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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.
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Submitted on : Wednesday, May 2, 2012 - 6:55:37 PM
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Damien Lamberton. Brownian optimal stopping and random walks. Applied Mathematics and Optimization, Springer Verlag (Germany), 2002, 45 (3), pp.283--324. ⟨10.1007/s00245-001-0033-7⟩. ⟨hal-00693616⟩



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