Finite difference approximation for stochastic optimal stopping problems with delays

DOI10.3934/jimo.2008.4.227zbMath1165.60018OpenAlexW2160156038MaRDI QIDQ1008794

Mou-Hsiung Chang, Tao Pang, Moustapha Pemy

Publication date: 30 March 2009

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2008.4.227

zbMATH Keywords

finite difference methodstochastic controlstochastic functional differential equationsoptimal stopping with delay

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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