Finite difference approximation for stochastic optimal stopping problems with delays
type: Item
instance of: scholarly article
title: Finite difference approximation for stochastic optimal stopping problems with delays
zbMATH Open document ID: 1165.60018
author: Mou-Hsiung Chang
author: Tao Pang
author: Moustapha Pemy
published in: Journal of Industrial and Management Optimization
publication date: 2009-03-30T00:00:00Z
review text: 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.
reviewed by: Albrecht Irle
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 49L25
zbMATH DE Number: 5535078
zbMATH Keywords: optimal stopping with delay
zbMATH Keywords: stochastic control
zbMATH Keywords: stochastic functional differential equations
zbMATH Keywords: finite difference method
MaRDI profile type: Publication
full work available at URL: jimo.2008.4.227
OpenAlex ID: W2160156038
DOI: 10.3934/JIMO.2008.4.227
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description: scientific article; zbMATH DE number 5535078