Numerical methods for an optimal multiple stopping problem (Q2816573)
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scientific article; zbMATH DE number 6618923
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| English | Numerical methods for an optimal multiple stopping problem |
scientific article; zbMATH DE number 6618923 |
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Numerical methods for an optimal multiple stopping problem (English)
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23 August 2016
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quantization
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swing option
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optimal multiple stopping time problem
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convergence
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viscosity solution
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Hamilton-Jacobi-Bellman variational inequality
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numerical results
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The authors consider numerical solutions of an optimal multiple stopping problem. They use the optimal quantization method and prove the convergence of the given numerical scheme to the unique viscosity solution of the associated Hamilton-Jacobi-Bellman variational inequality. Numerical results are presented.
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0.8334945440292358
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0.8164893388748169
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0.812652051448822
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0.8117836713790894
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