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Discrete Time Approximations of Continuous Time Finite Horizon Stopping Problems

  • Lukasz StettnerEmail author
Chapter
Part of the Systems & Control: Foundations & Applications book series (SCFA)

Abstract

In this chapter, we approximate continuous time finite horizon stopping problems using either continuous and discrete time penalty approach or direct discretization. We point out possible errors of such approximations and construct approximate optimal stopping times.

Notes

Acknowledgements

Research supported by MNiSzW grant NN 201 371836.

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Copyright information

© Springer Science+Business Media, LLC 2012

Authors and Affiliations

  1. 1.Institute of Mathematics Polish Academy of SciencesWarsawPoland

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