Article Dans Une Revue Electronic Journal of Probability Année : 2007

Convergence of values in optimal stopping and convergence of optimal stopping times

Résumé

Under the hypothesis of convergence in probability of a sequence of càdlàg processes $(X^n)_n$ to a càdlàg process $X$, we are interested in the convergence of corresponding values in optimal stopping and also in the convergence of optimal stopping times. We give results under hypothesis of inclusion of filtrations or convergence of filtrations.

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Dates et versions

hal-00004727 , version 1 (15-04-2005)
hal-00004727 , version 2 (19-10-2005)

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François Coquet, Sandrine Toldo. Convergence of values in optimal stopping and convergence of optimal stopping times. Electronic Journal of Probability, 2007, 12 (8), pp.207-228. ⟨hal-00004727v2⟩
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