On the Approximation of Infinite Dimensional Optimal Stopping Problems with Application to Mathematical Finance

被引：0
|
作者：
Michael D. Marcozzi
机构：
[1] University of Nevada,Department of Mathematical Sciences
[2] Las Vegas,undefined
来源：
Journal of Scientific Computing | 2008年 / 34卷
关键词：
Infinite dimensional diffusion; Optimal stopping; Variational methods; Mathematical finance; Finite element method;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We consider the approximation of the optimal stopping problem for infinite dimensional processes by variational methods. To this end, we employ a Fourier-Legendre representation for the state space and exhaust an indexed family of regularized Hamilton-Jacobi characterizations. We implement our results utilizing penalization and a method-of-lines semi-implicit finite element method; application to term-structure valuation problems from mathematical finance demonstrate the applicability of the approach.
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页码：287 / 307
页数：20
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