Finite difference approximation for stochastic optimal stopping problems with delays

DOI10.3934/JIMO.2008.4.227MaRDI QIDQ1008794zbMATH OpenOpenAlexFDO

Authors Mou-Hsiung Chang, Tao Pang, Moustapha Pemy

Publication date 30 March 2009

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3934/jimo.2008.4.227

zbMATH Keywords

finite difference methodoptimal stopping with delaystochastic controlstochastic functional differential equations

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stopping times; optimal stopping problems; gambling theory (60G40)

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.

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Cited in

(12)

• Recurrent neural networks for stochastic control problems with delay
• On the approximation of infinite dimensional optimal stopping problems with application to mathematical finance
• On the approximation of optimal stopping problems with application to financial mathematics
• Numerical methods for an optimal multiple stopping problem
• Discrete approximations of controlled stochastic systems with memory: a survey
• Penalty method for finite horizon stopping problems
• Viscosity solution of optimal stopping problem for stochastic systems with bounded memory
• Finite Difference Approximations for Stochastic Control Systems with Delay
• scientific article; zbMATH DE number 1900176 (Why is no real title available?)
• An approximation scheme for Black-Scholes equations with delays
• A general approximation method for optimal stopping and random delay
• Optimal stopping of stochastic differential equations with delay driven by Lévy noise

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