Abstract : One way to compute the value function of an optimal stopping problem along Brownian paths consists of approximating Brownian motion by a random walk. We derive error estimates for this type of approximation under various assumptions on the distribution of the approximating random walk.
https://hal-upec-upem.archives-ouvertes.fr/hal-00693616 Contributor : Admin LamaConnect in order to contact the contributor Submitted on : Wednesday, May 2, 2012 - 6:55:37 PM Last modification on : Saturday, January 15, 2022 - 4:03:20 AM