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

DOI10.1007/S10915-007-9168-2MaRDI QIDQ2481387zbMATH OpenOpenAlexFDO

Authors 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

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

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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
• scientific article; zbMATH DE number 1057570 (Why is no real title available?)
• 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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