On the approximation of infinite dimensional optimal stopping problems with application to mathematical finance
DOI10.1007/S10915-007-9168-2zbMATH Open1133.91502OpenAlexW1985743133MaRDI QIDQ2481387FDOQ2481387
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
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finite element methodoptimal stoppingvariational methodsmathematical financeinfinite dimensional diffusion
Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic models in economics (91B70)
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- On the approximation of optimal stopping problems with application to financial mathematics
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Cited In (7)
- Approximation of Optimal Stopping Problems and Variational Inequalities Involving Multiple Scales in Economics and Finance
- Optimal control of ultradiffusion processes with application to mathematical finance
- Title not available (Why is that?)
- 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 stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- On the approximation of optimal stopping problems with application to financial mathematics
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