Add to ORKGThis paper considers the computational issue of the optimal stop-ping 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 so-lution of the infinite dimensional Hamilton-Jacobi-Bellman variational inequality (HJBVI) associated with the optimal stopping problem
We consider optimal control problems where the state X(t) at time t of the system is given by a stoc...
This paper treats a finite time horizon optimal control problem in which the controlled state dynami...
This thesis deals with the explicit solution of optimal stopping problems with infinite time horizon...
This paper considers the computational issue of the optimal stop-ping problem for the stochastic fun...
This paper considers the computation issues of the infinite dimensional HJB equation arising from th...
We study an optimal stopping problem for a stochastic differential equation with delay driven by a L...
We study an optimal stopping problem for a stochastic differential equation with delay driven by a L...
We study an optimal stopping problem for a stochastic differential equation with delay driven by a L...
We study numerical approximations for the payoff function of the stochastic optimal stopping and con...
An optimal stopping problem for stochastic differential equations with random coefficients is consid...
An optimal stopping problem for stochastic differential equations with random coefficients is con-si...
Abstract. We prove the existence of a solution for the obstacle problem associated with the Kolmogor...
The problem of optimal stopping to an absorbing boundary in a stochastic differential equation land ...
A finite horizon optimal stopping problem for an infinite dimensional diffusion X is analyzed by mea...
Abstract. We consider optimal control problems where the state X(t) at time t of the system is given...
We consider optimal control problems where the state X(t) at time t of the system is given by a stoc...
This paper treats a finite time horizon optimal control problem in which the controlled state dynami...
This thesis deals with the explicit solution of optimal stopping problems with infinite time horizon...
This paper considers the computational issue of the optimal stop-ping problem for the stochastic fun...
This paper considers the computation issues of the infinite dimensional HJB equation arising from th...
We study an optimal stopping problem for a stochastic differential equation with delay driven by a L...
We study an optimal stopping problem for a stochastic differential equation with delay driven by a L...
We study an optimal stopping problem for a stochastic differential equation with delay driven by a L...
We study numerical approximations for the payoff function of the stochastic optimal stopping and con...
An optimal stopping problem for stochastic differential equations with random coefficients is consid...
An optimal stopping problem for stochastic differential equations with random coefficients is con-si...
Abstract. We prove the existence of a solution for the obstacle problem associated with the Kolmogor...
The problem of optimal stopping to an absorbing boundary in a stochastic differential equation land ...
A finite horizon optimal stopping problem for an infinite dimensional diffusion X is analyzed by mea...
Abstract. We consider optimal control problems where the state X(t) at time t of the system is given...
We consider optimal control problems where the state X(t) at time t of the system is given by a stoc...
This paper treats a finite time horizon optimal control problem in which the controlled state dynami...
This thesis deals with the explicit solution of optimal stopping problems with infinite time horizon...