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 methodstochastic controlstochastic functional differential equationsoptimal stopping with delay

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)

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Cited in

(12)

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

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