Finite Difference Approximation for Stochastic Optimal Stopping Problems with Delays
نویسندگان
چکیده
This paper considers the computational issue of the optimal stopping problem for the stochastic functional differential equation treated in [4]. The finite difference method developed by Barles and Souganidis [2] is used to obtain a numerical approximation for the viscosity solution of the infinite dimensional Hamilton-Jacobi-Bellman variational inequality (HJBVI) associated with the optimal stopping problem.
منابع مشابه
Numerical Methods for Stochastic Optimal Stopping Problems with Delays
This paper considers the computational issue of the optimal stopping problem for the stochastic functional differential equation treated in [4]. The finite difference method developed by Barles and Souganidis [2] is used to obtain a numerical approximation for the viscosity solution of the infinite dimensional Hamilton-Jacobi-Bellman variational inequality (HJBVI) associated with the optimal st...
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تاریخ انتشار 2007