Optimal stopping and embedding
Abstract
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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https://hal.science/hal-00693753
Submitted on : Wednesday, May 2, 2012-11:18:41 PM
Last modification on : Friday, March 24, 2023-2:52:55 PM