Finite difference approximation for stochastic optimal stopping problems with delays (Q1008794)
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scientific article; zbMATH DE number 5535078
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Finite difference approximation for stochastic optimal stopping problems with delays |
scientific article; zbMATH DE number 5535078 |
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Finite difference approximation for stochastic optimal stopping problems with delays (English)
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30 March 2009
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An optimal stopping problem with delay for a stochastic functional differential equation is treated with particular regard to computational issues. A finite difference method is used to obtain a numerical approximation for the viscosity solution of the infinite dimensional Hamilton-Jacobi-Bellman variational inequality associated with the optimal stopping problem. The convergence results are then established.
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optimal stopping with delay
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stochastic control
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stochastic functional differential equations
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finite difference method
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0.9179941
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0.9160375
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0.91550136
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