Numerical methods for an optimal multiple stopping problem

DOI10.1142/S0219493716500167MaRDI QIDQ2816573zbMATH OpenOpenAlexFDO

Authors Imène Ben Latifa, J. Frédéric Bonnans, Mohamed Mnif

Publication date 23 August 2016

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219493716500167

zbMATH Keywords

convergenceHamilton-Jacobi-Bellman variational inequalitynumerical resultsoptimal multiple stopping time problemquantizationswing optionviscosity solution

Mathematics Subject Classification ID

Variational inequalities (49J40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Numerical optimization and variational techniques (65K10)

Review text

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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Cites work

• A general optimal multiple stopping problem with an application to swing options
• Foundations of quantization for probability distributions
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• scientific article; zbMATH DE number 5010399 (Why is no real title available?)

Cited in

(14)

• A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
• An exactly solvable multiple stochastic optimal stopping problem
• On the approximation of optimal stopping problems with application to financial mathematics
• A probabilistic numerical method for optimal multiple switching problems in high dimension
• A general optimal multiple stopping problem with an application to swing options
• Time discretization and quantization methods for optimal multiple switching problem
• scientific article; zbMATH DE number 1054896 (Why is no real title available?)
• scientific article; zbMATH DE number 2015371 (Why is no real title available?)
• Recombining tree approximations for optimal stopping for diffusions
• A Direct Approach to the Solution of Optimal Multiple-Stopping Problems
• An iterative method for multiple stopping: convergence and stability
• Stochastic mesh method for optimal stopping problems
• Stochastic mesh method for optimal stopping problems
• Numerical solutions of optimal stopping problems for a class of hybrid stochastic systems

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