Finite difference approximation for stochastic optimal stopping problems with delays
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Publication:1008794
DOI10.3934/jimo.2008.4.227zbMath1165.60018OpenAlexW2160156038MaRDI QIDQ1008794
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)
Full work available at URL: https://doi.org/10.3934/jimo.2008.4.227
finite difference methodstochastic controlstochastic functional differential equationsoptimal stopping with delay
Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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