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Finite difference approximation for stochastic optimal stopping problems with delays

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  • 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.


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