On the approximation of infinite dimensional optimal stopping problems with application to mathematical finance

DOI10.1007/s10915-007-9168-2zbMath1133.91502OpenAlexW1985743133MaRDI QIDQ2481387

Michael D. Marcozzi

Publication date: 9 April 2008

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-007-9168-2

zbMATH Keywords

finite element methodoptimal stoppingvariational methodsmathematical financeinfinite dimensional diffusion

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (3)

Optimal stopping of a Hilbert space valued diffusion: an infinite dimensional variational inequality ⋮ On the valuation of interest rate products under multi-factor HJM term-structures ⋮ Optimal control of ultradiffusion processes with application to mathematical finance

Cites Work

• A numerical analysis of variational valuation techniques for derivative securities
• Numerical methods for ultraparabolic equations
• Far Field Boundary Conditions for Black--Scholes Equations
• On the Approximation of Optimal Stopping Problems with Application to Financial Mathematics
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
• On the Valuation of Asian Options by Variational Methods
• Numerical solution of parabolic equations in high dimensions
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