Journal of Scientific Computing

, Volume 34, Issue 3, pp 287–307 | Cite as

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

  • Michael D. Marcozzi


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.


Infinite dimensional diffusion Optimal stopping Variational methods Mathematical finance Finite element method 


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Copyright information

© Springer Science+Business Media, LLC 2007

Authors and Affiliations

  1. 1.Department of Mathematical SciencesUniversity of Nevada, Las VegasLas VegasUSA

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