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Brownian optimal stopping and random walks
Lamberton, Damien
HAL, hal-00693616 / Harvested from HAL
Text on HAL
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.
Publié le : 2002-07-05
Classification:  [MATH.MATH-MP]Mathematics [math]/Mathematical Physics [math-ph] 
@article{hal-00693616,
     author = {Lamberton, Damien},
     title = {Brownian optimal stopping and random walks},
     journal = {HAL},
     volume = {2002},
     number = {0},
     year = {2002},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00693616}
}

Lamberton, Damien. Brownian optimal stopping and random walks. HAL, Tome 2002 (2002) no. 0, . http://gdmltest.u-ga.fr/item/hal-00693616/