Numerical Methods for Stochastic Optimal Stopping Problems with Delays
نویسندگان
چکیده
This paper considers the computational issue of the optimal stopping problem for the stochastic functional differential equation treated in [4]. The finite difference method developed by Barles and Souganidis [2] is used to obtain a numerical approximation for the viscosity solution of the infinite dimensional Hamilton-Jacobi-Bellman variational inequality (HJBVI) associated with the optimal stopping problem.
منابع مشابه
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تاریخ انتشار 2006