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Brownian Optimal Stopping and Random Walks

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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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  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.fr, , , , , , FR

    Lamberton

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  1. Lamberton
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Lamberton, . Brownian Optimal Stopping and Random Walks . Appl Math Optim 45, 283–324 (2002). https://doi.org/10.1007/s00245-001-0033-7

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  • DOI: https://doi.org/10.1007/s00245-001-0033-7

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