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Applied Mathematics & Optimization

, Volume 45, Issue 3, pp 283–324 | Cite as

Brownian Optimal Stopping and Random Walks

  •  Lamberton

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.

Key words. Optimal stopping, Brownian motion, Random walk approximation, American options. AMS Classification. 60G40, 90A09. 

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Copyright information

© Springer-Verlag New York Inc. 2002

Authors and Affiliations

  •  Lamberton
    • 1
  1. 1.Equipe d'Analyse et de Mathématiques Appliquées, Université de Marne-la-Vallée, 5 Boulevard Descartes, Cité Descartes, Champs-sur-Marne, 77 454 Marne-la-Vallée Cedex 2, France dlamb@math.univ-mlv.frFR

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