Brownian Optimal Stopping and Random Walks
Journal Article
·
· Applied Mathematics and Optimization
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.
- OSTI ID:
- 21067491
- Journal Information:
- Applied Mathematics and Optimization, Journal Name: Applied Mathematics and Optimization Journal Issue: 3 Vol. 45; ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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