem for the stochastic fun...
An optimal stopping problem for stochastic differential equations with random coefficients is consid...
An optimal stopping problem for stochastic differential equations with random coefficients is con-si...
We consider an optimal stopping problem in a certain model described by a stochastic delay different...
This thesis deals with the explicit solution of optimal stopping problems with infinite time horizon...
We present an explicit solution to an optimal stopping problem in a model described by a stochastic ...
This paper is devoted to the analysis of an optimal control problem for stochastic integro-different...
We consider a class of optimal control problems of stochastic delay differential equations (SDDE) th...
Abstract. We prove the existence of a solution for the obstacle problem associated with the Kolmogor...
This paper is devoted to the study of optimal control of stochastic differential delay equations (SD...
This paper deals with the optimal control of a stochastic delay differential equation arising in the...
We study stochastic delay differential equations (SDDE) where the coefficients depend on the moving ...
We study an optimal stopping problem for a stochastic differential equation with delay driven by a L...
We study an optimal stopping problem for a stochastic differential equation with delay driven by a L...
We present an explicit solution to an optimal stopping problem in a model described by a stochastic ...
This paper considers the computational issue of the optimal stop-ping problem for the stochastic fun...
An optimal stopping problem for stochastic differential equations with random coefficients is consid...
An optimal stopping problem for stochastic differential equations with random coefficients is con-si...
We consider an optimal stopping problem in a certain model described by a stochastic delay different...
This thesis deals with the explicit solution of optimal stopping problems with infinite time horizon...
We present an explicit solution to an optimal stopping problem in a model described by a stochastic ...
This paper is devoted to the analysis of an optimal control problem for stochastic integro-different...
We consider a class of optimal control problems of stochastic delay differential equations (SDDE) th...
Abstract. We prove the existence of a solution for the obstacle problem associated with the Kolmogor...
This paper is devoted to the study of optimal control of stochastic differential delay equations (SD...
This paper deals with the optimal control of a stochastic delay differential equation arising in the...
We study stochastic delay differential equations (SDDE) where the coefficients depend on the moving ...