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Journal Articles Applied Mathematics and Optimization Year : 2002

Brownian optimal stopping and random walks

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.

Dates and versions

hal-00693616 , version 1 (02-05-2012)

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Cite

Damien Lamberton. Brownian optimal stopping and random walks. Applied Mathematics and Optimization, 2002, 45 (3), pp.283--324. ⟨10.1007/s00245-001-0033-7⟩. ⟨hal-00693616⟩
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