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Journal articles
Brownian optimal stopping and random walks
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 Lama <>
Submitted on : Wednesday, May 2, 2012 - 6:55:37 PM
Last modification on : Thursday, March 19, 2020 - 12:26:02 PM
Contributor : Admin Lama <>
Submitted on : Wednesday, May 2, 2012 - 6:55:37 PM
Last modification on : Thursday, March 19, 2020 - 12:26:02 PM
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