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Optimal stopping and embedding

Damien Lamberton 1 Lcg Rogers
1 LAMA - Laboratoire d'Analyse et de Mathématiques Appliquées
Abstract : We use embedding techniques to analyse the error of approximation of an optimal stopping problem along Brownian paths when Brownian motion is approximated by a random walk.
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https://hal-upec-upem.archives-ouvertes.fr/hal-00693753
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Submitted on : Wednesday, May 2, 2012 - 11:18:41 PM
Last modification on : Tuesday, October 19, 2021 - 4:07:09 PM

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  • HAL Id : hal-00693753, version 1

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Damien Lamberton, Lcg Rogers. Optimal stopping and embedding. Journal of Applied Probability, Cambridge University press, 2000, 37 (4), pp.1143--1148. ⟨hal-00693753⟩

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