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Optimal stopping and embedding

Part of: Stochastic processes

Published online by Cambridge University Press:  14 July 2016

Damien Lamberton  and
L. C. G. Rogers
Damien Lamberton*
Affiliation:
Université de Marne-la-Vallée
L. C. G. Rogers*
Affiliation:
University of Bath
*
∗ Postal address: Université de Marne-la-Vallée, Equipe d'Analyse et de Mathématiques Appliquées, 5 Boulevard Descartes, Cité Descartes, Champs-sur-Marne, 77 454 Marne-la-Vallée Cedex 2, France. Email address: dlamb@math.univ-mlv.fr
∗∗ Postal address: School of Mathematical Sciences, University of Bath, Claverton Down, Bath BA2 7AY, UK.
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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.

Keywords

Optimal stoppingBrownian motionSkorohod embedding

MSC classification

Primary: 60G40: Stopping times; optimal stopping problems; gambling theory
Type
Short Communications
Information
Journal of Applied Probability , Volume 37 , Issue 4 , December 2000 , pp. 1143 - 1148
Copyright
Copyright © by the Applied Probability Trust 2000 

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References

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