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Journal Articles Journal of Applied Probability Year : 2000

Optimal stopping and embedding

Lcg Rogers
  • Function : Author


We use embedding techniques to analyse the error of approximation of an optimal stopping problem along Brownian paths when Brownian motion is approximated by a random walk.
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hal-00693753 , version 1 (02-05-2012)


  • HAL Id : hal-00693753 , version 1


Damien Lamberton, Lcg Rogers. Optimal stopping and embedding. Journal of Applied Probability, 2000, 37 (4), pp.1143--1148. ⟨hal-00693753⟩
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