# American Institute of Mathematical Sciences

April  2008, 4(2): 227-246. doi: 10.3934/jimo.2008.4.227

## 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, United States 2 Department of Mathematics and Center for Research in Scientific Computation, North Carolina State University, Raleigh, NC 27695-8205, United States 3 Department of Mathematics, Towson University, 7800 York Road, Room 316, Towson, MD 21252-0001, United States

Received  March 2007 Revised  September 2007 Published  April 2008

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.
Citation: Mou-Hsiung Chang, Tao Pang, Moustapha Pemy. Finite difference approximation for stochastic optimal stopping problems with delays. Journal of Industrial & Management Optimization, 2008, 4 (2) : 227-246. doi: 10.3934/jimo.2008.4.227
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