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2008, Volume 4, Issue 2: 227-246. Doi: 10.3934/jimo.2008.4.227
This issue Previous Article Global extremal conditions for multi-integer quadratic programming Next Article A nonsmooth Newton's method for discretized optimal control problems with state and control constraints

Finite difference approximation for stochastic optimal stopping problems with delays

  • 1.

    Mathematics Division, U. S. Army Research Office, P. O. Box 12211, RTP, NC 27709

  • 2.

    Department of Mathematics and Center for Research in Scientific Computation, North Carolina State University, Raleigh, NC 27695-8205

  • 3.

    Department of Mathematics, Towson University, 7800 York Road, Room 316, Towson, MD 21252-0001

Received:  February 28, 2007
Revised:  August 31, 2007
Published:  March 2008
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    Abstract
  • This paper considers the computational issue of the optimal stopping problem for the stochastic functional differential equation treated in [6] The finite difference method developed by Barles and Souganidis [3] 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. The convergence results are then established.
    Mathematics Subject Classification: Primary: 60A09, 60H30; Secondary: 60G44, 90A16.

    Citation:
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