Finite difference approximation for stochastic optimal stopping problems with delays
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.
stochastic functional differential equations
scientific article; zbMATH DE number 5535078
scientific article