Numerical methods for an optimal multiple stopping problem

DOI10.1142/S0219493716500167zbMath1350.65068OpenAlexW1946985090MaRDI QIDQ2816573

Imène Ben Latifa, Mohammed Mnif, Joseph Frédéric Bonnans

Publication date: 23 August 2016

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493716500167

zbMATH Keywords

convergencenumerical resultsviscosity solutionquantizationswing optionHamilton-Jacobi-Bellman variational inequalityoptimal multiple stopping time problem

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Variational inequalities (49J40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Cites Work

• Foundations of quantization for probability distributions
• A General Optimal Multiple Stopping Problem with an Application to Swing Options
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