Finite difference approximation for stochastic optimal stopping problems with delays | Zendy

Mou-Hsiung Chang | Zendy; Tao Pang | Zendy; Moustapha Pemy | Zendy

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Finite difference approximation for stochastic optimal stopping problems with delays

Author(s) -

Mou-Hsiung Chang,

Tao Pang,

Moustapha Pemy

Publication year - 2008

Publication title -

journal of industrial and management optimization

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.325

H-Index - 32

eISSN - 1553-166X

pISSN - 1547-5816

DOI - 10.3934/jimo.2008.4.227

Subject(s) - optimal stopping , viscosity solution , variational inequality , convergence (economics) , mathematics , stochastic differential equation , viscosity , finite difference , finite difference method , mathematical optimization , mathematical analysis , physics , quantum mechanics , economics , economic growth

This paper considers the computational issue of the optimal stopping problem for the stochastic functional differential equation treated in [6] The finite difference method developed by Barles and Souganidis [3] 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. The convergence results are then established.

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